The C-CAPM without ex post data

Paul Söderlind

Journal of Macroeconomics, 2009, vol. 31, issue 4, 721-729

Abstract: Survey and option data are used to take a fresh look at the equity premium puzzle. Survey data on equity returns (Livingston survey) shows much lower expected excess returns than ex post data. At the same time, option data suggests that investors tend to overestimate the volatility of equity returns. Both facts contribute towards solving the puzzle. However, data on beliefs about output volatility (Survey of Professional Forecasters) shows marked overconfidence. On balance, the equity premium is somewhat less of a puzzle than in ex post data.

Keywords: Equity; premium; puzzle; Livingston; survey; S&; P; 500; options; Survey; of; Professional; Forecasters (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: C-CAPM without Ex Post Data (2006)
Working Paper: C-CAPM Without Ex Post Data (2005)
Working Paper: C-CAPM without Ex Post Data (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:31:y:2009:i:4:p:721-729

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