C-CAPM without Ex Post Data

Paul Söderlind

No 39, SIFR Research Report Series from Institute for Financial Research

Abstract: Survey and option data are used to take a new 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 (CBOE's VIX) indicates that investors overestimate the volatility of equity returns. Both facts reduce 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; CBOE VIX; Survey of professional forecasters (search for similar items in EconPapers)
JEL-codes: E13 E32 G12 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2005-12-15
New Economics Papers: this item is included in nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: The C-CAPM without ex post data (2009)
Working Paper: C-CAPM without Ex Post Data (2006)
Working Paper: C-CAPM Without Ex Post Data (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:sifrwp:0039

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