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- W3124537574 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." @default.
- W3124537574 created "2021-02-01" @default.
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- W3124537574 date "2009-01-01" @default.
- W3124537574 modified "2023-09-28" @default.
- W3124537574 title "The C-CAPM without Ex-Post Data" @default.
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