| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5432 |
| DP5432 The Ownership of Ratings | |
| Antoine Faure-Grimaud; Eloïc Peyrache; Lucía Quesada | |
| 发表日期 | 2005-12-22 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | International Macroeconomics |
| 关键词 | Equity premium puzzle Livingston survey Cboe vix Survey of professional forecasters |
| URL | https://cepr.org/publications/dp5432 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534286 |
| 推荐引用方式 GB/T 7714 | Antoine Faure-Grimaud,Eloïc Peyrache,Lucía Quesada. DP5432 The Ownership of Ratings. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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