Söderlind, Paul - C.E.P.R. Discussion Papers - 2005
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 … about output volatility (Survey of Professional Forecasters) shows marked overconfidence. On balance, the equity premium is …