NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Estimating the Equity Premium

John Y. Campbell

NBER Working Paper No. 13423
Issued in September 2007

---- Acknowledgements -----

This paper was presented in June 2007 as a State of the Art lecture at the Canadian Economic Association annual meeting at Dalhousie University in Halifax, Nova Scotia. A precursor was presented in January 2007 to the D-CAF Conference on Return Predictability at Copenhagen Business School. I am grateful to participants at both conferences, to John Cochrane, Jon Lewellen, Lubos Pastor, Ivo Welch, and Jeff Wurgler, and particularly to Angelo Melino for their thoughtful comments, to Bob Shiller, Moto Yogo, and my colleagues at Arrowstreet Capital, Sam Thompson and Tuomo Vuolteenaho, for joint research and many conversations on this subject, and to Alex Ogan, also of Arrowstreet Capital, for his able assistance with the data illustrated in Figures 1 through 5. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

return to bibliography page

 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us