Understanding risk and return

• 成果类型: Article
• 署名作者: Campbell, JY
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/262026
• 发表日期: 1996
• 页码: 298-345
• 关键词: expected stock returns; ASSET PRICING MODEL; temporal behavior; INVESTMENT OPPORTUNITIES; STOCHASTIC CONSUMPTION; dividend yields; mean reversion; equity premium; term structure; MARKET

摘要

This paper uses an equilibrium multifactor model to interpret the cross-sectional pattern of postwar U.S. stock and bond returns. Priced factors include the return on a stock index, revisions in forecasts of future stock returns (to capture intertemporal hedging effects), and revisions in forecasts of future labor income growth (proxies for the return on human capital). Aggregate stock market risk is the main factor determining excess returns; but in the presence of human capital or stock market mean reversion, the coefficient of relative risk aversion is much higher than the price of stock market risk.