INTERTEMPORAL ASSET PRICING WITHOUT CONSUMPTION DATA

• 成果类型: Article
• 署名作者: CAMPBELL, JY
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• 发表日期: 1993
• 页码: 487-512
• 关键词: expected stock returns; equity premium puzzle; risk-aversion; temporal behavior; continuous-time; interest-rates; term structure; STOCHASTIC CONSUMPTION; mean reversion; MODEL

摘要

This paper proposes a new way to generalize the insights of static asset pricing theory to a multiperiod setting. The paper uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing model. In a homoscedastic lognormal setting, the consumption-wealth ratio is shown to depend on the elasticity of intertemporal substitution in consumption, while asset risk premia are determined by the coefficient of relative risk aversion. Risk premia are related to the covariances of asset returns with the market return and with news about the discounted value of all future market returns.