Asset pricing at the millennium

• 成果类型: Article; Proceedings Paper
• 署名作者: Campbell, JY
• 署名单位: Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00260
• 发表日期: 2000
• 页码: 1515-1567
• 关键词: expected stock returns; equity premium puzzle; Stochastic differential utility; CAPITAL-MARKET EQUILIBRIUM; Optimal portfolio choice; variance bounds tests; term structure; interest-rates; cross-section; transaction costs

摘要

This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work and on the trade-off between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor (SDF) that prices all assets in the Economy. The behavior of the term structure of real interest rates restricts the conditional mean of the SDF, whereas patterns of risk premia restrict its conditional volatility and factor structure. Stylized facts about interest rates, aggregate stock prices, and cross-sectional patterns in stock returns have stimulated new research on optimal portfolio choice, intertemporal equilibrium models, and behavioral finance.