Consumption-based asset pricing
John Campbell ()
Chapter 13 in Handbook of the Economics of Finance, 2003, vol. 1, Part 2, pp 803-887 from Elsevier
This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some important stylized facts that characterize U.S. data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features of the U.S. experience apply more generally. The chapter argues that to make sense of asset market behavior one needs a model in which the market price of risk is high, time-varying, and correlated with the state of the economy. Models that have this feature, including models with habit-formation in utility, heterogeneous investors, and irrational expectations, are discussed. The main focus is on stock returns and short-term real interest rates, but bond returns are also considered.
JEL-codes: G12 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (135) Track citations by RSS feed
Downloads: (external link)
http://www.sciencedirect.com/science/article/B7GX8 ... 9e213f14a3fab67b3b06
Full text for ScienceDirect subscribers only
Working Paper: Consumption-Based Asset Pricing (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:eee:finchp:2-13
Access Statistics for this chapter
More chapters in Handbook of the Economics of Finance from Elsevier
Series data maintained by Zhang, Lei ().