Bond and Stock Returns in a Simple Exchange Model

John Campbell

Scholarly Articles from Harvard University Department of Economics

Abstract: This paper studies asset pricing in a general equilibrium representative agent exchange model. The assumptions of isoelastic period utility and lognormal endowment allow the derivation of closed-form solutions for asset returns without restricting the serial correlation of the log endowment. Risk premiums on stocks and real bonds are found to be simple functions of relative risk aversion, the variance of the log endowment innovation, and the weights in the moving average representation of the log endowment. The paper analyzes the sign of term premiums, the size of the equity premium, and the effect of taste shocks on asset prices.

Date: 1986
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (113)

Published in Quarterly Journal of Economics

Downloads: (external link)
http://dash.harvard.edu/bitstream/handle/1/3122544/campbell_bondstock.pdf (application/pdf)

Related works:
Journal Article: Bond and Stock Returns in a Simple Exchange Model (1986)
Working Paper: Bond and Stock Returns in a Simple Exchange Model (1984)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:3122544

Access Statistics for this paper

More papers in Scholarly Articles from Harvard University Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Office for Scholarly Communication ().