Understanding Risk and Return
John Campbell ()
Scholarly Articles from Harvard University Department of Economics
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.
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Published in Journal of Political Economy
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Journal Article: Understanding Risk and Return (1996)
Working Paper: Understanding Risk and Return (1995)
Working Paper: Understanding Risk and Return (1993)
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Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:3153293
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