EconPapers    
Economics at your fingertips  
 

Asset Pricing at the Millennium

John Campbell ()

Scholarly Articles from Harvard University Department of Economics

Abstract: 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. The definitive version is available at www.blackwell-synergy.com.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (209) Track citations by RSS feed

Published in Journal of Finance

Downloads: (external link)
http://dash.harvard.edu/bitstream/handle/1/3294737/campbellssrn_millennium.pdf (application/pdf)

Related works:
Journal Article: Asset Pricing at the Millennium (2000) Downloads
Working Paper: Asset Pricing at the Millennium (2000) Downloads
Working Paper: Asset Pricing at the Millennium (2000) Downloads
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:3294737

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 ().

 
Page updated 2019-07-21
Handle: RePEc:hrv:faseco:3294737