Intertemporal Asset Pricing Without Consumption Data

John Campbell

No 3989, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper proposes a new way to generalize the insights of static asset pricing theory to a multi-period setting. The paper uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing model. In a homoskedastic lognormal selling, the consumption-wealth ratio is shown to depend on the elasticity of intertemporal substitution in consumption, while asset risk premia are determined by the coefficient of relative risk aversion. Risk premia are related to the covariances of asset returns with the market return and with news about the discounted value of all future market returns.

Date: 1992-02
Note: AP EFG
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Published as American Economic Review, vol 83, June 1993, p. 487-512

Downloads: (external link)
http://www.nber.org/papers/w3989.pdf (application/pdf)

Related works:
Journal Article: Intertemporal Asset Pricing without Consumption Data (1993)
Working Paper: Intertemporal Asset Pricing Without Consumption Data (1993)
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:nbr:nberwo:3989

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w3989

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().