Asset Pricing at the Millennium

John Campbell

No 7589, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and on the tradeoff 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, while 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.

JEL-codes: G12 (search for similar items in EconPapers)
Date: 2000-03
New Economics Papers: this item is included in nep-fin and nep-fmk
Note: AP CF EFG ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (291)

Published as Campbell, John Y. "Asset Pricing At The Millennium," Journal of Finance, 2000, v55(4,Aug), 1515-1567.

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Journal Article: Asset Pricing at the Millennium (2000)
Working Paper: Asset Pricing at the Millennium (2000)
Working Paper: Asset Pricing at the Millennium (2000)
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