Abstract

http://ssrn.com/abstract=236584
 
 

Citations (107)



 
 

Footnotes (6)



 


 



Asset Pricing At The Millennium


John Y. Campbell


Harvard University - Department of Economics; National Bureau of Economic Research (NBER)

May 2000

Harvard Institute of Economic Research Paper No. 1897

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.

Number of Pages in PDF File: 76

JEL Classification: G12

working papers series


Download This Paper

Date posted: September 6, 2000  

Suggested Citation

Campbell, John Y., Asset Pricing At The Millennium (May 2000). Harvard Institute of Economic Research Paper No. 1897. Available at SSRN: http://ssrn.com/abstract=236584 or http://dx.doi.org/10.2139/ssrn.236584

Contact Information

John Y. Campbell (Contact Author)
Harvard University - Department of Economics ( email )
Littauer Center
Room 213
Cambridge, MA 02138
United States
617-496-6448 (Phone)
617-495-7730 (Fax)
HOME PAGE: http://scholar.harvard.edu/campbell
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Feedback to SSRN


Paper statistics
Abstract Views: 2,638
Downloads: 812
Download Rank: 14,108
Citations:  107
Footnotes:  6

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.250 seconds