Understanding Risk and Return
| Title: | Understanding Risk and Return |
| Author: | Campbell, John |
| Citation: | Campbell, John Y. 1996. Understanding risk and return. Journal of Political Economy 104, no. 2: 298-345. |
| Full Text & Related Files: |
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| Abstract: | 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. |
| Published Version: | http://dx.doi.org/10.1086/262026 |
| Terms of Use: | This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAA |
| Citable link to this page: | http://nrs.harvard.edu/urn-3:HUL.InstRepos:3153293 |
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