Understanding Risk and Return

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Understanding Risk and Return

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dc.contributor.author Campbell, John
dc.date.accessioned 2009-07-08T13:12:55Z
dc.date.issued 1996
dc.identifier.citation Campbell, John Y. 1996. Understanding risk and return. Journal of Political Economy 104, no. 2: 298-345. en
dc.identifier.issn 0022-3808 en
dc.identifier.uri http://nrs.harvard.edu/urn-3:HUL.InstRepos:3153293
dc.description.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. en
dc.description.sponsorship Economics en
dc.language.iso en_US en
dc.publisher University of Chicago Press en
dc.relation.isversionof http://dx.doi.org/10.1086/262026 en
dash.license LAA
dc.title Understanding Risk and Return en
dc.relation.journal Journal of Political Economy en
dash.depositing.author Campbell, John

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  • FAS Scholarly Articles [6948]
    Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University

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