Intertemporal Asset Pricing Without Consumption Data

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Intertemporal Asset Pricing Without Consumption Data

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Title: Intertemporal Asset Pricing Without Consumption Data
Author: Campbell, John
Citation: Campbell, John Y. 1993. Intertemporal asset pricing without consumption data. American Economic Review 83(3): 487-512.
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Abstract: This paper proposes a new way to generalize the insights of stark asset pricing theory to a multiperiod setting. The paper uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing model. In a homoscedastic lognormal setting, 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.
Published Version: http://www.aeaweb.org/aer/index.php
Other Sources: http://dx.doi.org/10.3386/w3989
http://www.jstor.org/stable/2117530
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:3221491

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  • FAS Scholarly Articles [7362]
    Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University
 
 

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