Asset Pricing at the Millennium

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Asset Pricing at the Millennium

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Title: Asset Pricing at the Millennium
Author: Campbell, John
Citation: Campbell, John Y. 2000. Asset pricing at the millennium. Journal of Finance 55, no. 4: 1515-1567.
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Abstract: This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work and on the trade-off 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, whereas 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. The definitive version is available at www.blackwell-synergy.com.
Published Version: http://dx.doi.org/10.1111/0022-1082.00260
Other Sources: http://papers.ssrn.com/paper.taf?abstract_id=236584
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:3294737

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  • FAS Scholarly Articles [7374]
    Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University
 
 

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