Asset Pricing at the Millennium

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Asset Pricing at the Millennium

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dc.contributor.author Campbell, John
dc.date.accessioned 2009-09-18T15:29:04Z
dc.date.issued 2000
dc.identifier.citation Campbell, John Y. 2000. Asset pricing at the millennium. Journal of Finance 55, no. 4: 1515-1567. en_US
dc.identifier.issn 0022-1082 en_US
dc.identifier.uri http://nrs.harvard.edu/urn-3:HUL.InstRepos:3294737
dc.description.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. en_US
dc.description.sponsorship Economics en_US
dc.language.iso en_US en_US
dc.publisher Blackwell Publishing en_US
dc.relation.isversionof http://dx.doi.org/10.1111/0022-1082.00260 en_US
dc.relation.hasversion http://papers.ssrn.com/paper.taf?abstract_id=236584 en_US
dash.license LAA
dc.title Asset Pricing at the Millennium en_US
dc.type Journal Article en_US
dc.description.version Accepted Manuscript en_US
dc.relation.journal Journal of Finance en_US
dash.depositing.author Campbell, John
dc.date.available 2009-09-18T15:29:04Z

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  • FAS Scholarly Articles [7106]
    Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University

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