Intertemporal Asset Pricing Without Consumption Data
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CitationCampbell, John Y. 1993. Intertemporal asset pricing without consumption data. American Economic Review 83(3): 487-512.
AbstractThis 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.
Citable link to this pagehttp://nrs.harvard.edu/urn-3:HUL.InstRepos:3221491
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