TY - JOUR
TI - Asset Pricing at the Millennium
T2 - Journal of Finance
IS - 4
KW - asset pricing
KW - interest rate
KW - risk
AB - This paper surveys the field of asset pricing. The emphasis is on the
interplay between theory and empirical work, and on the tradeoff
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, while
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.
AU - Campbell, John Y.
UR - http://ecsocman.hse.ru/text/18895901/
PY - 2000
SP - 1515-1567
M2 - 1515
VL - 55
SN -
N1 -
LA - EN
CY -
PB -
M3 -
LB -
VL -
ER -