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Asset Pricing at the Millennium

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John Y. Campbell

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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 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.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 7589.

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Date of creation: Mar 2000
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Handle: RePEc:nbr:nberwo:7589

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G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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