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New facts in finance

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  • John H. Cochrane

Abstract

In the last 15 years, the cherished "random walk" view that stock returns are unpredictable, the "CAPM" view the market is the only benchmark and market exposure the only source of returns, and the "expectations hypothesis" relating interest rates of various maturities and countries have all been abandoned. This article surveys this revolution in finance, explaining and integrating the new view of the facts.

Suggested Citation

  • John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
  • Handle: RePEc:fip:fedhep:y:1999:i:qiii:p:36-58:n:v.23no.3
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    More about this item

    Keywords

    Finance; Capital assets pricing model;

    JEL classification:

    • G00 - Financial Economics - - General - - - General

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