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Asset Pricing at the Millennium

Listed author(s):
  • Campbell, John

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.

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Paper provided by Harvard University Department of Economics in its series Scholarly Articles with number 3294737.

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Date of creation: 2000
Publication status: Published in Journal of Finance
Handle: RePEc:hrv:faseco:3294737
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