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Asset Pricing at the Millennium
Author(s) -
Campbell John Y.
Publication year - 2000
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/0022-1082.00260
Subject(s) - stylized fact , economics , capital asset pricing model , stochastic discount factor , financial economics , portfolio , risk premium , consumption based capital asset pricing model , stock (firearms) , econometrics , volatility (finance) , interest rate , monetary economics , macroeconomics , mechanical engineering , engineering
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.