Asset Pricing at The Milennium  

Oleh:

Campbell, John Y.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 4 (2000), page 1515-1568.
Topik: PRICING; studies; assets; pricing policies; risk premiums; rates of return; models
Fulltext: p 1515.pdf (247.03KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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 behaviour of the stochastic discount factor (SDF) that prices all assets in the economy. The behaviour 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 behavioural finance.

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