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Understanding risk and return

Author: John Y Campbell; National Bureau of Economic Research.
Publisher: Cambridge, MA : National Bureau of Economic Research, [1993]
Series: Working paper series (National Bureau of Economic Research), working paper no. 4554.
Edition/Format:   eBook : Document : National government publication : EnglishView all editions and formats
Summary:
Abstract: This paper uses an intertemporal equilibrium asset pricing model to interpret the cross-sectional pattern of stock and bond returns. The model relates assets' mean returns to their covariances with the contemporaneous return and news about future returns on the market portfolio. In a departure from standard practice, the market portfolio return is measured using data on both the aggregate stock market and  Read more...
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Details

Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: John Y Campbell; National Bureau of Economic Research.
OCLC Number: 70045571
Notes: "November, 1993."
Financial support from the National Science Foundation.
Description: 1 online resource (36, [15] pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 4554.
Responsibility: John Y. Campbell.

Abstract:

Abstract: This paper uses an intertemporal equilibrium asset pricing model to interpret the cross-sectional pattern of stock and bond returns. The model relates assets' mean returns to their covariances with the contemporaneous return and news about future returns on the market portfolio. In a departure from standard practice, the market portfolio return is measured using data on both the aggregate stock market and aggregate labor income. The paper finds that aggregate stock market risk is the main factor determining excess stock and bond returns, but that the price of stock market risk does not equal the coefficient of relative risk aversion as would be implied by the static Capital Asset Pricing Model.

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