An Intertemporal CAPM with Stochastic Volatility
NBER Working Paper No. 18411
---- Acknowledgements -----
We are grateful to Torben Andersen, Gurdip Bakshi, John Cochrane, Bjorn Eraker, Bryan Kelly, Ian Martin, Sydney Ludvigson, Monika Piazzesi, Tuomo Vuolteenaho, and seminar participants at BI Norwegian School of Management, CEMFI, the 2012 EFA, 2011 HBS Finance Unit research retreat, IESE, INSEAD, 2012 Spring NBER Asset Pricing Meeting, Norges Bank Investment Management, Northwestern University, NYU, Stanford University, Swiss Finance Institute-Geneva, Oxford University, University of Paris Dauphine, University of California-Berkeley, University of Chicago, University of Edinburgh, University of Pennsylva nia, and the 2012 WFA for comments. We thank Josh Coval, Ken French, Nick Roussanov, Mila Getmansky Sherman, and Tyler Shumway for providing data used in the analysis. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.
---- Disclosure of Financial Relationships for John Y. Campbell -----
Disclosures of all my outside relationships can be found on my website at