NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Intertemporal Asset Pricing Without Consumption Data

John Y. Campbell

NBER Working Paper No. 3989
Issued in February 1992
NBER Program(s):   AP   EFG

This paper proposes a new way to generalize the insights of static asset pricing theory to a multi-period setting. The paper uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing model. In a homoskedastic lognormal selling, the consumption-wealth ratio is shown to depend on the elasticity of intertemporal substitution in consumption, while asset risk premia are determined by the coefficient of relative risk aversion. Risk premia are related to the covariances of asset returns with the market return and with news about the discounted value of all future market returns.

download in pdf format
   (460 K)

email paper

This paper is available as PDF (460 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w3989

Published: American Economic Review, vol 83, June 1993, p. 487-512 citation courtesy of

Users who downloaded this paper also downloaded these:
Campbell and Cochrane w4995 By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
Campbell w4554 Understanding Risk and Return
Cochrane and Hansen Asset Pricing Explorations for Macroeconomics
Campbell and Mankiw Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence
Campbell, Giglio, Polk, and Turley w18411 An Intertemporal CAPM with Stochastic Volatility
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us