TY  - JOUR
AU  - Campbell,John Y.
TI  - Asset Pricing at the Millennium
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7589
PY  - 2000
Y2  - March 2000
UR  - http://www.nber.org/papers/w7589
L1  - http://www.nber.org/papers/w7589.pdf
N1  - Author contact info:
John Y. Campbell
Morton L. and Carole S.
Olshan Professor of Economics
Department of Economics
Harvard University
Littauer Center 213
Cambridge, MA 02138
Tel: 617/496-6448
Fax: 617/495-7730
E-Mail: john_campbell@harvard.edu
AB  - This paper surveys the field of asset pricing.  The emphasis is on the interplay between theory and empirical work, and on the tradeoff 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, while 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.
ER  -