haku: @author Campbell, J. / yhteensä: 11
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| Tekijä: | Campbell, J. |
| Otsikko: | Understanding risk and return |
| Lehti: | Journal of Political Economy
1996 : APR, VOL. 104:2, p. 298-345 |
| Asiasana: | RISK POLITICAL ECONOMY STOCK MARKETS |
| Kieli: | eng |
| Tiivistelmä: | This paper uses an equilibrium multifactor model to interpret the cross-sectional pattern of postwar US stock and bond returns. Priced factors include the return on a stock index, revisions in forecasts of future stock returns and revisions in forecasts of future labor income growth. Aggregate stock market risk is the main factor determining excess returns: but in the presence of human capital or stock market mean reversion, the coefficient of relative risk aversion is much higher than the price of stock market is. |
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