haku: @author Campbell, J.Y. / yhteensä: 3
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| Tekijä: | Campbell, J.Y. |
| Otsikko: | Intertemporal asset pricing without consumption data. |
| Lehti: | American Economic Review
1993 : JUN, VOL. 83:3, p. 487-512 |
| Asiasana: | CAPITAL ASSET PRICING TIME RISK |
| Kieli: | eng |
| Tiivistelmä: | This paper proposes a new way to generalize the insights of static asset pricing theory to a multiperiod setting. The paper uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing model. In a homoscedastic lognormal setting, 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 relativce 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. |
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