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17. Dez. 2002 · This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work and on the trade-off between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor (SDF) that prices all assets in the economy.
- John Y. Campbell
- 2000
- ABSTRACT
- I. Asset Returns and the Stochastic Discount Factor
- Pit Et , @ Mt 11 Xi,t 11#
- 1. The Real Interest Rate
- A. Solving the Present Value Relation
- A.3. Alternatives to the Use of Dividends
- IV. Equilibrium Models with a Representative Agent
- A. Three Puzzles
- V. Equilibrium Models with Heterogeneous Agents
- B. Modeling Nonstandard Behavior
- B.2. Irrational Expectations
This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work and on the trade-off 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 res...
The basic equation of asset pricing can be written as follows:
1 ~ ! where P is the price of an asset it i at time t “today” , E ~ ! t is the conditional expectations operator conditioning on today’s information, dom payoff on asset i at time t M “tomorrow” , and ~ ! t X i,t 1 is the ran- is the stochastic discount factor, or SDF. The SDF is a random variable whose realizations are always positive. It generali...
Asset return data restrict the moments of the SDF. The one-period real interest rate is closely related to the conditional mean of the SDF, condition-ing on information available at the start of the period. If there is a short-term riskless real asset f with a payoff of one tomorrow, then equation 1 ~ ! implies that Et Mt .
The empirical work described in Section I takes the stochastic properties of asset returns as given and merely asks how the first moments of returns are determined from their second moments. Although this approach can be informative, ultimately it is unsatisfactory because the second moments of asset returns are just as endogenous as the first mome...
Both the linear present value model with constant discount rates and the log-linear approximate model relate asset prices to expected future divi-dends. The use of dividends is not arbitrary but results from the accounting identity that links returns, prices, and dividends. Nonetheless the presence of dividends creates several difficulties for empi...
The theory of intertemporal optimization relates the SDF to the marginal utility process for an unconstrained investor. This in turn restricts the con-sumption of such an investor. The research summarized in Section III uses this fact to solve for the optimal consumption and portfolio choice of inves-tors with exogenously specified utility function...
With the standard assumption of power utility, this approach leads to three puzzles. First, the average return on the stock market is too high to be readily explained by the model. The SDF implied by power utility is
The previous section assumed that assets can be priced as if there is a representative agent who consumes aggregate consumption. An alternative view is that aggregate consumption is not an adequate proxy for the con-sumption of investors.
Recent behavioral research has placed greater emphasis on the modeling of nonstandard investor behavior and has sought to explain the aggregate predictability and cross-sectional patterns in stock returns summarized in Section I. Some models alter standard assumptions about preferences, whereas others assume particular forms of irrational expectati...
A number of papers have explored the consequences of relaxing the as-sumption that investors have rational expectations and understand the be-havior of dividend and consumption growth. In the absence of arbitrage, there exist positive state prices that can rationalize the prices of traded financial assets. These state prices equal subjective state ...
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Several experiments are conducted to identify and test factors that influence consumers' use of persuasion knowledge in an interpersonal sales setting, such as a retail interaction between a salesperson (the influence agent) and a consumer (the influence target).
- Margaret C. Campbell, Amna Kirmani
- 2000
Der "Campbell Biologie" wird nicht umsonst häufig auch als die "Bibel der Biologen" bezeichnet. Vor allem die einzigartige Ausgewogenheit aus Verständlichkeit und wissenschaftlicher Prägnanz sichern ihm weltweit seinen Platz als das Standardwerk der Biologie.
Der Zugang zum Thema Work-Life Balance (WLB) wird über eine Vielzahl wissenschaftlicher Disziplinen gewährt. Dazu gehören vor allem die Soziologie und die Psychologie, die im Sinne einer Grundlagenforschung die Zusammenhänge von Erwerbsarbeit und...
- Deniz B. Schobert
- 2007
This article examines conditions that influence consumers' use of persuasion knowledge in evaluating an influence agent, such as a salesperson. We propose that persuasion knowledge is used when...
Campbell, George. 2000. Compendium of the World's Languages. London / New York: Routledge. (2nd edition).
