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PreprintConsumption-Based Asset Pricing

John Y. Campbell2002

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Preprintgreen2002

Consumption-Based Asset Pricing

John Y. Campbell

239 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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References

1988Prospect theory: An analysis of decision under risk 1997Legal Determinants of External Finance 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1973An Intertemporal Capital Asset Pricing Model 1990Noise Trader Risk in Financial Markets 1977An equilibrium characterization of the term structure 2012The Econometrics of Financial Markets

Cited by

2011The term structures of equity and interest rates 2009The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment 2010Overborrowing, Financial Crises and 'Macro-prudential' Taxes 2003The Equity Premium: Why is it a Puzzle?2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?2008Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance

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2003Chapter 13 Consumption-based asset pricingchapter · 99 shared references 1999Chapter 19 Asset prices, consumption, and the business cyclechapter · 69 shared references 2000Asset Pricing at the Millenniumarticle · 40 shared references 2005Financial Markets and the Real Economychapter · 40 shared references 1998Who Should Buy Long-Term Bonds?chapter · 37 shared references 2002Myopic Portfolio Choicechapter · 37 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations239

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.343784

openalex_workW2096778748

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2011CAPM for estimating the cost of equity capital: Interpreting the empirical evidence

2012Consumption-Based Asset Pricing with Higher Cumulants