Authors
John Y Campbell
Publication date
1996/4/1
Journal
Journal of Political Economy
Volume
104
Issue
2
Pages
298-345
Publisher
The University of Chicago Press
Description
This paper uses an equilibrium multifactor model to interpret the cross-sectional pattern of postwar U.S. stock and bond returns. Priced factors include the return on a stock index, revisions in forecasts of future stock returns (to capture intertemporal hedging effects), and revisions in forecasts of future labor income growth (proxies for the return on human capital). 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 risk.
Total citations
Scholar articles
JY Campbell - Journal of Political economy, 1996