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~isPartOf:"NBER Working Paper"
~person:"Artmann, Sabine"
~person:"Campbell, John Y."
~subject:"Share price"
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1
The Long-Run Risks Model and Aggregate Asset Prices : An Empirical Assessment
Beeler, Jason
;
Campbell, John Y.
-
2021
The long-run risks model of asset prices explains stock price variation as a response to persistent fluctuations in the mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents several empirical...
Persistent link: https://www.econbiz.de/10013225971
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2
Hard Times
Campbell, John Y.
-
2010
, estimated imposing the cross-sectional restrictions of the intertemporal capital
asset
pricing
model (ICAPM). As stock returns …
Persistent link: https://www.econbiz.de/10013139890
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3
Where Do Betas Come from? Asset Price Dynamics and the Sources of Systematic Risk
Campbell, John Y.
-
2002
return effects. The paper also shows how
asset
pricing
theory restricts the expected excess return components of betas …
Persistent link: https://www.econbiz.de/10012787489
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