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~person:"Campbell, John Y."
~subject:"Risk premium"
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Risk premium
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ECONIS (ZBW)
37
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1
Macroeconomic Drivers of Bond and Equity Risks
Campbell, John Y.
-
2014
dynamics and time-varying
risk
premia on bonds and stocks. Consumers' first-order condition for the real
risk
-free interest … risks, but only when
risk
premia change endogenously as predicted by the model …
Persistent link: https://www.econbiz.de/10013054872
Saved in:
2
Macroeconomic drivers of bond and equity risks
Campbell, John Y.
;
Pflueger, Carolin E.
;
Viceira, Luis M.
- In:
Journal of political economy
128
(
2020
)
8
,
pp. 3148-3185
Persistent link: https://www.econbiz.de/10012418035
Saved in:
3
Inflation Illusion and Stock Prices
Campbell, John Y.
-
2011
) the subjectively expected
risk
premium, and (3) residual mispricing attributed to the market's forecast of dividend growth …
Persistent link: https://www.econbiz.de/10013133237
Saved in:
4
Equity Volatility and Corporate Bond Yields
Campbell, John Y.
-
2010
This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding, together with the upward trend in idiosyncratic...
Persistent link: https://www.econbiz.de/10012763016
Saved in:
5
Asset Pricing at the Millennium
Campbell, John Y.
-
2010
on the tradeoff between
risk
and return. Modern research seeks to understand the behavior of the stochastic discount … conditional mean of the SDF, while patterns of
risk
premia restrict its conditional volatility and factor structure. Stylized …
Persistent link: https://www.econbiz.de/10012763342
Saved in:
6
Consumption and Portfolio Decisions When Expected Returns are Time Varying
Campbell, John Y.
-
2010
intertemporal hedging motives greatly increase, and may even double, the average demand for stocks by investors whose
risk
…
Persistent link: https://www.econbiz.de/10012763679
Saved in:
7
Predicting the Equity Premium Out of Sample : Can Anything Beat the Historical Average?
Campbell, John Y.
-
2009
A number of variables are correlated with subsequent returns on the aggregate US stock market in the 20th Century. Some of these variables are stock market valuation ratios, others reflect patterns in corporate finance or the levels of short- and long-term interest rates. Amit Goyal and Ivo...
Persistent link: https://www.econbiz.de/10012767549
Saved in:
8
Empirical asset pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller
Campbell, John Y.
- In:
The Scandinavian journal of economics
116
(
2014
)
3
,
pp. 593-634
Persistent link: https://www.econbiz.de/10010421869
Saved in:
9
Monetary policy drivers of bond and equity risks
Campbell, John Y.
;
Pflueger, Carolin
;
Viceira, Luis M.
-
2014
Persistent link: https://www.econbiz.de/10010360082
Saved in:
10
Chapter 13 Consumption-based asset pricing
Campbell, John Y.
-
2003
argues that to make sense of asset market behavior one needs a model in which the market price of
risk
is high, time …
Persistent link: https://www.econbiz.de/10014023858
Saved in:
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