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New Forecasts of the Equity Premium
Polk, Christopher; Thompson, Samuel B.; Vuolteenaho, Tuomo - 2021
If investors are myopic mean-variance optimizers, a stock's expected return is linearly related to its beta in the cross section. The slope of the relation is the cross-sectional price of risk, which should equal the expected equity premium. We use this simple observation to forecast the...
Persistent link: https://www.econbiz.de/10013224370
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Cross-sectional forecasts of the equity premium
Polk, Christopher; Thompson, Samuel B.; Vuolteenaho, Tuomo - In: Journal of financial economics 81 (2006) 1, pp. 101-141
Persistent link: https://www.econbiz.de/10003340669
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Asset pricing at the millennium
Campbell, John Y. - In: The journal of finance : the journal of the American … 55 (2000) 4, pp. 1515-1567
Persistent link: https://www.econbiz.de/10001505403
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Asset prices, consumption, and the business cycle
Campbell, John Y. - 1999
Persistent link: https://www.econbiz.de/10001436028
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Asset pricing at the millennium
Campbell, John Y. - 2000
Persistent link: https://www.econbiz.de/10001459128
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Understanding risk and return
Campbell, John Y. - 1993
Persistent link: https://www.econbiz.de/10000877573
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Consumption and the stock market : interpreting international experience
Campbell, John Y.; Svensson, Lars E. O. - In: Swedish economic policy review 3 (1997) 2, pp. 251-299
Persistent link: https://www.econbiz.de/10001238006
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Understanding risk and return
Campbell, John Y. - In: Journal of political economy 104 (1996) 2, pp. 298-345
Persistent link: https://www.econbiz.de/10001198651
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Consumption-based asset pricing
Campbell, John Y. - 2003
Persistent link: https://www.econbiz.de/10001832886
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Intertemporal asset pricing without consumption data
Campbell, John Y. - National Bureau of Economic Research - 1992
Persistent link: https://www.econbiz.de/10000136599