The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Understanding Risk and Return
Open accessAbstract
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.
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Citations
Cites
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Hodrick, R. J. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.3.351 · Cited by 1,523
Cited by
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Self-citation… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
HAIL, L., & LEUZ, C. (2006) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2006.00209.x · Cited by 1,371
International Evidence on Cash Holdings and Expected Managerial Agency Problems
Kalcheva, I., & Lins, K. V. (2007) · Review of Financial Studies · doi:10.1093/rfs/hhm023 · Cited by 820
Mandatory IFRS reporting and changes in enforcement
Christensen, H. B., Hail, L., & Leuz, C. (2013) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2013.10.007 · Cited by 816
Metadata
- Authors
- Campbell, J. Y.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 1996-04
- Volume
- 104
- Issue
- 2
- Pages
- 298-345
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2104204963
- Cited by
- 1,785
- References
- 2
- FWCI
- 8.08
- Type
- journal article
- Language
- en
- Open access
- green
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- Campbell, J. Y. (1996). Understanding Risk and Return. Journal of Political Economy. https://doi.org/10.1086/262026
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
