文档介绍：THE JOURNAL OF FINANCE • VOL. LV, NO. 4 • AUGUST 2000
Asset Pricing at the Millennium
JOHN Y. CAMPBELL*
ABSTRACT
This paper surveys the field of asset pricing. The emphasis is on the interplay
between theory and empirical work and on the trade-off between risk and return.
Modern research seeks to understand the behavior of the stochastic discount factor
~SDF! that prices all assets in the economy. The behavior of the term structure of
real interest rates restricts the conditional mean of the SDF, whereas patterns of
risk premia restrict its conditional volatility and factor structure. Stylized facts
about interest rates, aggregate stock prices, and cross-sectional patterns in stock
returns have stimulated new research on optimal portfolio choice, intertemporal
equilibrium models, and behavioral finance.
This paper surveys the field of asset pricing. The emphasis is on the inter-
play between theory and empirical work. Theorists develop models with test-
able predictions; empirical researchers document “puzzles”—stylized facts
that fail to fit established theories—and this stimulates the development of
new theories.
Such a process is part of the normal development of any science. Asset
pricing, like the rest of economics, faces the special challenge that data are
generated naturally rather than experimentally, and so researchers cannot
control the quantity of data or the random shocks that affect the data. A
particularly interesting characteristic of the asset pricing field is that these
random shocks are also the subject matter of the theory. As Campbell, Lo,
and MacKinlay ~1997, Chap. 1, p. 3! put it:
What distinguishes financial economics is the central role that uncer-
tainty plays in both financial theory and its empirical implementation.
The starting point for every financial model is the uncertainty facing
investors, and the substance of every financial model involves the im-
pact of uncertainty on the behavior of