Asset Pricing at the Millennium
综述资产定价领域，强调理论与实证的互动及风险与收益的权衡，通过随机贴现因子解释利率期限结构、风险溢价模式等典型事实，对研究最优投资组合、跨期均衡模型和行为金融的学者有参考价值。
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.