Work

The Term Structure of the Risk–Return Trade-Off

Year: 2005

Type: article

Abstract: Expected excess returns on bonds and stocks, real interest rates, and risk shift over time in predictable ways. Furthermore, these shifts tend to persist for long periods. Changes in investment opportunities can alter the risk–return trade-off of bonds, stocks, and cash across investment horizons, thus creating a “term structure” of the risk–return trade-off. This term structure can be extracted from a parsimonious model of return dynamics, as is illustrated with data from the U.S. stock and bond markets.

Source: Financial Analysts Journal

DOI: 10.2469/faj.v61.n1.2682

Authors: John Y. Campbell, Luis M. Viceira

Institution: Harvard University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2969575657

FWCI: 29.6

Cites: 32

Cited by: 294

Related to: 10