John Y. Campbell

Harvard University - Department of Economics

Morton L. and Carole S. Olshan Professor of Economics

Littauer Center

Room 213

Cambridge, MA 02138

United States

http://scholar.harvard.edu/campbell

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

111

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66,109

SSRN CITATIONS
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9,850

CROSSREF CITATIONS

13,466

Scholarly Papers (111)

1.
Downloads 7,093 ( 1,926)
Citation 234

Bad Beta, Good Beta

Number of pages: 58 Posted: 23 Oct 2002
John Y. Campbell and Tuomo Vuolteenaho
Harvard University - Department of Economics and Arrowstreet Capital, LP
Downloads 4,631 (3,939)
Citation 193

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Bad Beta, Good Beta

NBER Working Paper No. w9509
Number of pages: 58 Posted: 25 Feb 2003 Last Revised: 26 Dec 2022
John Y. Campbell and Tuomo Vuolteenaho
Harvard University - Department of Economics and Arrowstreet Capital, LP
Downloads 2,462 (10,896)
Citation 52

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2.

Consumption-Based Asset Pricing

Number of pages: 116 Posted: 29 Oct 2002
John Y. Campbell
Harvard University - Department of Economics
Downloads 3,158 (7,505)
Citation 121

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Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Number of pages: 59 Posted: 25 Feb 2000
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management
Downloads 2,158 (13,517)

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Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

NBER Working Paper No. w7590
Number of pages: 59 Posted: 11 Jul 2000 Last Revised: 29 Sep 2022
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management
Downloads 294 (193,638)
Citation 185

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Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Journal of Finance
Posted: 24 Aug 2000
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management

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4.
Downloads 2,330 (12,158)
Citation 581

In Search of Distress Risk

Harvard Institute of Economic Research Discussion Paper No. 2081
Number of pages: 47 Posted: 28 Jul 2005
John Y. Campbell, Jens Hilscher and Jan Szilagyi
Harvard University - Department of Economics, University of California, Davis and Duquesne Capital Management LLC
Downloads 1,964 (15,603)
Citation 30

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In Search of Distress Risk

NBER Working Paper No. w12362
Number of pages: 54 Posted: 20 Jul 2006 Last Revised: 13 Oct 2022
John Y. Campbell, Jens Hilscher and Jan Szilagyi
Harvard University - Department of Economics, University of California, Davis and Duquesne Capital Management LLC
Downloads 279 (204,352)
Citation 84

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In Search of Distress Risk

Bundesbank Series 1 Discussion Paper No. 2005,27
Number of pages: 60 Posted: 08 Jun 2016
John Y. Campbell, Jens Hilscher and Jan Szilagyi
Harvard University - Department of Economics, University of California, Davis and Duquesne Capital Management LLC
Downloads 87 (544,905)
Citation 5

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5.
Downloads 2,149 (13,851)
Citation 245

Efficient Tests of Stock Return Predictability

Journal of Financial Economics (JFE), Vol. 81, No. 1, 2006
Number of pages: 56 Posted: 23 Oct 2002 Last Revised: 17 Jun 2009
John Y. Campbell and Motohiro Yogo
Harvard University - Department of Economics and Princeton University - Department of Economics
Downloads 1,893 (16,586)
Citation 29

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Bonferroni test, Dividend yield, Predictability, Stock returns, Unit root

Efficient Tests of Stock Return Predictability

NBER Working Paper No. w10026
Number of pages: 57 Posted: 14 Oct 2003 Last Revised: 25 Nov 2022
John Y. Campbell and Motohiro Yogo
Harvard University - Department of Economics and Princeton University - Department of Economics
Downloads 256 (222,979)
Citation 36

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6.

The Regulation of Consumer Financial Products: An Introductory Essay with Four Case Studies

HKS Working Paper No. RWP10-40
Number of pages: 52 Posted: 27 Jul 2010 Last Revised: 16 Dec 2010
Harvard University - Department of Economics, Harvard Law School, Brigham Young University Marriott School of Business and Harvard Business School
Downloads 2,066 (14,687)
Citation 25

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Consumer Finance, Mortgages, Payday Lending, Retirement Savings, Mutual Funds, Financial Regulation, Bureau of Consumer Financial Protection

7.
Downloads 1,992 (15,542)
Citation 370

Equity Volatility and Corporate Bond Yields

Number of pages: 47 Posted: 20 Feb 2002
John Y. Campbell and Glen B. Taksler
Harvard University - Department of Economics and affiliation not provided to SSRN
Downloads 1,720 (19,268)

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Corporate bonds, equity volatility

Equity Volatility and Corporate Bond Yields

NBER Working Paper No. w8961
Number of pages: 47 Posted: 24 May 2002 Last Revised: 28 Dec 2022
John Y. Campbell and Glen B. Taksler
Harvard University - Department of Economics and affiliation not provided to SSRN
Downloads 272 (209,779)
Citation 37

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8.

Reforming Money Market Funds

Tuck School of Business Working Paper No. 2011-86, Rock Center for Corporate Governance at Stanford University Working Paper No. 109, Columbia Business School Research Paper No. 12-13
Number of pages: 10 Posted: 19 Jan 2011 Last Revised: 20 Feb 2012
Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Dartmouth College - Tuck School of Business, University of Chicago, Booth School of Business, Columbia University - Columbia Business School, Finance, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS), Harvard University - Department of Economics and Ohio State University (OSU) - Department of Finance
Downloads 1,983 (15,645)
Citation 3

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9.
Downloads 1,841 (17,643)
Citation 87

Global Currency Hedging

Journal of Finance, Forthcoming
Number of pages: 115 Posted: 20 Mar 2007 Last Revised: 30 Mar 2014
Harvard University - Department of Economics, OC&C Strategy Consultants and Harvard Business School - Finance Unit
Downloads 1,199 (33,096)
Citation 7

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Foreign exchange, Siegel's paradox, risk management

Global Currency Hedging

Harvard Business School Finance Working Paper No. 09-089
Number of pages: 116 Posted: 29 Jan 2009
Harvard University - Department of Economics, OC&C Strategy Consultants and Harvard Business School - Finance Unit
Downloads 519 (101,600)
Citation 7

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Global Currency Hedging

NBER Working Paper No. w13088
Number of pages: 116 Posted: 27 Jun 2007 Last Revised: 07 Oct 2022
Harvard University - Department of Economics, OC&C Strategy Consultants and Harvard Business School - Finance Unit
Downloads 123 (426,049)
Citation 8

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10.
Downloads 1,594 (22,011)
Citation 42

Understanding Inflation-Indexed Bond Markets

Yale ICF Working Paper No. 09-08
Number of pages: 48 Posted: 22 May 2009
John Y. Campbell, Robert J. Shiller and Luis M. Viceira
Harvard University - Department of Economics, Yale University - Cowles Foundation and Harvard Business School - Finance Unit
Downloads 1,064 (39,304)
Citation 16

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Understanding Inflation-Indexed Bond Markets

Cowles Foundation Discussion Paper No. 1696
Number of pages: 48 Posted: 27 May 2009
John Y. Campbell, Robert J. Shiller and Luis M. Viceira
Harvard University - Department of Economics, Yale University - Cowles Foundation and Harvard Business School - Finance Unit
Downloads 386 (144,129)
Citation 6

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Expectations hypothesis, Liquidity, Term premia, TIPS

Understanding Inflation-Indexed Bond Markets

NBER Working Paper No. w15014
Number of pages: 47 Posted: 01 Jun 2009 Last Revised: 12 Jul 2023
John Y. Campbell, Robert J. Shiller and Luis M. Viceira
Harvard University - Department of Economics, Yale University - Cowles Foundation and Harvard Business School - Finance Unit
Downloads 144 (376,343)

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Downloads 1,489 (24,452)
Citation 69

Who Should Buy Long-Term Bonds?

Harvard Institute of Economic Research Paper No. 1895
Number of pages: 79 Posted: 01 Dec 1998
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 1,154 (34,921)
Citation 44

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Who Should Buy Long-Term Bonds?

NBER Working Paper No. w6801
Number of pages: 53 Posted: 10 Jun 2000 Last Revised: 03 Aug 2022
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 335 (168,452)

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12.
Downloads 1,381 (27,347)
Citation 118

Macroeconomic Drivers of Bond and Equity Risks

Harvard Business School Finance Working Paper No. 14-031
Number of pages: 55 Posted: 29 Sep 2013 Last Revised: 05 Dec 2019
Harvard University - Department of Economics, National Bureau of Economic Research (NBER)University of Chicago - Harris School of Public Policy and Harvard Business School - Finance Unit
Downloads 1,338 (28,118)
Citation 132

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consumption-based habit formation; consumption Euler equation; time-varying risk premia; inflation dynamics; bond-stock correlation

Macroeconomic Drivers of Bond and Equity Risks

NBER Working Paper No. w20070
Number of pages: 56 Posted: 28 Apr 2014
Harvard University - Department of Economics, National Bureau of Economic Research (NBER)University of Chicago - Harris School of Public Policy and Harvard Business School - Finance Unit
Downloads 43 (785,733)
Citation 1

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13.

By Force of Habit: A Consumption-Based Explanation of Plantation of Aggregate Stock Market Behavior

Center for Research in Security Prices (CRSP) Working Paper No. 412
Number of pages: 67 Posted: 26 Jun 1997
John Y. Campbell and John H. Cochrane
Harvard University - Department of Economics and Hoover Institution
Downloads 1,220 (32,792)
Citation 3

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Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

Harvard Institute of Economic Research Discussion Paper No. 2082
Number of pages: 50 Posted: 22 Mar 2006
John Y. Campbell, Christopher Polk and Tuomo Vuolteenaho
Harvard University - Department of Economics, London School of Economics and Arrowstreet Capital, LP
Downloads 1,029 (41,212)
Citation 41

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Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

NBER Working Paper No. w11389
Number of pages: 49 Posted: 06 Jul 2005 Last Revised: 15 Aug 2022
John Y. Campbell, Christopher Polk and Tuomo Vuolteenaho
Harvard University - Department of Economics, London School of Economics and Arrowstreet Capital, LP
Downloads 144 (376,343)
Citation 47

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Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

The Review of Financial Studies, Vol. 23, Issue 1, pp. 305-344, 2009
Posted: 25 Jan 2010
John Y. Campbell, Christopher Polk and Tuomo Vuolteenaho
Harvard University - Department of Economics, London School of Economics and Arrowstreet Capital, LP

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G12, G14, N22

15.
Downloads 1,158 (35,276)
Citation 166

Asset Pricing at the Millennium

Number of pages: 76 Posted: 06 Sep 2000
John Y. Campbell
Harvard University - Department of Economics
Downloads 927 (47,671)
Citation 2

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Asset Pricing at the Millennium

NBER Working Paper No. w7589
Number of pages: 75 Posted: 09 Jul 2000 Last Revised: 28 Sep 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 231 (246,668)
Citation 22

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Asset Pricing at the Millennium

Posted: 01 Aug 2000
John Y. Campbell
Harvard University - Department of Economics

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Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

Harvard Institute of Economic Research Paper No. 1899
Number of pages: 28 Posted: 01 Aug 2000
Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit
Downloads 1,105 (37,153)
Citation 11

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Hedging Demand, Intertemporal Portfolio Choice, And Mean Reversion

Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

Harvard Institute of Economic Research Paper No. 1899
Posted: 10 Apr 2002
Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit

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Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?

Harvard Institute of Economic Research Discussion Paper No. 2084
Number of pages: 30 Posted: 28 Jul 2005
John Y. Campbell and Samuel Brodsky Thompson
Harvard University - Department of Economics and Arrowstreet Capital, L.P.
Downloads 867 (52,281)
Citation 59

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Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?

NBER Working Paper No. w11468
Number of pages: 29 Posted: 09 Aug 2005 Last Revised: 03 Nov 2022
John Y. Campbell and Samuel Brodsky Thompson
Harvard University - Department of Economics and Arrowstreet Capital, L.P.
Downloads 197 (286,424)
Citation 11

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Getting Better or Feeling Better? How Equity Investors Respond to Investment Experiences

Number of pages: 60 Posted: 17 Nov 2012 Last Revised: 05 Dec 2014
John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
Downloads 965 (45,097)
Citation 7

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learning, feedback, investing, style-investing, disposition effect, diversification, turnover, India

Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience

NBER Working Paper No. w20000
Number of pages: 64 Posted: 24 Mar 2014 Last Revised: 24 Feb 2023
John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
Downloads 95 (514,684)
Citation 1

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Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience

CEPR Discussion Paper No. DP9907
Number of pages: 66 Posted: 02 Jun 2014
John Y. Campbell and Tarun Ramadorai
Harvard University - Department of Economics and Imperial College London
Downloads 1 (1,195,126)
Citation 2
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disposition effect, diversification, feedback, India, investing, learning, style-investing, turnover

Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

AFA 2009 San Francisco Meetings Paper, Harvard Business School Finance Working Paper No. 09-088
Number of pages: 44 Posted: 20 Mar 2008 Last Revised: 15 Jan 2013
John Y. Campbell, Adi Sunderam and Luis M. Viceira
Harvard University - Department of Economics, Harvard University - Business School (HBS) and Harvard Business School - Finance Unit
Downloads 955 (45,732)
Citation 5

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Term structure of interest rates, inflation risk, time varying expected returns, bond return predictability, expectations hypothesis, macro asset pricing

Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

NBER Working Paper No. w14701
Number of pages: 83 Posted: 17 Feb 2009 Last Revised: 03 Sep 2022
John Y. Campbell, Adi Sunderam and Luis M. Viceira
Harvard University - Department of Economics, Harvard University - Business School (HBS) and Harvard Business School - Finance Unit
Downloads 104 (483,628)
Citation 81

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Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market

American Economic Review, Forthcoming
Number of pages: 67 Posted: 09 Jul 2014 Last Revised: 01 Apr 2020
Copenhagen Business School - Department of Finance, Harvard University - Department of Economics, Copenhagen Business School - Department of Finance and Imperial College London
Downloads 971 (44,703)
Citation 27

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mortgages, refinancing, time-dependent inaction, state-dependent inaction, household finance, monetary policy, Denmark

Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market

NBER Working Paper No. w21386
Number of pages: 65 Posted: 27 Jul 2015 Last Revised: 09 Jun 2023
Copenhagen Business School - Department of Finance, Harvard University - Department of Economics, Copenhagen Business School - Department of Finance and Imperial College London
Downloads 72 (610,975)
Citation 26

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Inattention and Inertia in Household Finance: Evidence from the Danish Mortgage Market

CEPR Discussion Paper No. DP10683
Number of pages: 55 Posted: 08 Jul 2015
Copenhagen Business School - Department of Finance, Harvard University - Department of Economics, Copenhagen Business School - Department of Finance and Imperial College London
Downloads 0
Citation 1
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Denmark, household finance, inattention, inertia, mortgages, refinancing

21.

Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller

Number of pages: 46 Posted: 31 Mar 2014 Last Revised: 15 May 2014
John Y. Campbell
Harvard University - Department of Economics
Downloads 1,018 (42,501)
Citation 7

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Market efficiency, Generalized Method of Moments, behavioral finance

22.

Valuation Ratios and the Long-Run Stock Market Outlook: An Update

NBER Working Paper No. w8221
Number of pages: 43 Posted: 08 Apr 2001 Last Revised: 19 Dec 2022
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 1,018 (42,501)
Citation 68

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23.
Downloads 1,003 (43,413)
Citation 33

Investing Retirement Wealth: A Life-Cycle Model

Harvard Institute of Economic Research Paper No. 1896
Number of pages: 50 Posted: 15 Aug 2000
Harvard University - Department of Economics, London Business School, London Business School and INSEAD - Finance
Downloads 892 (50,291)
Citation 36

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Investing Retirement Wealth: a Life-Cycle Model

NBER Working Paper No. w7029
Number of pages: 49 Posted: 20 Apr 1999 Last Revised: 17 Sep 2022
Harvard University - Department of Economics, London Business School, London Business School and INSEAD - Finance
Downloads 111 (460,826)

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Strategic Asset Allocation in a Continuous-Time VAR Model

Harvard Institute Reseach Working Paper No. 1973
Number of pages: 24 Posted: 24 Oct 2002
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 821 (56,296)
Citation 5

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Strategic Asset Allocation in a Continuous-Time VAR Model

NBER Working Paper No. w9547
Number of pages: 25 Posted: 08 Mar 2003 Last Revised: 04 Aug 2022
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 111 (460,826)

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Strategic Asset Allocation in a Continuous-Time VAR Model

Number of pages: 38 Posted: 12 Jan 2004
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 23 (962,047)
Citation 3
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25.
Downloads 918 (49,047)
Citation 120

An Intertemporal CAPM with Stochastic Volatility

Number of pages: 72 Posted: 15 Mar 2012 Last Revised: 15 Sep 2016
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 853 (53,479)
Citation 3

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ICAPM, time-varying expected returns, stochastic volatility, value premium

An Intertemporal CAPM with Stochastic Volatility

NBER Working Paper No. w18411
Number of pages: 61 Posted: 22 Sep 2012 Last Revised: 23 Apr 2023
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 64 (651,988)

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An Intertemporal CAPM with Stochastic Volatility

CEPR Discussion Paper No. DP10681
Number of pages: 62 Posted: 29 Jun 2015
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Dodge & Cox Funds
Downloads 1 (1,195,126)
Citation 37
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ICAPM, stochastic volatility, time-varying expected returns, value premium

26.
Downloads 849 (54,618)
Citation 10

Foreign Currency for Long-Term Investors

Harvard Business School Negotiation, Organizations and Markets Unit, Research Paper Series, Forthcoming, HBS Finance Working Paper No. 03-56
Number of pages: 41 Posted: 05 Aug 2002
John Y. Campbell, Luis M. Viceira and Joshua S. White
Harvard University - Department of Economics, Harvard Business School - Finance Unit and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 735 (65,303)

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Foreign Exchange Rates, Home Bias, Intertemporal Hedging Demand, Portfolio Choice, Uncovered Interest Parity

Foreign Currency for Long-Term Investors

NBER Working Paper No. w9075
Number of pages: 40 Posted: 20 Jul 2002 Last Revised: 26 Oct 2022
John Y. Campbell, Luis M. Viceira and Joshua S. White
Harvard University - Department of Economics, Harvard Business School - Finance Unit and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 86 (548,948)

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Foreign Currency for Long-Term Investors

Number of pages: 42 Posted: 04 Sep 2002
John Y. Campbell, Luis M. Viceira and Joshua S. White
Harvard University - Department of Economics, Harvard Business School - Finance Unit and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 28 (912,313)
Citation 12
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Home bias, portfolio choice, foreign exchange rates, intertemporal hedging demand, uncovered interest parity

27.

Aligning Incentives at Systemically Important Financial Institutions

Columbia Business School Research Paper No. 13-18, Fisher College of Business Working Paper
Number of pages: 7 Posted: 28 Mar 2013
Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Dartmouth College - Tuck School of Business, University of Chicago, Booth School of Business, Columbia University - Columbia Business School, Finance, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS) and Ohio State University (OSU) - Department of Finance
Downloads 838 (55,590)
Citation 1

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Bonus, compensation, contingent convertible bonds, capital, regulation, financial crisis

Fight or Flight? Portfolio Rebalancing by Individual Investors

AFA 2008 New Orleans Meetings Paper
Number of pages: 45 Posted: 21 Mar 2007
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
SKEMA Business School, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 723 (66,671)
Citation 95

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Asset allocation, disposition effect, diversification, participation, portfolio rebalancing

Fight or Flight? Portfolio Rebalancing by Individual Investors

NBER Working Paper No. w14177
Number of pages: 46 Posted: 21 Jul 2008 Last Revised: 28 Sep 2022
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
SKEMA Business School, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 104 (483,628)
Citation 83

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29.
Downloads 818 (57,403)
Citation 13

Who Owns What? A Factor Model for Direct Stockholding

Number of pages: 81 Posted: 02 Mar 2021 Last Revised: 19 Jul 2021
Queen Mary University of London, Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
Downloads 818 (56,558)
Citation 2

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stockholding, factor models, coholdings, portfolio construction, diversification, retail investors

Who Owns What? A Factor Model for Direct Stockholding

CEPR Discussion Paper No. DP16378
Number of pages: 84 Posted: 22 Sep 2021
Queen Mary University of London, Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
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Citation 10
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coholdings, Diversification, factor models, portfolio construction, Retail investors, Stockholding

How Do House Prices Affect Consumption? Evidence from Micro Data

Harvard Institute of Economic Research Discussion Paper No. 2045
Number of pages: 56 Posted: 02 Feb 2005
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
Downloads 622 (80,843)
Citation 9

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How Do House Prices Affect Consumption? Evidence from Micro Data

NBER Working Paper No. w11534
Number of pages: 76 Posted: 19 Sep 2005 Last Revised: 09 Jul 2022
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
Downloads 181 (309,309)
Citation 57

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31.

Caught on Tape: Predicting Institutional Ownership with Order Flow

Number of pages: 50 Posted: 25 Mar 2004
John Y. Campbell, Tuomo Vuolteenaho and Tarun Ramadorai
Harvard University - Department of Economics, Arrowstreet Capital, LP and Imperial College London
Downloads 770 (62,286)
Citation 10

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institutions, individuals, trading behavior, execution

32.
Downloads 756 (63,880)
Citation 52

International Comparative Household Finance

Number of pages: 40 Posted: 17 Aug 2015 Last Revised: 01 Mar 2016
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London
Downloads 647 (76,953)
Citation 1

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household finance, household balance sheet, pension finance, risky investments, mortgage debt, international comparisons

International Comparative Household Finance

NBER Working Paper No. w22066
Number of pages: 41 Posted: 07 Mar 2016 Last Revised: 17 Apr 2023
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London
Downloads 109 (467,151)
Citation 38

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International Comparative Household Finance

Annual Review of Economics, Vol. 8, pp. 111-144, 2016
Posted: 18 Nov 2016
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London

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33.
Downloads 711 (69,279)
Citation 235

Household Risk Management and Optimal Mortgage Choice

Harvard Institute of Economic Research Paper No. 1946
Number of pages: 54 Posted: 20 Feb 2002
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
Downloads 599 (84,771)
Citation 1

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Household Risk Management and Optimal Mortgage Choice

NBER Working Paper No. w9759
Number of pages: 62 Posted: 08 Jun 2003 Last Revised: 02 Sep 2022
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
Downloads 112 (460,826)
Citation 38

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34.
Downloads 699 (70,633)
Citation 32

Hard Times

AFA 2012 Chicago Meetings Paper
Number of pages: 46 Posted: 20 Mar 2011 Last Revised: 24 Dec 2011
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 408 (135,212)

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Hard Times

Chicago Booth Research Paper No. 12-46, Fama-Miller Working Paper
Number of pages: 50 Posted: 13 Sep 2012
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 214 (265,371)
Citation 27

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Hard Times

NBER Working Paper No. w16222
Number of pages: 33 Posted: 26 Jul 2010 Last Revised: 30 Apr 2023
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 77 (587,661)
Citation 5

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35.

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

NBER Working Paper No. w2100
Number of pages: 40 Posted: 07 Jul 2004 Last Revised: 29 Sep 2022
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 682 (72,934)
Citation 201

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36.

International Experiences with Securities Transaction Taxes

NBER Working Paper No. w4587
Number of pages: 42 Posted: 27 Dec 2002 Last Revised: 16 Jul 2022
John Y. Campbell and Kenneth Froot
Harvard University - Department of Economics and Harvard University Graduate School of Business
Downloads 569 (91,571)
Citation 2

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37.

Stock Prices, Earnings and Expected Dividends

NBER Working Paper No. w2511
Number of pages: 42 Posted: 14 Jan 2001 Last Revised: 13 Nov 2022
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
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Citation 85

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Restoring Rational Choice: The Challenge of Consumer Financial Regulation

Sloan Foundation Economics Research Paper No. 2719330
Number of pages: 62 Posted: 22 Jan 2016 Last Revised: 07 Jun 2016
John Y. Campbell
Harvard University - Department of Economics
Downloads 367 (152,556)
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Restoring Rational Choice: The Challenge of Consumer Financial Regulation

ECB Working Paper No. 1897
Number of pages: 99 Posted: 27 Apr 2016
John Y. Campbell
Harvard University - Department of Economics
Downloads 130 (408,334)
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financial literacy, wealth inequality, consumer protection

Restoring Rational Choice: The Challenge of Consumer Financial Regulation

NBER Working Paper No. w22025
Number of pages: 62 Posted: 01 Mar 2016 Last Revised: 08 Mar 2023
John Y. Campbell
Harvard University - Department of Economics
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Citation 57

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Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements

Number of pages: 65 Posted: 05 Jul 2007
John Y. Campbell, Tarun Ramadorai and Allie Schwartz
Harvard University - Department of Economics, Imperial College London and Harvard University
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institutions, trading, liquidity, earnings announcements, post-earnings-announcement-drift.

Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements

CEPR Discussion Paper No. DP6390
Number of pages: 67 Posted: 29 May 2008
John Y. Campbell, Tarun Ramadorai and Allie Schwartz
Harvard University - Department of Economics, Imperial College London and Harvard University
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Citation 21
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Earnings announcements, institutions, liquidity, post-earnings-announcement-drift, trading

40.

Trading Volume and Serial Correlation in Stock Returns

NBER Working Paper No. w4193
Number of pages: 45 Posted: 30 Jan 2003 Last Revised: 18 Dec 2022
John Y. Campbell, Sanford J. Grossman and Jiang Wang
Harvard University - Department of Economics, University of Pennsylvania - Finance Department and Massachusetts Institute of Technology (MIT) - Sloan School of Management
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Citation 39

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What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable-Rate Mortgages

Number of pages: 33 Posted: 04 Jun 2013 Last Revised: 03 Aug 2016
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London
Downloads 442 (123,114)
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mortgage choice, interest rate, adjustable-rate, fixed-rate, household finance, international

What Calls to Arms? International Evidence on Interest Rates and the Choice of Adjustable-Rate Mortgages

NBER Working Paper No. w20408
Number of pages: 39 Posted: 25 Aug 2014 Last Revised: 07 Apr 2023
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London
Downloads 49 (742,931)
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What Calls to Arms? International Evidence on Interest Rates and the Choice of Adjustable Rate Mortgages

CEPR Discussion Paper No. DP10117
Number of pages: 36 Posted: 30 Sep 2014
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London
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Citation 10
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adjustable-rate, fixed-rate, household finance, interest rate, international, mortgage choice

42.

Inflation Illusion and Stock Prices

NBER Working Paper No. w10263
Number of pages: 20 Posted: 19 Jul 2010 Last Revised: 18 Jul 2022
John Y. Campbell and Tuomo Vuolteenaho
Harvard University - Department of Economics and Arrowstreet Capital, LP
Downloads 490 (110,121)
Citation 52

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A Variance Decomposition for Stock Returns

NBER Working Paper No. w3246
Number of pages: 36 Posted: 11 Nov 2000 Last Revised: 16 Nov 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 445 (123,475)
Citation 53

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Do the Rich Get Richer in the Stock Market? Evidence from India

Number of pages: 26 Posted: 20 Mar 2018 Last Revised: 16 Aug 2018
John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
Downloads 388 (143,278)
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inequality, diversification, stock investment, India

Do the Rich Get Richer in the Stock Market? Evidence from India

NBER Working Paper No. w24898
Number of pages: 26 Posted: 22 Aug 2018 Last Revised: 14 Jul 2023
John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
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Do the Rich Get Richer in the Stock Market? Evidence from India

CEPR Discussion Paper No. DP13116
Number of pages: 29 Posted: 21 Aug 2018
John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
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Citation 37
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Diversification, equities, India, Wealth Inequality

Down or Out: Assessing the Welfare Costs of Household Investment Mistakes

Harvard Institute of Economic Research Discussion Paper No. 2107, Riksbank Research Paper Series No. 28, Riksbank Working Paper No. 195
Number of pages: 65 Posted: 21 Feb 2006
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
SKEMA Business School, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 315 (179,890)
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Asset allocation, diversification, familiarity, participation

Down or Out: Assessing the Welfare Costs of Household Investment Mistakes

NBER Working Paper No. w12030
Number of pages: 65 Posted: 11 Feb 2006 Last Revised: 16 Nov 2022
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
SKEMA Business School, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 96 (511,043)
Citation 101

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Down or Out: Assessing the Welfare Costs of Household Investment Mistakes

Journal of Political Economy, Vol. 115, No. 5, 2007
Posted: 21 Dec 2007
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
SKEMA Business School, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance

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46.
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Citation 36

Structuring Mortgages for Macroeconomic Stability

Journal of Finance, Forthcoming
Number of pages: 90 Posted: 06 Mar 2018 Last Revised: 22 Jan 2021
John Y. Campbell, Nuno Clara, Nuno Clara and Joao F. Cocco
Harvard University - Department of Economics, London Business SchoolDuke University - Finance and London Business School
Downloads 384 (144,984)
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Household Finance, Mortgages

Structuring Mortgages for Macroeconomic Stability

NBER Working Paper No. w27676
Number of pages: 62 Posted: 17 Aug 2020 Last Revised: 13 Feb 2023
John Y. Campbell, Nuno Clara, Nuno Clara and Joao F. Cocco
Harvard University - Department of Economics, London Business SchoolDuke University - Finance and London Business School
Downloads 12 (1,083,811)
Citation 31

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Caught on Tape: Institutional Order Flow and Stock Returns

Harvard Institute of Economic Research Discussion Paper No. 2080
Number of pages: 47 Posted: 28 Jul 2005
John Y. Campbell, Tarun Ramadorai and Tuomo Vuolteenaho
Harvard University - Department of Economics, Imperial College London and Arrowstreet Capital, LP
Downloads 364 (155,182)

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The Impact of Regulation on Mortgage Risk: Evidence from India

Number of pages: 52 Posted: 02 Jul 2012 Last Revised: 11 Sep 2014
John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
Downloads 332 (170,103)
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mortgage finance, regulation, regression discontinuity, delinquencies, India

How Do Regulators Influence Mortgage Risk? Evidence from an Emerging Market

CEPR Discussion Paper No. DP9136
Number of pages: 50 Posted: 28 Sep 2012
John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
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delinquencies, emerging markets, India, mortgage finance, regulation

49.

Stock Returns and the Term Structure

NBER Working Paper No. w1626
Number of pages: 53 Posted: 04 Jul 2004 Last Revised: 12 Dec 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 328 (173,621)
Citation 51

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What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns

NBER Working Paper No. w3760
Number of pages: 53 Posted: 05 Jul 2004 Last Revised: 12 Oct 2022
John Y. Campbell and John Ammer
Harvard University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 309 (184,826)
Citation 42

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Citation 149

A Model of Mortgage Default

Journal of Finance, Forthcoming
Number of pages: 105 Posted: 17 Jun 2014
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
Downloads 226 (252,006)
Citation 21

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Household finance, loan to value ratio, loan to income ratio, mortgage affordability

A Model of Mortgage Default

NBER Working Paper No. w17516
Number of pages: 64 Posted: 15 Oct 2011 Last Revised: 13 May 2023
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
Downloads 76 (592,270)
Citation 81

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52.
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Citation 4

Idiosyncratic Equity Risk Two Decades Later

Number of pages: 21 Posted: 21 Apr 2022
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management
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Market Microstructure, Idiosyncratic Volatility, Industry Volatility, Market Volatility

Idiosyncratic Equity Risk Two Decades Later

NBER Working Paper No. w29916
Number of pages: 22 Posted: 11 Apr 2022 Last Revised: 30 Mar 2023
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management
Downloads 89 (536,987)
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53.

Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence

NBER Working Paper No. w2924
Number of pages: 52 Posted: 25 Oct 2000 Last Revised: 30 Dec 2022
John Y. Campbell and N. Gregory Mankiw
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 298 (192,158)
Citation 44

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54.
Downloads 287 (199,773)
Citation 54

The Term Structure of the Risk-Return Tradeoff

NBER Working Paper No. w11119
Number of pages: 54 Posted: 09 Mar 2005 Last Revised: 20 Nov 2022
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 255 (223,918)
Citation 1

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The Term Structure of the Risk-Return Tradeoff

Number of pages: 55 Posted: 14 Jun 2005
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 32 (875,469)
Citation 3
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Risk-return tradeoff, mean-variance analysis, long-horizon investing, vector autoregression

55.

Household Finance

NBER Working Paper No. w12149
Number of pages: 72 Posted: 18 May 2006 Last Revised: 12 Sep 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 276 (207,886)
Citation 121

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56.

Yield Spreads and Interest Rate Movements: A Bird's Eye View

NBER Working Paper No. w3153
Number of pages: 42 Posted: 27 Apr 2000 Last Revised: 13 Feb 2022
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 275 (208,637)
Citation 160

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57.
Downloads 268 (214,125)
Citation 208

A Multivariate Model of Strategic Asset Allocation

NBER Working Paper No. w8566
Number of pages: 79 Posted: 25 Oct 2001 Last Revised: 29 Nov 2022
John Y. Campbell, Yeung Lewis Chan and Luis M. Viceira
Harvard University - Department of Economics, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Harvard Business School - Finance Unit
Downloads 231 (246,668)
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A Multivariate Model of Strategic Asset Allocation

Number of pages: 81 Posted: 06 Dec 2001
John Y. Campbell, Yeung Lewis Chan and Luis M. Viceira
Harvard University - Department of Economics, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Harvard Business School - Finance Unit
Downloads 37 (832,680)
Citation 12
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Intertemporal hedging demand, portfolio choice, predictability, strategic asset allocation

58.

Smart Money, Noise Trading and Stock Price Behavior

NBER Working Paper No. t0071
Number of pages: 79 Posted: 04 Jul 2004 Last Revised: 13 Mar 2023
John Y. Campbell and Albert S. Kyle
Harvard University - Department of Economics and University of Maryland
Downloads 255 (225,054)
Citation 16

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59.

The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment

NBER Working Paper No. w14788
Number of pages: 52 Posted: 17 Mar 2009 Last Revised: 28 Nov 2022
Jason Beeler and John Y. Campbell
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 239 (239,806)
Citation 78

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60.
Downloads 233 (245,709)
Citation 90

Understanding Risk and Return

NBER Working Paper No. w4554
Number of pages: 53 Posted: 14 Aug 2007 Last Revised: 12 Dec 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 233 (244,712)
Citation 90

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Understanding Risk and Return

J. OF POLITICAL ECONOMY, Vol. 104 No. 2, April 1996
Posted: 19 Jun 1998
John Y. Campbell
Harvard University - Department of Economics

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61.
Downloads 232 (246,674)
Citation 1

Sustainability in a Risky World

Number of pages: 34 Posted: 30 Mar 2021 Last Revised: 16 Feb 2023
John Y. Campbell and Ian Martin
Harvard University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 206 (275,024)

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Sustainability, social discounting, consumption-wealth ratio, rate of time preference, Ramsey rule

Sustainability in a Risky World

NBER Working Paper No. w28899
Number of pages: 35 Posted: 07 Jun 2021 Last Revised: 17 Feb 2023
John Y. Campbell and Ian Martin
Harvard University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance
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Sustainability in a Risky World

CEPR Discussion Paper No. DP16219
Number of pages: 33 Posted: 14 Jul 2021 Last Revised: 29 Mar 2022
John Y. Campbell and Ian Martin
Harvard University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance
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62.

Dispersion and Volatility in Stock Returns: an Empirical Investigation

NBER Working Paper No. w7144
Number of pages: 42 Posted: 21 Sep 1998 Last Revised: 09 Jan 2022
Martin Lettau and John Y. Campbell
University of California - Haas School of Business and Harvard University - Department of Economics
Downloads 224 (255,084)

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By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior

NBER Working Paper No. w4995
Number of pages: 57 Posted: 24 Jul 2000 Last Revised: 27 Aug 2022
John Y. Campbell and John H. Cochrane
Harvard University - Department of Economics and Hoover Institution
Downloads 218 (260,675)
Citation 67

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By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior

Journal of Political Economy, Vol. 107, No. 2, April 1999
Posted: 15 Mar 1999
John Y. Campbell and John H. Cochrane
Harvard University - Department of Economics and Hoover Institution

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64.

Asset Prices, Consumption, and the Business Cycle

NBER Working Paper No. w6485
Number of pages: 111 Posted: 16 Jul 2000 Last Revised: 22 Sep 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 212 (268,575)
Citation 25

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65.

Permanent Income, Current Income, and Consumption

NBER Working Paper No. w2436
Number of pages: 45 Posted: 25 Jun 2004 Last Revised: 29 Aug 2022
John Y. Campbell and N. Gregory Mankiw
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 193 (292,498)
Citation 26

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66.

Estimating the Equity Premium

NBER Working Paper No. w13423
Number of pages: 28 Posted: 26 Sep 2007 Last Revised: 05 Sep 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 186 (302,273)
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Elasticities of Substitution in Real Business Cycle Models with Home Production

Number of pages: 44 Posted: 04 Feb 1999
John Y. Campbell and Sydney C. Ludvigson
Harvard University - Department of Economics and New York University - Department of Economics
Downloads 144 (376,343)
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Elasticities of Substitution in Real Business Cycle Models with Home Production

NBER Working Paper No. w6763
Number of pages: 57 Posted: 26 Aug 2000 Last Revised: 26 Jun 2022
John Y. Campbell and Sydney C. Ludvigson
Harvard University - Department of Economics and New York University - Department of Economics
Downloads 42 (793,171)

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Measuring the Financial Sophistication of Households

NBER Working Paper No. w14699
Number of pages: 48 Posted: 17 Feb 2009 Last Revised: 01 Sep 2022
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
SKEMA Business School, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 184 (305,152)
Citation 36

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Forced Sales and House Prices

NBER Working Paper No. w14866
Number of pages: 45 Posted: 13 Apr 2009 Last Revised: 15 Aug 2022
John Y. Campbell, Stefano Giglio and Parag A. Pathak
Harvard University - Department of Economics, Yale School of Management and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 176 (317,544)
Citation 135

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70.
Downloads 175 (319,121)
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The Cross-Section of Household Preferences

Number of pages: 79 Posted: 09 Nov 2022
SKEMA Business School, Harvard University - Department of Economics, London Business School and Stockholm School of Economics - Department of Finance
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Life-cycle model, elasticity of intertemporal substitution, risk aversion, time preference rate, Epstein-Zin preferences, indirect inference.

The Cross-Section of Household Preferences

NBER Working Paper No. w28788
Number of pages: 42 Posted: 17 May 2021 Last Revised: 27 Feb 2023
SKEMA Business School, Harvard University - Department of Economics, London Business School and Stoc