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

  • Harvard University - Department of Economics

    • Email
    • Tel: 617-496-6448
    • Fax: 617-495-7730
SCHOLARLY PAPERS

107

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51,323

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3,445

CROSSREF CITATIONS

13,563

Scholarly Papers (107)

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1.

Bad Beta, Good Beta

Downloads 4,552 ( 2,079)
Citation 141

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 4,327 (2,243)
Citation 142

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Bad Beta, Good Beta

NBER Working Paper No. w9509
Number of pages: 58 Posted: 25 Feb 2003 Last Revised: 31 Oct 2010
John Y. Campbell and Tuomo Vuolteenaho
Harvard University - Department of Economics and Arrowstreet Capital, LP
Downloads 225 (151,638)
Citation 6

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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 2,710 (5,058)
Citation 84

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3.

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

Downloads 2,199 ( 7,138)
Citation 637

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 2,025 (8,092)

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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: 17 Oct 2010
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 174 (192,450)
Citation 61

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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.

In Search of Distress Risk

Downloads 2,013 ( 8,353)
Citation 339

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 1,745 (10,322)
Citation 32

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In Search of Distress Risk

NBER Working Paper No. w12362
Number of pages: 54 Posted: 20 Jul 2006 Last Revised: 15 Sep 2006
John Y. Campbell, Jens Hilscher and Jan Szilagyi
Harvard University - Department of Economics, University of California, Davis and Duquesne Capital Management LLC
Downloads 231 (147,777)
Citation 73

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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 37 (495,174)
Citation 6

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5.

Efficient Tests of Stock Return Predictability

Downloads 1,953 ( 8,762)
Citation 189

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 1,823 (9,590)
Citation 31

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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: 28 Aug 2009
John Y. Campbell and Motohiro Yogo
Harvard University - Department of Economics and Princeton University - Department of Economics
Downloads 130 (245,387)
Citation 25

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6.

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
Martin N. Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Kenneth R. French, Anil K. Kashyap, Frederic S. Mishkin, David S. Scharfstein, Robert J. Shiller, Matthew J. Slaughter, Hyun Song Shin, Jeremy C. Stein and René M. Stulz
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 Business School - Finance and Economics, 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 1,758 (10,387)
Citation 3

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7.

Equity Volatility and Corporate Bond Yields

Downloads 1,754 ( 10,426)
Citation 272

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 1,626 (11,538)

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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: 27 Oct 2010
John Y. Campbell and Glen B. Taksler
Harvard University - Department of Economics and affiliation not provided to SSRN
Downloads 128 (248,420)
Citation 32

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8.

Global Currency Hedging

Downloads 1,660 ( 11,366)
Citation 67

Global Currency Hedging

Journal of Finance, Forthcoming
Number of pages: 115 Posted: 20 Mar 2007 Last Revised: 30 Mar 2014
John Y. Campbell, Karine Serfaty-de Medeiros and Luis M. Viceira
Harvard University - Department of Economics, OC&C Strategy Consultants and Harvard Business School - Finance Unit
Downloads 1,131 (20,182)
Citation 4

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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
John Y. Campbell, Karine Serfaty-de Medeiros and Luis M. Viceira
Harvard University - Department of Economics, OC&C Strategy Consultants and Harvard Business School - Finance Unit
Downloads 458 (69,192)
Citation 6

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Global Currency Hedging

NBER Working Paper No. w13088
Number of pages: 116 Posted: 27 Jun 2007 Last Revised: 07 Aug 2007
John Y. Campbell, Karine Serfaty-de Medeiros and Luis M. Viceira
Harvard University - Department of Economics, OC&C Strategy Consultants and Harvard Business School - Finance Unit
Downloads 71 (367,150)
Citation 6

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9.

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
John Y. Campbell, Howell E. Jackson, Brigitte C. Madrian and Peter Tufano
Harvard University - Department of Economics, Harvard Law School, Brigham Young University Marriott School of Business and University of Oxford - Said Business School
Downloads 1,643 (11,567)
Citation 24

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

10.

Understanding Inflation-Indexed Bond Markets

Downloads 1,344 ( 15,853)
Citation 24

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 939 (26,570)
Citation 17

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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 313 (107,772)
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 2010
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 92 (313,838)

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11.

Macroeconomic Drivers of Bond and Equity Risks

Downloads 1,210 ( 18,613)
Citation 22

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
John Y. Campbell, Carolin E. Pflueger and Luis M. Viceira
Harvard University - Department of Economics, University of Chicago - Harris School of Public Policy and Harvard Business School - Finance Unit
Downloads 1,188 (18,786)
Citation 22

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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
John Y. Campbell, Carolin E. Pflueger and Luis M. Viceira
Harvard University - Department of Economics, University of Chicago - Harris School of Public Policy and Harvard Business School - Finance Unit
Downloads 22 (584,269)

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12.

Who Should Buy Long-Term Bonds?

Downloads 1,167 ( 19,646)
Citation 38

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 1,108 (20,849)
Citation 37

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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: 11 Oct 2010
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 59 (405,078)

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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 1,153 (20,004)
Citation 1

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14.

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

Downloads 1,021 ( 23,946)
Citation 10

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
John Y. Campbell, Joao F. Cocco, Francisco Gomes, Pascal J. Maenhout and Luis M. Viceira
Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit
Downloads 1,021 (23,565)
Citation 10

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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
John Y. Campbell, Joao F. Cocco, Francisco Gomes, Pascal J. Maenhout and Luis M. Viceira
Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit

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15.

Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

Downloads 1,014 ( 24,208)
Citation 41

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 925 (27,201)
Citation 39

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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: 16 Aug 2010
John Y. Campbell, Christopher Polk and Tuomo Vuolteenaho
Harvard University - Department of Economics, London School of Economics and Arrowstreet Capital, LP
Downloads 89 (320,456)
Citation 1

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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

16.

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

Downloads 984 ( 25,261)
Citation 45

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 903 (28,167)
Citation 2

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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: 04 Sep 2010
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 81 (339,979)
Citation 21

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17.

Asset Pricing at the Millennium

Downloads 971 ( 25,724)
Citation 147

Asset Pricing at the Millennium

Number of pages: 76 Posted: 06 Sep 2000
John Y. Campbell
Harvard University - Department of Economics
Downloads 870 (29,679)
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: 17 Oct 2010
John Y. Campbell
Harvard University - Department of Economics
Downloads 101 (295,148)
Citation 19

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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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18.

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

Downloads 917 ( 27,961)
Citation 69

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 800 (33,329)
Citation 64

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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: 23 Jul 2009
John Y. Campbell and Samuel Brodsky Thompson
Harvard University - Department of Economics and Arrowstreet Capital, L.P.
Downloads 117 (265,829)

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19.

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

Downloads 878 ( 29,737)
Citation 7

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 863 (30,034)
Citation 9

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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
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 15 (634,992)

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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
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Citation 1
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disposition effect, diversification, feedback, India, investing, learning, style-investing, turnover

20.

Investing Retirement Wealth: A Life-Cycle Model

Downloads 869 ( 30,177)
Citation 31

Investing Retirement Wealth: A Life-Cycle Model

Harvard Institute of Economic Research Paper No. 1896
Number of pages: 50 Posted: 15 Aug 2000
John Y. Campbell, Joao F. Cocco, Francisco Gomes and Pascal J. Maenhout
Harvard University - Department of Economics, London Business School, London Business School and INSEAD - Finance
Downloads 795 (33,620)
Citation 31

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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: 12 Oct 2010
John Y. Campbell, Joao F. Cocco, Francisco Gomes and Pascal J. Maenhout
Harvard University - Department of Economics, London Business School, London Business School and INSEAD - Finance
Downloads 74 (358,733)

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21.

Strategic Asset Allocation in a Continuous-Time VAR Model

Downloads 868 ( 30,222)
Citation 31

Strategic Asset Allocation in a Continuous-Time VAR Model

Harvard Institute Reseach Working Paper No. 1973
Number of pages: 24 Posted: 24 Oct 2002
John Y. Campbell, George Chacko, Jorge F. Rodriguez and Luis M. Viceira
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 786 (34,155)
Citation 6

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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: 01 Nov 2010
John Y. Campbell, George Chacko, Jorge F. Rodriguez and Luis M. Viceira
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 59 (405,078)

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Strategic Asset Allocation in a Continuous-Time VAR Model

Number of pages: 38 Posted: 12 Jan 2004
John Y. Campbell, George Chacko, Jorge F. Rodriguez and Luis M. Viceira
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 23 (577,242)
Citation 3
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22.

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 848 (31,276)
Citation 1

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Market efficiency, Generalized Method of Moments, behavioral finance

23.

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: 11 Feb 2010
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 810 (33,310)
Citation 27

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24.

An Intertemporal CAPM with Stochastic Volatility

Downloads 809 ( 33,368)
Citation 57

An Intertemporal CAPM with Stochastic Volatility

Number of pages: 72 Posted: 15 Mar 2012 Last Revised: 15 Sep 2016
John Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 792 (33,782)
Citation 2

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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
John Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 16 (627,557)

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An Intertemporal CAPM with Stochastic Volatility

CEPR Discussion Paper No. DP10681
Number of pages: 62 Posted: 29 Jun 2015
John Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Dodge & Cox Funds
Downloads 1 (756,834)
Citation 29
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ICAPM, stochastic volatility, time-varying expected returns, value premium

25.

Foreign Currency for Long-Term Investors

Downloads 796 ( 34,068)
Citation 7

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 706 (39,510)

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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: 25 Jul 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 62 (394,945)

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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 (544,184)
Citation 8
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Home bias, portfolio choice, foreign exchange rates, intertemporal hedging demand, uncovered interest parity

26.

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

Downloads 754 ( 36,704)
Citation 37

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
Steffen Andersen, John Y. Campbell, Kasper Meisner Nielsen and Tarun Ramadorai
Copenhagen Business School - Department of Finance, Harvard University - Department of Economics, Copenhagen Business School - Department of Finance and Imperial College London
Downloads 732 (37,637)
Citation 34

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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
Steffen Andersen, John Y. Campbell, Kasper Meisner Nielsen and Tarun Ramadorai
Copenhagen Business School - Department of Finance, Harvard University - Department of Economics, Copenhagen Business School - Department of Finance and Imperial College London
Downloads 22 (584,269)
Citation 3

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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
Steffen Andersen, John Y. Campbell, Kasper Meisner Nielsen and Tarun Ramadorai
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

27.

Fight or Flight? Portfolio Rebalancing by Individual Investors

Downloads 720 ( 39,036)
Citation 79

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
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 660 (43,289)
Citation 89

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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: 08 Mar 2013
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 60 (401,599)

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28.

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
Martin N. Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Kenneth R. French, Anil K. Kashyap, Frederic S. Mishkin, David S. Scharfstein, Robert J. Shiller, Matthew J. Slaughter, Hyun Song Shin and René M. Stulz
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 Business School - Finance and Economics, 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 700 (40,552)
Citation 1

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

29.

How Do House Prices Affect Consumption? Evidence from Micro Data

Downloads 686 ( 41,703)
Citation 244

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 570 (52,502)
Citation 5

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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 2010
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
Downloads 116 (267,444)
Citation 50

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30.

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 654 (44,446)
Citation 10

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institutions, individuals, trading behavior, execution

31.

Household Risk Management and Optimal Mortgage Choice

Downloads 632 ( 46,554)
Citation 204

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 556 (54,186)
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: 03 Nov 2010
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
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Citation 29

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32.

Hard Times

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Citation 19

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 358 (92,576)

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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 185 (182,246)
Citation 11

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Hard Times

NBER Working Paper No. w16222
Number of pages: 33 Posted: 26 Jul 2010
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
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Citation 5

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33.

International Comparative Household Finance

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Citation 28

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 481 (65,110)
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
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London
Downloads 33 (515,548)
Citation 13

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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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34.

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 2010
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 501 (62,548)
Citation 149

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35.

International Experiences with Securities Transaction Taxes

NBER Working Paper No. w4587
Number of pages: 42 Posted: 27 Dec 2002 Last Revised: 21 Jul 2010
John Y. Campbell and Kenneth Froot
Harvard University - Department of Economics and National Bureau of Economic Research (NBER)
Downloads 488 (64,608)
Citation 3

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36.

Restoring Rational Choice: The Challenge of Consumer Financial Regulation

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Citation 130

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 336 (99,535)
Citation 2

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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 82 (337,429)
Citation 2

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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
John Y. Campbell
Harvard University - Department of Economics
Downloads 19 (605,778)
Citation 37

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37.

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

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Citation 96

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
Downloads 426 (75,538)
Citation 11

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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 17
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Earnings announcements, institutions, liquidity, post-earnings-announcement-drift, trading

38.

Trading Volume and Serial Correlation in Stock Returns

NBER Working Paper No. w4193
Number of pages: 45 Posted: 30 Jan 2003 Last Revised: 23 May 2012
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
Downloads 397 (82,725)
Citation 25

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39.

Inflation Illusion and Stock Prices

NBER Working Paper No. w10263
Number of pages: 20 Posted: 19 Jul 2010 Last Revised: 28 Dec 2011
John Y. Campbell and Tuomo Vuolteenaho
Harvard University - Department of Economics and Arrowstreet Capital, LP
Downloads 390 (84,440)
Citation 8

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40.

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

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Citation 20

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 342 (97,593)

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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
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London
Downloads 11 (666,093)

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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 9
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adjustable-rate, fixed-rate, household finance, interest rate, international, mortgage choice

41.

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

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Citation 256

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
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 260 (131,347)
Citation 12

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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: 08 Mar 2013
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 69 (373,010)
Citation 77

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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
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance

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42.

Stock Prices, Earnings and Expected Dividends

NBER Working Paper No. w2511
Number of pages: 42 Posted: 14 Jan 2001
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 322 (105,117)
Citation 66

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43.

A Variance Decomposition for Stock Returns

NBER Working Paper No. w3246
Number of pages: 36 Posted: 11 Nov 2000
John Y. Campbell
Harvard University - Department of Economics
Downloads 291 (117,242)
Citation 41

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44.

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

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Citation 10

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 277 (122,762)
Citation 3

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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
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 8 (689,579)
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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 7
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Diversification, equities, India, Wealth Inequality

45.

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 276 (123,891)
Citation 1

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46.

The Impact of Regulation on Mortgage Risk: Evidence from India

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Citation 9

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 257 (132,968)
Citation 4

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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

47.

Stock Returns and the Term Structure

NBER Working Paper No. w1626
Number of pages: 53 Posted: 04 Jul 2004 Last Revised: 27 Sep 2008
John Y. Campbell
Harvard University - Department of Economics
Downloads 248 (138,415)
Citation 38

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48.

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: 15 Sep 2008
John Y. Campbell and John Ammer
Harvard University - Department of Economics and U.S. Federal Reserve Board of Governors
Downloads 237 (144,629)
Citation 29

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49.

A Multivariate Model of Strategic Asset Allocation

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Citation 176

A Multivariate Model of Strategic Asset Allocation

NBER Working Paper No. w8566
Number of pages: 79 Posted: 25 Oct 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 172 (194,409)
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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
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Citation 15
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Intertemporal hedging demand, portfolio choice, predictability, strategic asset allocation

50.

A Model of Mortgage Default

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Citation 96

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 159 (208,117)
Citation 27

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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
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
Downloads 46 (454,484)

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51.

Household Finance

NBER Working Paper No. w12149
Number of pages: 72 Posted: 18 May 2006 Last Revised: 13 Sep 2010
John Y. Campbell
Harvard University - Department of Economics
Downloads 205 (165,888)
Citation 87

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52.

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 Jun 2010
John Y. Campbell and N. Gregory Mankiw
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 197 (172,264)
Citation 34

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53.

The Term Structure of the Risk-Return Tradeoff

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Citation 49

The Term Structure of the Risk-Return Tradeoff

NBER Working Paper No. w11119
Number of pages: 54 Posted: 09 Mar 2005 Last Revised: 10 Aug 2009
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 161 (205,922)
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 (521,016)
Citation 3
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Risk-return tradeoff, mean-variance analysis, long-horizon investing, vector autoregression

54.

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
Jason Beeler and John Y. Campbell
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 189 (178,899)
Citation 34

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55.

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: 15 Aug 2010
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 182 (184,990)
Citation 48

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56.

Smart Money, Noise Trading and Stock Price Behavior

NBER Working Paper No. t0071
Number of pages: 79 Posted: 04 Jul 2004 Last Revised: 13 Sep 2010
John Y. Campbell and Albert S. Kyle
Harvard University - Department of Economics and University of Maryland
Downloads 181 (185,902)
Citation 14

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57.

Structuring Mortgages for Macroeconomic Stability

Downloads 178 (188,681)
Citation 11

Structuring Mortgages for Macroeconomic Stability

Number of pages: 83 Posted: 06 Mar 2018 Last Revised: 05 Aug 2020
John Y. Campbell, Nuno Clara and Joao F. Cocco
Harvard University - Department of Economics, London Business School and London Business School
Downloads 178 (188,665)
Citation 13

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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
John Y. Campbell, Nuno Clara and Joao F. Cocco
Harvard University - Department of Economics, London Business School and London Business School
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58.

Asset Prices, Consumption, and the Business Cycle

NBER Working Paper No. w6485
Number of pages: 111 Posted: 16 Jul 2000 Last Revised: 09 Oct 2010
John Y. Campbell
Harvard University - Department of Economics
Downloads 168 (198,400)
Citation 10

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59.

Dispersion and Volatility in Stock Returns: an Empirical Investigation

NBER Working Paper No. w7144
Number of pages: 42 Posted: 21 Sep 1998 Last Revised: 12 Oct 2010
Martin Lettau and John Y. Campbell
University of California - Haas School of Business and Harvard University - Department of Economics
Downloads 167 (199,398)

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60.

Understanding Risk and Return

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Citation 10

Understanding Risk and Return

NBER Working Paper No. w4554
Number of pages: 53 Posted: 14 Aug 2007
John Y. Campbell
Harvard University - Department of Economics
Downloads 164 (202,595)
Citation 10

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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.

Elasticities of Substitution in Real Business Cycle Models with Home Production

Downloads 142 (227,998)
Citation 7

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 120 (260,874)
Citation 7

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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: 10 Oct 2010
John Y. Campbell and Sydney C. Ludvigson
Harvard University - Department of Economics and New York University - Department of Economics
Downloads 22 (584,269)

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62.

Permanent Income, Current Income, and Consumption

NBER Working Paper No. w2436
Number of pages: 45 Posted: 25 Jun 2004 Last Revised: 30 Aug 2010
John Y. Campbell and N. Gregory Mankiw
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 135 (237,465)
Citation 5

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63.

Forced Sales and House Prices

NBER Working Paper No. w14866
Number of pages: 45 Posted: 13 Apr 2009 Last Revised: 16 Aug 2010
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 124 (253,522)
Citation 45

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64.

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

Downloads 121 (258,168)

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 2010
John Y. Campbell and John H. Cochrane
Harvard University - Department of Economics and Hoover Institution
Downloads 121 (259,242)
Citation 46

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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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65.

Some Lessons from the Yield Curve

NBER Working Paper No. w5031
Number of pages: 35 Posted: 10 Jul 2000
John Y. Campbell
Harvard University - Department of Economics
Downloads 120 (259,785)
Citation 3

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66.

Consumption and Portfolio Decisions When Expected Returns are Time Varying

NBER Working Paper No. w5857
Number of pages: 74 Posted: 01 Aug 2000 Last Revised: 04 Oct 2010
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 112 (272,996)
Citation 39

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67.

Measuring the Financial Sophistication of Households

NBER Working Paper No. w14699
Number of pages: 48 Posted: 17 Feb 2009 Last Revised: 08 Mar 2013
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 111 (274,695)
Citation 25

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68.

Estimating the Equity Premium

NBER Working Paper No. w13423
Number of pages: 28 Posted: 26 Sep 2007 Last Revised: 06 Sep 2010
John Y. Campbell
Harvard University - Department of Economics
Downloads 109 (278,213)
Citation 2

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69.

Interpreting Cointegrated Models

NBER Working Paper No. w2568
Number of pages: 33 Posted: 04 Feb 2001 Last Revised: 12 Jul 2010
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 106 (283,640)

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70.

Cointegration and Tests of Present Value Models

NBER Working Paper No. w1885
Number of pages: 39 Posted: 06 Apr 2004 Last Revised: 28 Aug 2010
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 104 (287,468)
Citation 31

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71.

Where Do Betas Come from? Asset Price Dynamics and the Sources of Systematic Risk

NBER Working Paper No. w4329
Number of pages: 40 Posted: 27 Apr 2000 Last Revised: 03 Jan 2002
John Y. Campbell and Jianping Mei
Harvard University - Department of Economics and New York University (NYU) - Department of Finance
Downloads 104 (287,468)
Citation 1

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72.

Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots

NBER Working Paper No. t0100
Number of pages: 69 Posted: 25 Jun 2004
John Y. Campbell and Pierre Perron
Harvard University - Department of Economics and Boston University - Department of Economics
Downloads 102 (291,306)

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73.

Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices

NBER Working Paper No. w5821
Number of pages: 36 Posted: 13 Sep 2000 Last Revised: 29 Mar 2008
David G. Barr and John Y. Campbell
Durham Business School and Harvard University - Department of Economics
Downloads 101 (293,219)
Citation 4

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74.

No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns

NBER Working Paper No. w3742
Number of pages: 50 Posted: 16 Jul 2007 Last Revised: 19 Jan 2009
John Y. Campbell and Ludger Hentschel
Harvard University - Department of Economics and Alternative Risk Premia Investments
Downloads 95 (305,043)
Citation 8

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75.

Intertemporal Asset Pricing Without Consumption Data

NBER Working Paper No. w3989
Number of pages: 47 Posted: 29 Jul 2000
John Y. Campbell
Harvard University - Department of Economics
Downloads 82 (334,344)
Citation 33

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76.

Caught on Tape: Institutional Order Flow and Stock Returns

NBER Working Paper No. w11439
Number of pages: 46 Posted: 12 Jul 2005
John Y. Campbell, Tuomo Vuolteenaho and Tarun Ramadorai
Harvard University - Department of Economics, Arrowstreet Capital, LP and Imperial College London
Downloads 69 (368,656)

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77.

Predictable Stock Returns in the United States and Japan: a Study of Long-Term Capital Market Integration

NBER Working Paper No. w3191
Number of pages: 52 Posted: 31 May 2001 Last Revised: 22 Sep 2010
John Y. Campbell and Yasushi Hamao
Harvard University - Department of Economics and Center on Japanese Economy and Business
Downloads 67 (374,544)
Citation 4

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78.

The Dividend Ratio Model and Small Sample Bias: a Monte Carlo Study

NBER Working Paper No. t0067
Number of pages: 15 Posted: 27 Jun 2007 Last Revised: 09 Sep 2010
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 64 (383,387)

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79.

The Fragile Benefits of Endowment Destruction

Number of pages: 11 Posted: 20 Mar 2015
John H. Cochrane and John Y. Campbell
Hoover Institution and Harvard University - Department of Economics
Downloads 63 (386,604)

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Habits

80.

Does Saving Anticipate Declining Labor Income? an Alternative Test of the Permanent Income Hypothesis

NBER Working Paper No. w1805
Number of pages: 42 Posted: 12 Apr 2004
John Y. Campbell
Harvard University - Department of Economics
Downloads 53 (419,974)
Citation 9

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81.

A Simple Account of the Behavior of Long-Term Interest Rates

NBER Working Paper No. w1203
Number of pages: 31 Posted: 09 Mar 2004
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 53 (419,974)
Citation 1

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82.

A Scorecard for Indexed Government Debt

Downloads 51 (427,112)

A Scorecard for Indexed Government Debt

NBER Working Paper No. w5587
Number of pages: 65 Posted: 03 Aug 1998 Last Revised: 09 May 2000
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 51 (434,332)

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A Scorecard for Indexed Government Debt

NBER MACROECONOMICS ANNUAL, Vol 12
Posted: 01 Oct 1996
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation

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83.

Are Output Fluctuations Transitory?

NBER Working Paper No. w1916
Number of pages: 29 Posted: 04 Apr 2004 Last Revised: 28 Sep 2010
John Y. Campbell and N. Gregory Mankiw
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 50 (430,789)
Citation 9

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84.

Explaining the Poor Performance of Consumption-Based Asset Pricing Models

NBER Working Paper No. w7237
Number of pages: 22 Posted: 26 Apr 2000 Last Revised: 05 May 2000
John Y. Campbell and John H. Cochrane
Harvard University - Department of Economics and Hoover Institution
Downloads 50 (430,789)
Citation 4

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85.

Consumption and the Stock Market: Interpreting International Experience

NBER Working Paper No. w5610
Number of pages: 65 Posted: 01 Aug 2000 Last Revised: 25 Mar 2008
John Y. Campbell
Harvard University - Department of Economics
Downloads 49 (434,564)

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86.

Portfolio Choice with Sustainable Spending: A Model of Reaching for Yield

Downloads 47 (442,282)
Citation 1

Portfolio Choice with Sustainable Spending: A Model of Reaching for Yield

Number of pages: 53 Posted: 19 Mar 2020 Last Revised: 08 Oct 2020
John Y. Campbell and Roman Sigalov
Harvard University - Department of Economics and Harvard University, Department of Economics
Downloads 45 (458,708)

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Reaching for yield, endowments, sustainable spending, portfolio choice

Portfolio Choice with Sustainable Spending: A Model of Reaching for Yield

NBER Working Paper No. w27025
Number of pages: 54 Posted: 20 Apr 2020
John Y. Campbell and Roman Sigalov
Harvard University - Department of Economics and Harvard University, Department of Economics
Downloads 2 (742,558)
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87.

Permanent and Transitory Components in Macroeconomic Fluctuations

NBER Working Paper No. w2169
Number of pages: 20 Posted: 10 Jul 2007
John Y. Campbell and N. Gregory Mankiw
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 42 (462,493)
Citation 2

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88.

Bond and Stock Returns in a Simple Exchange Model

NBER Working Paper No. w1509
Number of pages: 28 Posted: 04 Apr 2004 Last Revised: 18 Aug 2010
John Y. Campbell
Harvard University - Department of Economics
Downloads 41 (466,675)
Citation 7

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89.

A Defense of Traditional Hypotheses About the Term Structure of Interestrates

NBER Working Paper No. w1508
Number of pages: 35 Posted: 01 Feb 2001 Last Revised: 17 Aug 2010
John Y. Campbell
Harvard University - Department of Economics
Downloads 39 (475,383)

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90.

Intergenerational Risksharing and Equilibrium Asset Prices

NBER Working Paper No. w12204
Number of pages: 29 Posted: 25 May 2006 Last Revised: 23 Jun 2006
Yves Nosbusch and John Y. Campbell
London School of Economics & Political Science (LSE) and Harvard University - Department of Economics
Downloads 37 (484,374)
Citation 5

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91.

Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model

NBER Working Paper No. w4188
Number of pages: 51 Posted: 13 Dec 2010
John Y. Campbell
Harvard University - Department of Economics
Downloads 36 (488,882)
Citation 1

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92.

Why Long Horizons: A Study of Power Against Persistent Alternatives

NBER Working Paper No. t0142
Number of pages: 45 Posted: 10 Jun 2000
John Y. Campbell
Harvard University - Department of Economics
Downloads 36 (488,882)
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93.

Measuring the Persistence of Expected Returns

NBER Working Paper No. w3305
Number of pages: 14 Posted: 03 Jul 2007 Last Revised: 15 Jul 2010
John Y. Campbell
Harvard University - Department of Economics
Downloads 35 (493,569)
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94.

The Term Structure of Euromarket Interest Rates: an Empirical Investigation

NBER Working Paper No. w1946
Number of pages: 35 Posted: 11 Apr 2007 Last Revised: 10 Jan 2008
John Y. Campbell and Richard Clarida
Harvard University - Department of Economics and Columbia University - Graduate School of Arts and Sciences - Department of Eco
Downloads 30 (518,548)
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95.

Household Saving and Permanent Income in Canada and the United Kingdom

NBER Working Paper No. w2223
Number of pages: 32 Posted: 15 Jan 2007 Last Revised: 31 Jul 2010
John Y. Campbell and Richard Clarida
Harvard University - Department of Economics and Columbia University - Graduate School of Arts and Sciences - Department of Eco
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96.

Mortgage Market Design

NBER Working Paper No. w18339
Number of pages: 35 Posted: 25 Aug 2012
John Y. Campbell
Harvard University - Department of Economics
Downloads 25 (547,201)
Citation 20

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97.

Money Announcements, the Demand for Bank Reserves and the Behavior of the Federal Funds Rate within the Statement Week

NBER Working Paper No. w1806
Number of pages: 22 Posted: 19 Jun 2004
John Y. Campbell
Harvard University - Department of Economics
Downloads 23 (559,618)
Citation 3

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98.

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

NBER Working Paper No. w18394
Number of pages: 31 Posted: 15 Sep 2012 Last Revised: 01 Apr 2015
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 10 (647,369)

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99.

Viewpoint: Estimating the Equity Premium

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 41, Issue 1, pp. 1-21, February/février 2008
Number of pages: 21 Posted: 11 Jan 2008
John Y. Campbell
Harvard University - Department of Economics
Downloads 10 (647,369)
Citation 1
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100.

The Squam Lake Report: Fixing the Financial System

Journal of Applied Corporate Finance, Vol. 22, Issue 3, pp. 8-21, Summer 2010
Number of pages: 16 Posted: 04 Oct 2010
Kenneth R. French, Martin Neil Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Anil K. Kashyap, Frederic S. Mishkin, Raghuram G. Rajan, David S. Scharfstein, Robert J. Shiller, Hyun Song Shin, Matthew J. Slaughter, Jeremy C. Stein and René M. Stulz
Dartmouth College - Tuck School of Business, Institute for International Economics, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, University of Chicago, Booth School of Business, Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Bank for International Settlements (BIS), Dartmouth College - Tuck School of Business, Harvard University - Department of Economics and Ohio State University (OSU) - Department of Finance
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Citation 3
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101.

Viewpoint: Estimating the Equity Premium - Evaluer La Prime Des Actions Par Rapport Aux Obligations

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 41, Issue 1, pp. 1-21, 2008
Number of pages: 21 Posted: 05 May 2020
John Y. Campbell
Harvard University - Department of Economics
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Citation 2
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102.

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

The Scandinavian Journal of Economics, Vol. 116, Issue 3, pp. 593-634, 2014
Number of pages: 42 Posted: 13 Jun 2014
John Y. Campbell
Harvard University - Department of Economics
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Citation 6
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Behavioral finance, financial innovation, market efficiency, stochastic discount factor

103.

Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group

Journal of Applied Corporate Finance, Vol. 25, Issue 4, pp. 37-40, 2013
Number of pages: 6 Posted: 23 Dec 2013
Martin N. Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Kenneth R. French, Anil K. Kashyap, Frederic S. Mishkin, David S. Scharfstein, Robert J. Shiller, Matthew J. Slaughter, Hyun Song Shin and René M. Stulz
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 Business School - Finance and Economics, 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
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104.

Predicting Financial Distress and the Performance of Distressed Stocks

Journal of Investment Management (JOIM), Second Quarter 2011
Posted: 03 May 2011
John Y. Campbell, Jens Hilscher and Jan Szilagyi
Harvard University - Department of Economics, University of California, Davis and affiliation not provided to SSRN

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financial distress, distress risk, corporate failure, performance of distressed stocks

105.

Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1509-1531, 2008
Posted: 08 Aug 2008
John Y. Campbell and Samuel Brodsky Thompson
Harvard University - Department of Economics and Arrowstreet Capital, L.P.

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G10, G11

106.

The Term Structure of the Risk-Return Trade-Off

Financial Analysts Journal, Vol. 61, No. 1, pp. 34-44, January/February 2005
Posted: 05 Feb 2005
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit

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Portfolio Management, Asset Allocation, Investment Theory, Portfolio Theory

107.

International Experiences with Transactions Taxes

Posted: 02 Sep 1999
John Y. Campbell and Kenneth Froot
Harvard University - Department of Economics and National Bureau of Economic Research (NBER)

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