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

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

111

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69,794

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4,312

Scholarly Papers (111)

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1.

Bad Beta, Good Beta

Downloads 7,704 ( 1,867)
Citation 275

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 4,697 (4,394)
Citation 215

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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 3,007 (8,983)
Citation 60

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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 3,326 (7,804)
Citation 134

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3.

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

Downloads 2,554 (11,841)
Citation 203

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 2,182 (14,968)
Citation 1

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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 372 (170,101)
Citation 202

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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 2,471 (12,437)
Citation 119

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 2,061 (16,383)
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 298 (216,643)
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 112 (529,090)
Citation 5

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5.

Efficient Tests of Stock Return Predictability

Downloads 2,190 (15,157)
Citation 65

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 1,912 (18,531)
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 278 (233,125)
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
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 Harvard Business School
Downloads 2,109 (16,093)
Citation 25

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

7.

Equity Volatility and Corporate Bond Yields

Downloads 2,024 (17,200)
Citation 37

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 1,734 (21,537)

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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 290 (223,054)
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
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 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 2,011 (17,376)
Citation 4

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9.

Global Currency Hedging

Downloads 1,867 (19,581)
Citation 21

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 1,208 (36,905)
Citation 6

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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 531 (111,726)
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
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 128 (476,087)
Citation 8

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10.

Understanding Inflation-Indexed Bond Markets

Downloads 1,646 (23,705)
Citation 22

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 1,101 (42,398)
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 395 (159,037)
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 150 (417,938)

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11.

Who Should Buy Long-Term Bonds?

Downloads 1,588 (25,088)
Citation 44

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 1,166 (38,930)
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 422 (147,424)

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12.

Macroeconomic Drivers of Bond and Equity Risks

Downloads 1,430 (29,358)
Citation 144

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, Carolin E. Pflueger and Luis M. Viceira
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 1,376 (30,527)
Citation 143

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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, Carolin E. Pflueger and Luis M. Viceira
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 54 (823,211)
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 1,240 (36,141)
Citation 3

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14.

Asset Pricing at the Millennium

Downloads 1,226 (36,728)
Citation 24

Asset Pricing at the Millennium

Number of pages: 76 Posted: 06 Sep 2000
John Y. Campbell
Harvard University - Department of Economics
Downloads 952 (51,905)
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 274 (236,709)
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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15.

Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

Downloads 1,209 (37,474)
Citation 93

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 1,048 (45,392)
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 161 (393,353)
Citation 52

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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.

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

Downloads 1,135 (41,211)
Citation 81

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 1,053 (45,084)
Citation 29

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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
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 80 (664,666)
Citation 51

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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 2 (1,372,385)
Citation 1
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Denmark, household finance, inattention, inertia, mortgages, refinancing

17.

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

Downloads 1,125 (41,755)
Citation 11

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 1,125 (41,086)
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
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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18.

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

Downloads 1,098 (43,232)
Citation 11

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 987 (49,391)
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 110 (536,408)
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 (1,380,327)
Citation 3
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disposition effect, diversification, feedback, India, investing, learning, style-investing, turnover

19.

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 1,097 (43,284)
Citation 78

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20.

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

Downloads 1,093 (43,515)
Citation 72

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 880 (57,891)
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 213 (304,139)
Citation 13

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21.

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

Downloads 1,072 (44,704)
Citation 86

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 966 (50,905)
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 106 (551,765)
Citation 81

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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 1,057 (45,566)
Citation 10

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Market efficiency, Generalized Method of Moments, behavioral finance

23.

Investing Retirement Wealth: A Life-Cycle Model

Downloads 1,038 (46,745)
Citation 36

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 916 (54,809)
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
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 122 (494,938)

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24.

Strategic Asset Allocation in a Continuous-Time VAR Model

Downloads 975 (51,068)
Citation 8

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 827 (63,019)
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
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 123 (491,686)

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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 25 (1,114,102)
Citation 3
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25.

An Intertemporal CAPM with Stochastic Volatility

Downloads 949 (53,004)
Citation 40

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 867 (59,080)
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
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 79 (669,611)

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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 3 (1,366,449)
Citation 37
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ICAPM, stochastic volatility, time-varying expected returns, value premium

26.

Who Owns What? A Factor Model for Direct Stockholding

Downloads 894 (57,532)
Citation 12

Who Owns What? A Factor Model for Direct Stockholding

Number of pages: 81 Posted: 02 Mar 2021 Last Revised: 19 Jul 2021
Vimal Balasubramaniam, John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Queen Mary University of London, Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
Downloads 894 (56,637)
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
Vimal Balasubramaniam, John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
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

27.

Foreign Currency for Long-Term Investors

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Citation 12

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 745 (72,404)

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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 93 (604,900)

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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 29 (1,064,316)
Citation 12
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Home bias, portfolio choice, foreign exchange rates, intertemporal hedging demand, uncovered interest parity

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 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 853 (61,394)
Citation 1

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

29.

Fight or Flight? Portfolio Rebalancing by Individual Investors

Downloads 842 (62,496)
Citation 191

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 734 (73,816)
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 108 (543,905)
Citation 96

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30.

How Do House Prices Affect Consumption? Evidence from Micro Data

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Citation 66

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
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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
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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
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Citation 10

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institutions, individuals, trading behavior, execution

32.

International Comparative Household Finance

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Citation 49

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
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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
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Citation 48

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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.

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
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Citation 201

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34.

Household Risk Management and Optimal Mortgage Choice

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Citation 38

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
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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
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Citation 38

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35.

Hard Times

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Citation 36

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
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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 225 (288,323)
Citation 31

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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 86 (635,982)
Citation 5

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36.

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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37.

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
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Citation 2

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38.

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

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Citation 33

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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Citation 12

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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

39.

Restoring Rational Choice: The Challenge of Consumer Financial Regulation

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Citation 62

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
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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 137 (450,202)
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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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40.

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
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Citation 53

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41.

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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42.

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

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Citation 12

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
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Citation 1

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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
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Citation 1

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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

43.

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
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Citation 60

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44.

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

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Citation 46

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
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Citation 6

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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 40
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Diversification, equities, India, Wealth Inequality

45.

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

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Citation 114

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
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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
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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.

Structuring Mortgages for Macroeconomic Stability

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Citation 49

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 404 (155,014)
Citation 10

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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
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Citation 39

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47.

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 386 (164,782)

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48.

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
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Citation 51

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49.

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
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Citation 9

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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

50.

Idiosyncratic Equity Risk Two Decades Later

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Citation 7

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
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Citation 6

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51.

The Term Structure of the Risk-Return Tradeoff

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Citation 4

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 297 (217,393)
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
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Citation 3
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Risk-return tradeoff, mean-variance analysis, long-horizon investing, vector autoregression

52.

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
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Citation 42

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53.

A Model of Mortgage Default

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Citation 111

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 247 (263,029)
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 80 (664,666)
Citation 90

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54.

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 327 (198,338)
Citation 177

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55.

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 304 (213,798)
Citation 44

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56.

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
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Citation 121

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57.

A Multivariate Model of Strategic Asset Allocation

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Citation 68

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
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Citation 56

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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 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
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Citation 16

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59.

Debt and Deficits: Fiscal Analysis with Stationary Ratios

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Debt and Deficits: Fiscal Analysis with Stationary Ratios

Swiss Finance Institute Research Paper No. 23-101
Number of pages: 44 Posted: 14 May 2023 Last Revised: 15 Dec 2024
John Y. Campbell, Can Gao and Ian Martin
Harvard University - Department of Economics, Swiss Finance Institute and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 244 (266,250)
Citation 1

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Debt, deficits, primary surplus, stationarity, cointegration

Debt and Deficits: Fiscal Analysis with Stationary Ratios

NBER Working Paper No. w31224
Number of pages: 45 Posted: 15 May 2023 Last Revised: 29 May 2023
John Y. Campbell, Can Gao and Ian Martin
Harvard University - Department of Economics, Swiss Finance Institute and London School of Economics & Political Science (LSE) - Department of Finance
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Citation 1

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60.

The Cross-Section of Household Preferences

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Citation 5

The Cross-Section of Household Preferences

Number of pages: 79 Posted: 09 Nov 2022
Laurent E. Calvet, John Y. Campbell, Francisco Gomes and Paolo Sodini
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
Laurent E. Calvet, John Y. Campbell, Francisco Gomes and Paolo Sodini
SKEMA Business School, Harvard University - Department of Economics, London Business School and Stockholm School of Economics - Department of Finance
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The Cross-Section of Household Preferences

CEPR Discussion Paper No. DP16105
Number of pages: 120 Posted: 14 May 2021
Laurent E. Calvet, John Y. Campbell, Francisco Gomes and Paolo Sodini
SKEMA Business School, Harvard University - Department of Economics, London Business School and Stockholm School of Economics - Department of Finance
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Citation 5
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61.

Sustainability in a Risky World

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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 223 (290,841)

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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
Downloads 34 (1,007,046)

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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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Citation 1
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62.

Understanding Risk and Return

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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 248 (261,900)
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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63.

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 243 (268,975)
Citation 85

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64.

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

Downloads 241 (271,116)
Citation 67

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 241 (269,492)
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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65.

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 239 (273,363)

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66.

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 218 (298,825)
Citation 28

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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: 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 203 (319,739)
Citation 36

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68.

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 200 (324,006)
Citation 7

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69.

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 199 (325,565)
Citation 27

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70.

Elasticities of Substitution in Real Business Cycle Models with Home Production

Downloads 189 (341,504)
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 146 (427,341)
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: 26 Jun 2022
John Y. Campbell and Sydney C. Ludvigson
Harvard University - Department of Economics and New York University - Department of Economics
Downloads 43 (916,052)

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71.

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: 02 Jan 2023
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 188 (343,146)
Citation 45

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72.

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 184 (350,090)
Citation 154

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73.

Interpreting Cointegrated Models

NBER Working Paper No. w2568
Number of pages: 33 Posted: 04 Feb 2001 Last Revised: 10 Jul 2022
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 180 (356,956)
Citation 3

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74.

Cointegration and Tests of Present Value Models

NBER Working Paper No. w1885
Number of pages: 39 Posted: 06 Apr 2004 Last Revised: 28 Aug 2022
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 175 (365,942)
Citation 33

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75.

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: 24 Sep 2022
John Y. Campbell and Ludger Hentschel
Harvard University - Department of Economics and Alternative Risk Premia Investments
Downloads 173 (369,646)
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76.

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

Downloads 170 (375,456)
Citation 47

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

Number of pages: 53 Posted: 19 Mar 2020 Last Revised: 23 Dec 2020
John Y. Campbell and Roman Sigalov
Harvard University - Department of Economics and Harvard University, Department of Economics
Downloads 139 (444,950)

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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 Last Revised: 06 May 2023
John Y. Campbell and Roman Sigalov
Harvard University - Department of Economics and Harvard University, Department of Economics
Downloads 31 (1,040,820)
Citation 47

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77.

Some Lessons from the Yield Curve

NBER Working Paper No. w5031
Number of pages: 35 Posted: 10 Jul 2000 Last Revised: 02 Oct 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 167 (381,331)
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78.

Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots

NBER Working Paper No. t0100
Number of pages: 69 Posted: 25 Jun 2004 Last Revised: 12 Apr 2023
John Y. Campbell and Pierre Perron
Harvard University - Department of Economics and Boston University - Department of Economics
Downloads 154 (408,698)
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79.

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: 31 Oct 2022
John Y. Campbell and Jianping Mei
Harvard University - Department of Economics and Cheung Kong Graduate School of Business
Downloads 151 (415,445)
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80.

Economic Budgeting for Endowment-Dependent Universities

Downloads 145 (431,619)

Economic Budgeting for Endowment-Dependent Universities

Number of pages: 21 Posted: 21 Jun 2024
John Y. Campbell, Jeremy C. Stein and Alex A. Wu
Harvard University - Department of Economics, Harvard University - Department of Economics and Harvard University
Downloads 126 (485,313)

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Higher education finance, Intertemporal budget constraint, Endowment

Economic Budgeting for Endowment-Dependent Universities

NBER Working Paper No. w32506
Number of pages: 21 Posted: 28 May 2024
John Y. Campbell, Jeremy C. Stein and Alex A. Wu
Harvard University - Department of Economics, Harvard University - Department of Economics and Harvard University
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81.

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 Nov 2022
David G. Barr and John Y. Campbell
Durham Business School and Harvard University - Department of Economics
Downloads 142 (436,506)
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82.

Caught on Tape: Institutional Order Flow and Stock Returns

NBER Working Paper No. w11439
Number of pages: 46 Posted: 12 Jul 2005 Last Revised: 05 Oct 2022
John Y. Campbell, Tuomo Vuolteenaho and Tarun Ramadorai
Harvard University - Department of Economics, Arrowstreet Capital, LP and Imperial College London
Downloads 138 (446,585)

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83.

Intertemporal Asset Pricing Without Consumption Data

NBER Working Paper No. w3989
Number of pages: 47 Posted: 29 Jul 2000 Last Revised: 29 Nov 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 135 (454,497)
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84.

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: 10 Mar 2023
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 122 (492,592)
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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: 31 Oct 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 113 (522,020)

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86.

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: 01 Mar 2023
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 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 112 (525,580)
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87.

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

NBER Working Paper No. w1203
Number of pages: 31 Posted: 09 Mar 2004 Last Revised: 17 Apr 2022
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 110 (532,654)
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88.

A Scorecard for Indexed Government Debt

Downloads 106 (547,477)

A Scorecard for Indexed Government Debt

NBER Working Paper No. w5587
Number of pages: 65 Posted: 03 Aug 1998 Last Revised: 09 Oct 2022
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 106 (551,765)

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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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89.

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 104 (555,269)
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Habits

90.

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 Last Revised: 09 Dec 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 104 (555,269)
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91.

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 2022
John Y. Campbell, Yasushi Hamao and Yasushi Hamao
Harvard University - Department of Economics and University of Southern California - Marshall School of Business - Finance and Business Economics DepartmentCenter on Japanese Economy and Business
Downloads 104 (555,269)
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92.

Are Output Fluctuations Transitory?

NBER Working Paper No. w1916
Number of pages: 29 Posted: 04 Apr 2004 Last Revised: 28 Sep 2022
John Y. Campbell and N. Gregory Mankiw
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 100 (571,054)
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93.

Permanent and Transitory Components in Macroeconomic Fluctuations

NBER Working Paper No. w2169
Number of pages: 20 Posted: 10 Jul 2007 Last Revised: 07 Dec 2022
John Y. Campbell and N. Gregory Mankiw
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 96 (586,588)
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94.

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: 12 Oct 2022
John Y. Campbell and John H. Cochrane
Harvard University - Department of Economics and Hoover Institution
Downloads 89 (615,088)
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95.

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: 06 Apr 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 82 (646,295)

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96.

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

NBER Working Paper No. w4188
Number of pages: 51 Posted: 13 Dec 2010 Last Revised: 12 Dec 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 81 (650,960)
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97.

Mortgage Market Design

NBER Working Paper No. w18339
Number of pages: 35 Posted: 25 Aug 2012 Last Revised: 10 Feb 2023
John Y. Campbell
Harvard University - Department of Economics
Downloads 79 (660,402)
Citation 41

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98.

Measuring the Persistence of Expected Returns

NBER Working Paper No. w3305
Number of pages: 14 Posted: 03 Jul 2007 Last Revised: 15 Jul 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 70 (706,241)
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99.

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 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 70 (706,241)
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100.

Why Long Horizons: A Study of Power Against Persistent Alternatives

NBER Working Paper No. t0142
Number of pages: 45 Posted: 10 Jun 2000 Last Revised: 24 May 2023
John Y. Campbell
Harvard University - Department of Economics
Downloads 66 (728,903)
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101.

Intergenerational Risksharing and Equilibrium Asset Prices

NBER Working Paper No. w12204
Number of pages: 29 Posted: 25 May 2006 Last Revised: 30 May 2022
Yves Nosbusch and John Y. Campbell
London School of Economics & Political Science (LSE) and Harvard University - Department of Economics
Downloads 63 (746,666)
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102.

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 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 63 (746,666)

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103.

Who Owns What? A Factor Model for Direct Stock Holding

NBER Working Paper No. w29065
Number of pages: 52 Posted: 26 Jul 2021 Last Revised: 12 Jun 2023
Vimal Balasubramaniam, John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Queen Mary University of London, Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
Downloads 57 (785,297)

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104.

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 2022
John Y. Campbell and Richard Clarida
Harvard University - Department of Economics and Columbia University - Graduate School of Arts and Sciences - Department of Eco
Downloads 56 (792,116)

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105.

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: 29 Oct 2022
John Y. Campbell and Richard Clarida
Harvard University - Department of Economics and Columbia University - Graduate School of Arts and Sciences - Department of Eco
Downloads 52 (821,094)
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106.

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 Last Revised: 10 Dec 2022
John Y. Campbell
Harvard University - Department of Economics
Downloads 50 (836,316)
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107.

What Drives Booms and Busts in Value?

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What Drives Booms and Busts in Value?

NBER Working Paper No. w31859
Number of pages: 56 Posted: 14 Nov 2023
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 20 (1,180,957)
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What Drives Booms and Busts in Value?

Posted: 23 Mar 2023 Last Revised: 04 Nov 2023
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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Value, intertemporal CAPM, industry decomposition

108.

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

109.

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

110.

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

111.

International Experiences with Transactions Taxes

Posted: 02 Sep 1999
John Y. Campbell and Kenneth Froot
Harvard University - Department of Economics and Harvard University Graduate School of Business

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