Author Page for John Y. Campbell

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 2,052 (8,398)

Abstract:

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 (201,179)

Citation 72

Abstract:

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

Abstract:

4.

In Search of Distress Risk

Downloads 2,033 ( 8,694)

Citation 346

3

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 1,764 (10,719)

Citation 30

Abstract:

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 232 (153,899)

Citation 78

Abstract:

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 (516,176)

Citation 5

Abstract:

5.

Efficient Tests of Stock Return Predictability

Downloads 1,964 ( 9,204)

Citation 195

2

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 1,830 (10,091)

Citation 33

Abstract:

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 134 (250,536)

Citation 31

Abstract:

6.

Equity Volatility and Corporate Bond Yields

Downloads 1,778 ( 10,774)

Citation 278

2

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 1,643 (12,019)

Abstract:

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 135 (248,970)

Citation 37

Abstract:

7.

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 1,777 (10,795)

Citation 3

Abstract:

8.

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 1,675 (11,861)

Citation 26

Abstract:

9.

Global Currency Hedging

Downloads 1,669 ( 11,923)

Citation 67

3

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 1,136 (21,229)

Citation 5

Abstract:

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 459 (72,507)

Citation 7

Abstract:

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 74 (373,984)

Citation 8

Abstract:

10.

Understanding Inflation-Indexed Bond Markets

Downloads 1,353 ( 16,576)

Citation 26

3

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 944 (27,808)

Citation 20

Abstract:

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 316 (111,788)

Citation 5

Abstract:

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 93 (325,185)

Abstract:

11.

Macroeconomic Drivers of Bond and Equity Risks

Downloads 1,233 ( 19,076)

Citation 35

2

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 1,209 (19,308)

Citation 35

Abstract:

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 24 (593,861)

Citation 1

Abstract:

12.

Who Should Buy Long-Term Bonds?

Downloads 1,177 ( 20,448)

Citation 41

2

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 1,110 (21,983)

Citation 42

Abstract:

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 67 (395,423)

Abstract:

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 1,159 (20,976)

Citation 1

Abstract:

14.

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

Downloads 1,030 ( 24,934)

Citation 11

2

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 1,030 (24,536)

Citation 11

Abstract:

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

Abstract:

15.

Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

Downloads 1,020 ( 25,297)

Citation 49

3

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 931 (28,395)

Citation 43

Abstract:

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: 14 Feb 2021

John Y. Campbell, Christopher Polk and Tuomo Vuolteenaho

Harvard University - Department of Economics, London School of Economics and Arrowstreet Capital, LP

Downloads 89 (334,483)

Citation 4

Abstract:

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

Abstract:

16.

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

Downloads 991 ( 26,296)

Citation 49

2

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 909 (29,383)

Citation 2

Abstract:

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 Mar 2021

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 82 (352,028)

Citation 26

Abstract:

17.

Asset Pricing at the Millennium

Downloads 987 ( 26,472)

Citation 147

3

Asset Pricing at the Millennium

Number of pages: 76 Posted: 06 Sep 2000

John Y. Campbell

Harvard University - Department of Economics

Downloads 877 (30,952)

Citation 2

Abstract:

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 110 (290,006)

Citation 20

Abstract:

Asset Pricing at the Millennium

Posted: 01 Aug 2000

John Y. Campbell

Harvard University - Department of Economics

Abstract:

18.

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

Downloads 922 ( 29,238)

Citation 67

2

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 802 (34,978)

Citation 62

Abstract:

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 120 (272,436)

Abstract:

19.

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

Downloads 889 ( 30,807)

Citation 7

3

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 868 (31,384)

Citation 8

Abstract:

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 2021

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 20 (622,559)

Abstract:

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 (781,402)

Citation 1

Add to Cart

Abstract:

20.

Investing Retirement Wealth: A Life-Cycle Model

Downloads 879 ( 31,294)

Citation 32

2

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 800 (35,112)

Citation 34

Abstract:

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 79 (359,937)

Abstract:

21.

Strategic Asset Allocation in a Continuous-Time VAR Model

Downloads 876 ( 31,463)

Citation 31

3

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 790 (35,701)

Citation 6

Abstract:

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 Feb 2021

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 63 (408,535)

Abstract:

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

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Citation 3

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Abstract:

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 869 (31,815)

Citation 1

Abstract:

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 821 (34,387)

Citation 28

Abstract:

24.

An Intertemporal CAPM with Stochastic Volatility

Downloads 814 ( 34,779)

Citation 60

3

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 797 (35,288)

Citation 2

Abstract:

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 (652,416)

Abstract:

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

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Citation 32

Add to Cart

Abstract:

25.

Foreign Currency for Long-Term Investors

Downloads 802 ( 35,494)

Citation 7

3

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 709 (41,398)

Abstract:

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 65 (401,912)

Abstract:

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

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Citation 8

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Abstract:

26.

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

Downloads 785 ( 36,561)

Citation 46

3

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 760 (37,626)

Citation 38

Abstract:

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: 07 Dec 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 25 (586,816)

Citation 9

Abstract:

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

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Citation 1

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Abstract:

27.

Fight or Flight? Portfolio Rebalancing by Individual Investors

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Citation 84

2

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 666 (45,041)

Citation 94

Abstract:

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 64 (405,156)

Abstract:

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 709 (41,995)

Citation 1

Abstract:

29.

How Do House Prices Affect Consumption? Evidence from Micro Data

Downloads 696 ( 43,070)

Citation 249

2

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 576 (54,533)

Citation 5

Abstract:

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 120 (272,436)

Citation 56

Abstract:

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 660 (46,256)

Citation 10

Abstract:

31.

Household Risk Management and Optimal Mortgage Choice

Downloads 635 ( 48,707)

Citation 211

2

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 558 (56,776)

Citation 1

Abstract:

Household Risk Management and Optimal Mortgage Choice

NBER Working Paper No. w9759

Number of pages: 62 Posted: 08 Jun 2003 Last Revised: 03 Mar 2021

John Y. Campbell and Joao F. Cocco

Harvard University - Department of Economics and London Business School

Downloads 77 (365,494)

Citation 36

Abstract:

32.

Hard Times

Downloads 606 ( 51,768)

Citation 20

3

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 363 (95,588)

Abstract:

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 189 (186,877)

Citation 14

Abstract:

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

Downloads 54 (441,119)

Citation 5

Abstract:

33.

International Comparative Household Finance

Downloads 527 ( 61,719)

Citation 29

3

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 488 (67,184)

Citation 1

Abstract:

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 39 (506,205)

Citation 14

Abstract:

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

Abstract:

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 514 (63,638)

Citation 172

Abstract:

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 493 (67,023)

Citation 1

Abstract:

36.

Restoring Rational Choice: The Challenge of Consumer Financial Regulation

Downloads 441 ( 76,781)

Citation 143

3

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 337 (104,084)

Citation 3

Abstract:

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 84 (346,945)

Citation 2

Abstract:

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 20 (622,559)

Citation 49

Abstract:

37.

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

Downloads 434 ( 78,269)

Citation 98

2

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 431 (78,207)

Citation 12

Abstract:

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

Downloads 3 (756,631)

Citation 19

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Abstract:

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 407 (84,445)

Citation 38

Abstract:

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 401 (85,881)

Citation 12

Abstract:

40.

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

Downloads 360 ( 97,269)

Citation 23

3

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 348 (100,366)

Citation 1

Abstract:

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 12 (683,856)

Abstract:

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

Downloads 0

Citation 11

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Abstract:

41.

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 335 (105,476)

Citation 79

Abstract:

42.

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

Downloads 333 (106,210)

Citation 263

3

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 263 (135,900)

Citation 12

Abstract:

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 70 (386,003)

Citation 90

Abstract:

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

Abstract:

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 301 (118,554)

Citation 49

Abstract:

44.

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

Downloads 292 (122,341)

Citation 11

3

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 281 (126,768)

Citation 3

Abstract:

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 10 (699,633)

Abstract:

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

Downloads 1 (781,402)

Citation 8

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Abstract:

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 (129,839)

Citation 1

Abstract:

46.

The Impact of Regulation on Mortgage Risk: Evidence from India

Downloads 263 (136,562)

Citation 10

2

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 261 (136,977)

Citation 5

Abstract:

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

Downloads 2 (767,646)

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Abstract:

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 250 (143,660)

Citation 49

Abstract:

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 Board of Governors of the Federal Reserve System

Downloads 242 (148,249)

Citation 36

Abstract:

49.

Structuring Mortgages for Macroeconomic Stability

Downloads 222 (161,080)

Citation 10

2

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 and Joao F. Cocco

Harvard University - Department of Economics, London Business School and London Business School

Downloads 222 (160,665)

Citation 11

Abstract:

Structuring Mortgages for Macroeconomic Stability

NBER Working Paper No. w27676

Number of pages: 62 Posted: 17 Aug 2020 Last Revised: 14 Feb 2021

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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Abstract:

50.

A Multivariate Model of Strategic Asset Allocation

Downloads 212 (168,226)

Citation 177

2

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 175 (200,210)

Citation 2

Abstract:

A Multivariate Model of Strategic Asset Allocation

Number of pages: 81 Posted: 06 Dec 2001

John Y. Campbell, Yeung Lewis Chan and Luis M. Viceira

Harvard University - Department of Economics, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Harvard Business School - Finance Unit

Downloads 37 (516,176)

Citation 16

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Abstract:

51.

A Model of Mortgage Default

Downloads 211 (168,965)

Citation 102

2

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 162 (214,002)

Citation 33

Abstract:

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 49 (460,816)

Abstract:

52.

The Term Structure of the Risk-Return Tradeoff

Downloads 210 (169,754)

Citation 49

2

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 178 (197,242)

Citation 1

Abstract:

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 (543,020)

Citation 3

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Abstract:

53.

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 208 (171,346)

Citation 107

Abstract:

54.

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 203 (175,245)

Citation 43

Abstract:

55.

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 192 (184,310)

Citation 42

Abstract:

56.

Yield Spreads and Interest Rate Movements: A Bird&Apos;S Eye View

NBER Working Paper No. w3153

Number of pages: 42 Posted: 27 Apr 2000 Last Revised: 13 Feb 2021

John Y. Campbell and Robert J. Shiller

Harvard University - Department of Economics and Yale University - Cowles Foundation

Downloads 189 (186,984)

Citation 54

Abstract:

57.

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 185 (190,592)

Citation 15

Abstract:

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 174 (201,137)

Citation 13

Abstract:

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 168 (207,355)

Abstract:

60.

Understanding Risk and Return

Downloads 168 (207,355)

Citation 24

2

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 168 (207,515)

Citation 24

Abstract:

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

Abstract:

61.

Elasticities of Substitution in Real Business Cycle Models with Home Production

Downloads 144 (235,562)

Citation 6

2

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 121 (270,783)

Citation 7

Abstract:

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 23 (600,937)

Abstract:

62.

Permanent Income, Current Income, and Consumption

NBER Working Paper No. w2436

Number of pages: 45 Posted: 25 Jun 2004 Last Revised: 28 Feb 2021

John Y. Campbell and N. Gregory Mankiw

Harvard University - Department of Economics and Harvard University - Department of Economics

Downloads 135 (248,165)

Citation 6

Abstract:

63.

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

Downloads 129 (257,019)

2

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: 25 Feb 2021

John Y. Campbell and John H. Cochrane

Harvard University - Department of Economics and Hoover Institution

Downloads 129 (257,990)

Citation 3

Abstract:

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

Abstract:

64.

Forced Sales and House Prices

NBER Working Paper No. w14866

Number of pages: 45 Posted: 13 Apr 2009 Last Revised: 14 Feb 2021

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 126 (261,634)

Citation 50

Abstract:

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 125 (263,215)

Citation 3

Abstract:

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 117 (276,251)

Citation 45

Abstract:

67.

Measuring the Financial Sophistication of Households

NBER Working Paper No. w14699

Number of pages: 48 Posted: 17 Feb 2009 Last Revised: 01 Mar 2021

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 114 (281,391)

Citation 32

Abstract:

68.

Estimating the Equity Premium

NBER Working Paper No. w13423

Number of pages: 28 Posted: 26 Sep 2007 Last Revised: 07 Mar 2021

John Y. Campbell

Harvard University - Department of Economics

Downloads 113 (283,142)

Citation 2

Abstract:

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 108 (292,226)

Abstract:

70.

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 107 (294,265)

Citation 2

Abstract:

71.

Cointegration and Tests of Present Value Models

NBER Working Paper No. w1885

Number of pages: 39 Posted: 06 Apr 2004 Last Revised: 26 Feb 2021

John Y. Campbell and Robert J. Shiller

Harvard University - Department of Economics and Yale University - Cowles Foundation

Downloads 105 (298,114)

Citation 30

Abstract:

72.

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 105 (298,114)

Citation 11

Abstract:

73.

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 104 (299,995)

Citation 1

Abstract:

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 97 (314,034)

Citation 30

Abstract:

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 84 (343,846)

Citation 37

Abstract:

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 70 (381,503)

Abstract:

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 68 (387,439)

Citation 7

Abstract:

78.

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 66 (393,657)

Citation 1

Abstract:

79.

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 (399,892)

Abstract:

80.

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

Downloads 60 (412,966)

2

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 58 (426,178)

Abstract:

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 (767,646)

Citation 1

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Abstract:

81.

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: 07 Dec 2020

John Y. Campbell

Harvard University - Department of Economics

Downloads 58 (419,948)

Citation 11

Abstract:

82.

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 54 (434,163)

Citation 1

Abstract:

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 52 (441,424)

Citation 9

Abstract:

84.

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 52 (441,424)

Abstract:

85.

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 52 (441,424)

Citation 1

Abstract:

86.

A Scorecard for Indexed Government Debt

Downloads 52 (441,424)

2

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 52 (448,789)

Abstract:

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

Abstract:

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 45 (469,113)

Citation 2

Abstract:

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: 15 Feb 2021

John Y. Campbell

Harvard University - Department of Economics

Downloads 41 (486,493)

Citation 7

Abstract:

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 40 (490,960)

Abstract:

90.

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 40 (490,960)

Citation 1

Abstract:

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 37 (504,773)

Citation 1

Abstract:

92.

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 37 (504,773)

Citation 1

Abstract:

93.

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 (504,773)

Citation 5

Abstract:

94.

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: 29 Jan 2021

John Y. Campbell and Richard Clarida

Harvard University - Department of Economics and Columbia University - Graduate School of Arts and Sciences - Department of Eco

Downloads 33 (524,468)

Abstract:

95.

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 (540,171)

Citation 2

Abstract:

96.

Mortgage Market Design

NBER Working Paper No. w18339

Number of pages: 35 Posted: 25 Aug 2012 Last Revised: 10 Feb 2021

John Y. Campbell

Harvard University - Department of Economics

Downloads 26 (563,454)

Citation 26

Abstract:

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 24 (576,202)

Citation 3

Abstract:

98.

Who Owns What? A Factor Model for Direct Stockholding

Number of pages: 79 Posted: 02 Mar 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 13 (658,108)

Abstract:

99.

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 (672,544)

Abstract:

100.

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 (672,544)

Citation 1

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Abstract:

101.

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 4

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Abstract:

102.

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 6

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Abstract:

103.

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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Abstract:

104.

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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Abstract:

105.

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

Abstract:

106.

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.

Abstract:

107.

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

Abstract:

108.

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)

John Y. Campbell

Harvard University - Department of Economics

Morton L. and Carole S. Olshan Professor of Economics

National Bureau of Economic Research (NBER)

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