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 2,011 (7,288)

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 173 (178,648)

Citation 33

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 1,985 ( 7,619)

Citation 302

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 1,727 (9,416)

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 226 (139,062)

Citation 35

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 32 (484,178)

Citation 7

Abstract:

5.

Efficient Tests of Stock Return Predictability

Downloads 1,922 ( 8,060)

Citation 173

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 1,799 (8,811)

Citation 30

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 123 (236,991)

Citation 11

Abstract:

6.

Equity Volatility and Corporate Bond Yields

Downloads 1,737 ( 9,512)

Citation 256

2

Equity Volatility and Corporate Bond Yields

Harvard Institute Research Working Paper No. 1945

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 1,618 (10,530)

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 119 (242,927)

Citation 14

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 1,724 (9,630)

Citation 2

Abstract:

8.

Global Currency Hedging

Downloads 1,644 ( 10,440)

Citation 58

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 1,125 (18,458)

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 450 (64,646)

Citation 5

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 69 (346,162)

Citation 1

Abstract:

9.

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

HKS Working Paper No. RWP10-40

Number of pages: 52 Posted: 27 Jul 2010 Last Revised: 16 Dec 2010

John Y. Campbell, Howell E. Jackson, Brigitte C. Madrian and Peter Tufano

Harvard University - Department of Economics, Harvard Law School, Brigham Young University Marriott School of Business and University of Oxford - Said Business School

Downloads 1,546 (11,488)

Citation 22

Abstract:

10.

Understanding Inflation-Indexed Bond Markets

Downloads 1,326 ( 14,662)

Citation 15

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 929 (24,489)

Citation 10

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 309 (100,259)

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 88 (299,217)

Abstract:

11.

Macroeconomic Drivers of Bond and Equity Risks

Downloads 1,176 ( 17,600)

Citation 10

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 1,157 (17,697)

Citation 11

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 19 (563,301)

Abstract:

12.

Who Should Buy Long-Term Bonds?

Downloads 1,162 ( 17,921)

Citation 29

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 1,104 (18,996)

Citation 27

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 58 (379,320)

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 1,142 (18,408)

Abstract:

14.

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

Downloads 1,014 ( 21,920)

Citation 7

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 1,014 (21,542)

Citation 7

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 1,004 ( 22,245)

Citation 30

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 918 (24,946)

Citation 23

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: 16 Aug 2010

John Y. Campbell, Christopher Polk and Tuomo Vuolteenaho

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

Downloads 86 (303,624)

Citation 3

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 969 ( 23,446)

Citation 32

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 890 (26,082)

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 Sep 2010

John Y. Campbell, Adi Sunderam and Luis M. Viceira

Harvard University - Department of Economics, Harvard University - Business School (HBS) and Harvard Business School - Finance Unit

Downloads 79 (320,026)

Citation 9

Abstract:

17.

Asset Pricing at the Millennium

Downloads 937 ( 24,623)

Citation 140

3

Asset Pricing at the Millennium

Harvard Institute of Economic Research Paper No. 1897

Number of pages: 76 Posted: 06 Sep 2000

John Y. Campbell

Harvard University - Department of Economics

Downloads 864 (27,206)

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 73 (335,212)

Citation 13

Abstract:

Asset Pricing at the Millennium

Journal of Finance, August 2000

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 909 ( 25,739)

Citation 65

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 795 (30,589)

Citation 60

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 114 (250,744)

Abstract:

19.

Strategic Asset Allocation in a Continuous-Time VAR Model

Downloads 865 ( 27,592)

Citation 27

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 785 (31,126)

Citation 5

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 Nov 2010

John Y. Campbell, George Chacko, Jorge F. Rodriguez and Luis M. Viceira

Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit

Downloads 57 (382,704)

Abstract:

Strategic Asset Allocation in a Continuous-Time VAR Model

CEPR Discussion Paper No. 4160

Number of pages: 38 Posted: 12 Jan 2004

John Y. Campbell, George Chacko, Jorge F. Rodriguez and Luis M. Viceira

Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit

Downloads 23 (536,852)

Add to Cart

Abstract:

20.

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

Downloads 864 ( 27,647)

Citation 4

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, T. Ramadorai and Benjamin Ranish

Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System

Downloads 850 (27,839)

Citation 7

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

John Y. Campbell, T. Ramadorai and Benjamin Ranish

Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System

Downloads 14 (597,399)

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 T. Ramadorai

Harvard University - Department of Economics and Imperial College London

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Abstract:

21.

Investing Retirement Wealth: A Life-Cycle Model

Downloads 861 ( 27,781)

Citation 21

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 791 (30,796)

Citation 22

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 70 (343,427)

Abstract:

22.

An Intertemporal CAPM with Stochastic Volatility

Downloads 796 ( 31,030)

Citation 46

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 780 (31,385)

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 15 (590,296)

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

Downloads 1 (703,682)

Citation 16

Add to Cart

Abstract:

23.

Foreign Currency for Long-Term Investors

Downloads 787 ( 31,514)

Citation 6

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 698 (36,552)

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 61 (369,821)

Abstract:

Foreign Currency for Long-Term Investors

CEPR Discussion Paper No. 3463

Number of pages: 42 Posted: 04 Sep 2002

John Y. Campbell, Luis M. Viceira and Joshua S. White

Harvard University - Department of Economics, Harvard Business School - Finance Unit and University of Illinois at Urbana-Champaign - Department of Finance

Downloads 28 (505,998)

Citation 7

Add to Cart

Abstract:

24.

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 786 (31,560)

Citation 1

Abstract:

25.

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 763 (32,855)

Citation 12

Abstract:

26.

Fight or Flight? Portfolio Rebalancing by Individual Investors

Downloads 710 ( 36,269)

Citation 64

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 655 (39,806)

Citation 71

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 55 (389,512)

Abstract:

27.

Aligning Incentives at Systemically Important Financial Institutions

Columbia Business School Research Paper No. 13-18, Fisher College of Business Working Paper

Number of pages: 7 Posted: 28 Mar 2013

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 689 (37,767)

Abstract:

28.

How Do House Prices Affect Consumption? Evidence from Micro Data

Downloads 673 ( 38,950)

Citation 219

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 563 (48,732)

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 110 (257,294)

Citation 23

Abstract:

29.

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

Downloads 659 ( 40,066)

Citation 20

3

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

Number of pages: 142 Posted: 09 Jul 2014 Last Revised: 30 Jul 2019

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

Copenhagen Business School - Department of Finance, Harvard University - Department of Economics, Copenhagen Business School - Department of Finance and Imperial College London

Downloads 641 (41,012)

Citation 19

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

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

Copenhagen Business School - Department of Finance, Harvard University - Department of Economics, Copenhagen Business School - Department of Finance and Imperial College London

Downloads 18 (570,058)

Citation 1

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 T. 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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Abstract:

30.

Caught on Tape: Predicting Institutional Ownership with Order Flow

Harvard Institute of Economic Research Discussion Paper No. 2046; EFA 2004 Maastricht Meetings Paper No. 4242

Number of pages: 50 Posted: 25 Mar 2004

John Y. Campbell, Tuomo Vuolteenaho and T. Ramadorai

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

Downloads 647 (41,083)

Citation 10

Abstract:

31.

Household Risk Management and Optimal Mortgage Choice

Downloads 629 ( 42,689)

Citation 196

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 554 (49,723)

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 Nov 2010

John Y. Campbell and Joao F. Cocco

Harvard University - Department of Economics and London Business School

Downloads 75 (330,040)

Citation 19

Abstract:

32.

Hard Times

Downloads 590 ( 46,485)

Citation 12

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 356 (85,450)

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 185 (168,198)

Citation 8

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 49 (410,695)

Citation 2

Abstract:

33.

International Comparative Household Finance

Downloads 487 ( 59,302)

Citation 21

3

International Comparative Household Finance

Number of pages: 40 Posted: 17 Aug 2015 Last Revised: 01 Mar 2016

Cristian Badarinza, John Y. Campbell and T. Ramadorai

National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London

Downloads 457 (63,461)

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 T. Ramadorai

National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London

Downloads 30 (494,799)

Citation 6

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 T. Ramadorai

National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London

Abstract:

34.

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 479 (60,500)

Abstract:

35.

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

NBER Working Paper No. w2100

Number of pages: 40 Posted: 07 Jul 2004 Last Revised: 29 Sep 2010

John Y. Campbell and Robert J. Shiller

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

Downloads 458 (63,955)

Citation 79

Abstract:

36.

Restoring Rational Choice: The Challenge of Consumer Financial Regulation

Downloads 425 ( 69,990)

Citation 114

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 331 (92,850)

Citation 2

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 75 (330,040)

Citation 1

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 19 (563,301)

Citation 20

Abstract:

37.

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

Downloads 419 ( 71,228)

Citation 82

2

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

Number of pages: 65 Posted: 05 Jul 2007

John Y. Campbell, T. Ramadorai and Allie Schwartz

Harvard University - Department of Economics, Imperial College London and Harvard University

Downloads 416 (71,168)

Citation 11

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, T. Ramadorai and Allie Schwartz

Harvard University - Department of Economics, Imperial College London and Harvard University

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Citation 3

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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 387 (78,133)

Citation 6

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 369 (82,599)

Citation 6

Abstract:

40.

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

Downloads 333 ( 92,873)

Citation 15

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 T. Ramadorai

National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London

Downloads 324 (95,100)

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 T. Ramadorai

National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London

Downloads 9 (633,208)

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 T. Ramadorai

National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London

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Citation 3

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Abstract:

41.

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

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Citation 223

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 259 (121,079)

Citation 14

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 64 (360,534)

Citation 42

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:

42.

Stock Prices, Earnings and Expected Dividends

NBER Working Paper No. w2511

Number of pages: 42 Posted: 14 Jan 2001

John Y. Campbell and Robert J. Shiller

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

Downloads 314 (99,100)

Citation 35

Abstract:

43.

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, T. Ramadorai and Tuomo Vuolteenaho

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

Downloads 272 (115,604)

Abstract:

44.

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 269 (116,939)

Citation 26

Abstract:

45.

The Impact of Regulation on Mortgage Risk: Evidence from India

Downloads 249 (126,769)

Citation 7

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, T. Ramadorai and Benjamin Ranish

Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System

Downloads 247 (127,236)

Citation 2

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, T. 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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Abstract:

46.

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

Downloads 247 (127,807)

Citation 3

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, T. Ramadorai and Benjamin Ranish

Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System

Downloads 238 (132,118)

Citation 2

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, T. Ramadorai and Benjamin Ranish

Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System

Downloads 8 (640,574)

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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, T. 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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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 243 (129,956)

Citation 21

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 U.S. Federal Reserve Board of Governors

Downloads 229 (137,747)

Citation 13

Abstract:

49.

A Multivariate Model of Strategic Asset Allocation

Downloads 207 (151,704)

Citation 169

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 170 (181,433)

Citation 2

Abstract:

A Multivariate Model of Strategic Asset Allocation

CEPR Discussion Paper No. 3070

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 (460,209)

Citation 8

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Abstract:

50.

A Model of Mortgage Default

Downloads 200 (156,680)

Citation 79

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 155 (196,541)

Citation 10

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 45 (426,047)

Abstract:

51.

Household Finance

NBER Working Paper No. w12149

Number of pages: 72 Posted: 18 May 2006 Last Revised: 13 Sep 2010

John Y. Campbell

Harvard University - Department of Economics

Downloads 195 (160,449)

Citation 39

Abstract:

52.

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

NBER Working Paper No. w14788

Number of pages: 52 Posted: 17 Mar 2009

Jason Beeler and John Y. Campbell

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

Downloads 189 (165,018)

Citation 19

Abstract:

53.

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

NBER Working Paper No. w2924

Number of pages: 52 Posted: 25 Oct 2000 Last Revised: 30 Jun 2010

John Y. Campbell and N. Gregory Mankiw

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

Downloads 187 (166,624)

Citation 15

Abstract:

54.

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 176 (175,988)

Citation 6

Abstract:

55.

The Term Structure of the Risk-Return Tradeoff

Downloads 171 (180,434)

Citation 48

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 139 (215,145)

Citation 1

Abstract:

The Term Structure of the Risk-Return Tradeoff

CEPR Discussion Paper No. 4914

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 (484,178)

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Abstract:

56.

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 166 (185,137)

Abstract:

57.

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

NBER Working Paper No. w3153

Number of pages: 42 Posted: 27 Apr 2000 Last Revised: 15 Aug 2010

John Y. Campbell and Robert J. Shiller

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

Downloads 165 (186,050)

Citation 32

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 161 (189,936)

Citation 1

Abstract:

59.

Understanding Risk and Return

Downloads 154 (197,358)

Citation 1

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 154 (197,659)

Citation 1

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:

60.

Elasticities of Substitution in Real Business Cycle Models with Home Production

Downloads 142 (210,906)

Citation 5

2

Elasticities of Substitution in Real Business Cycle Models with Home Production

Harvard Institute of Economics Research Paper No. 1900

Number of pages: 44 Posted: 04 Feb 1999

John Y. Campbell and Sydney C. Ludvigson

Harvard University - Department of Economics and New York University - Department of Economics

Downloads 120 (241,356)

Citation 5

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 22 (543,439)

Abstract:

61.

Permanent Income, Current Income, and Consumption

NBER Working Paper No. w2436

Number of pages: 45 Posted: 25 Jun 2004 Last Revised: 30 Aug 2010

John Y. Campbell and N. Gregory Mankiw

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

Downloads 133 (222,340)

Citation 8

Abstract:

62.

Structuring Mortgages for Macroeconomic Stability

Number of pages: 65 Posted: 06 Mar 2018

John Y. Campbell, Nuno Clara and Joao F. Cocco

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

Downloads 125 (233,191)

Citation 1

Abstract:

63.

Forced Sales and House Prices

NBER Working Paper No. w14866

Number of pages: 45 Posted: 13 Apr 2009 Last Revised: 16 Aug 2010

John Y. Campbell, Stefano Giglio and Parag A. Pathak

Harvard University - Department of Economics, Yale School of Management and Massachusetts Institute of Technology (MIT) - Department of Economics

Downloads 119 (241,882)

Citation 23

Abstract:

64.

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 119 (241,882)

Citation 4

Abstract:

65.

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

Downloads 111 (254,372)

Citation 121

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: 27 Aug 2010

John Y. Campbell and John H. Cochrane

Harvard University - Department of Economics and Hoover Institution

Downloads 111 (255,640)

Citation 121

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:

66.

Measuring the Financial Sophistication of Households

NBER Working Paper No. w14699

Number of pages: 48 Posted: 17 Feb 2009 Last Revised: 08 Mar 2013

Laurent E. Calvet, John Y. Campbell and Paolo Sodini

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

Downloads 109 (257,561)

Citation 13

Abstract:

67.

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 106 (262,643)

Abstract:

68.

Estimating the Equity Premium

NBER Working Paper No. w13423

Number of pages: 28 Posted: 26 Sep 2007 Last Revised: 06 Sep 2010

John Y. Campbell

Harvard University - Department of Economics

Downloads 105 (264,365)

Citation 1

Abstract:

69.

Cointegration and Tests of Present Value Models

NBER Working Paper No. w1885

Number of pages: 39 Posted: 06 Apr 2004 Last Revised: 28 Aug 2010

John Y. Campbell and Robert J. Shiller

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

Downloads 102 (269,702)

Citation 21

Abstract:

70.

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 101 (271,492)

Citation 2

Abstract:

71.

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 101 (271,492)

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 101 (271,492)

Abstract:

73.

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 99 (275,238)

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 86 (301,044)

Citation 26

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 77 (321,674)

Citation 19

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 T. Ramadorai

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

Downloads 66 (350,277)

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 65 (353,087)

Citation 4

Abstract:

78.

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

NBER Working Paper No. t0067

Number of pages: 15 Posted: 27 Jun 2007 Last Revised: 09 Sep 2010

John Y. Campbell and Robert J. Shiller

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

Downloads 63 (358,881)

Citation 4

Abstract:

79.

The Fragile Benefits of Endowment Destruction

Number of pages: 11 Posted: 20 Mar 2015

John H. Cochrane and John Y. Campbell

Hoover Institution and Harvard University - Department of Economics

Downloads 61 (364,839)

Abstract:

80.

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

NBER Working Paper No. w1805

Number of pages: 42 Posted: 12 Apr 2004

John Y. Campbell

Harvard University - Department of Economics

Downloads 53 (390,019)

Citation 3

Abstract:

81.

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

NBER Working Paper No. w1203

Number of pages: 31 Posted: 09 Mar 2004

John Y. Campbell and Robert J. Shiller

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

Downloads 52 (393,336)

Citation 1

Abstract:

82.

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 49 (403,612)

Citation 6

Abstract:

83.

Consumption and the Stock Market: Interpreting International Experience

NBER Working Paper No. w5610

Number of pages: 65 Posted: 01 Aug 2000 Last Revised: 25 Mar 2008

John Y. Campbell

Harvard University - Department of Economics

Downloads 49 (403,612)

Abstract:

84.

A Scorecard for Indexed Government Debt

Downloads 49 (403,612)

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 49 (410,695)

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:

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 48 (407,074)

Citation 2

Abstract:

86.

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 40 (437,528)

Citation 1

Abstract:

87.

Bond and Stock Returns in a Simple Exchange Model

NBER Working Paper No. w1509

Number of pages: 28 Posted: 04 Apr 2004 Last Revised: 18 Aug 2010

John Y. Campbell

Harvard University - Department of Economics

Downloads 39 (441,712)

Citation 6

Abstract:

88.

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 38 (445,894)

Abstract:

89.

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 36 (454,361)

Citation 3

Abstract:

90.

Measuring the Persistence of Expected Returns

NBER Working Paper No. w3305

Number of pages: 14 Posted: 03 Jul 2007 Last Revised: 15 Jul 2010

John Y. Campbell

Harvard University - Department of Economics

Downloads 35 (458,643)

Citation 4

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 34 (463,076)

Abstract:

92.

Why Long Horizons: A Study of Power Against Persistent Alternatives

NBER Working Paper No. t0142

Number of pages: 45 Posted: 10 Jun 2000

John Y. Campbell

Harvard University - Department of Economics

Downloads 33 (467,538)

Citation 1

Abstract:

93.

Household Saving and Permanent Income in Canada and the United Kingdom

NBER Working Paper No. w2223

Number of pages: 32 Posted: 15 Jan 2007 Last Revised: 31 Jul 2010

John Y. Campbell and Richard Clarida

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

Downloads 29 (486,914)

Abstract:

94.

The Term Structure of Euromarket Interest Rates: an Empirical Investigation

NBER Working Paper No. w1946

Number of pages: 35 Posted: 11 Apr 2007 Last Revised: 10 Jan 2008

John Y. Campbell and Richard Clarida

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

Downloads 28 (492,130)

Citation 2

Abstract:

95.

Mortgage Market Design

NBER Working Paper No. w18339

Number of pages: 35 Posted: 25 Aug 2012

John Y. Campbell

Harvard University - Department of Economics

Downloads 23 (520,077)

Citation 12

Abstract:

96.

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

NBER Working Paper No. w1806

Number of pages: 22 Posted: 19 Jun 2004

John Y. Campbell

Harvard University - Department of Economics

Downloads 23 (520,077)

Citation 2

Abstract:

97.

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, T. Ramadorai and Benjamin Ranish

Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System

Downloads 10 (600,736)

Abstract:

98.

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 (600,736)

Citation 1

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Abstract:

99.

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 1

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Abstract:

100.

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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Abstract:

101.

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:

102.

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:

103.

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:

104.

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:

105.

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)

105

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Scholarly Papers (105)

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Strategic Asset Allocation in a Continuous-Time VAR Model

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

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An Intertemporal CAPM with Stochastic Volatility

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Foreign Currency for Long-Term Investors

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