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 2,134 (11,484)

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: 29 Sep 2022

John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu

Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management

Downloads 233 (209,147)

Citation 151

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 2,229 (10,930)

Citation 486

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 1,895 (13,920)

Citation 30

Abstract:

In Search of Distress Risk

NBER Working Paper No. w12362

Number of pages: 54 Posted: 20 Jul 2006 Last Revised: 13 Oct 2022

John Y. Campbell, Jens Hilscher and Jan Szilagyi

Harvard University - Department of Economics, University of California, Davis and Duquesne Capital Management LLC

Downloads 261 (186,917)

Citation 84

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 73 (514,178)

Citation 5

Abstract:

5.

Efficient Tests of Stock Return Predictability

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Citation 234

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 1,881 (14,094)

Citation 29

Abstract:

Efficient Tests of Stock Return Predictability

NBER Working Paper No. w10026

Number of pages: 57 Posted: 14 Oct 2003 Last Revised: 25 Nov 2022

John Y. Campbell and Motohiro Yogo

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

Downloads 193 (249,674)

Citation 36

Abstract:

6.

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

HKS Working Paper No. RWP10-40

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

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

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

Downloads 1,953 (13,491)

Citation 25

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 University - Columbia Business School, Finance, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS), Harvard University - Department of Economics and Ohio State University (OSU) - Department of Finance

Downloads 1,925 (13,803)

Citation 3

Abstract:

8.

Equity Volatility and Corporate Bond Yields

Downloads 1,908 (14,018)

Citation 332

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 1,704 (16,425)

Abstract:

Equity Volatility and Corporate Bond Yields

NBER Working Paper No. w8961

Number of pages: 47 Posted: 24 May 2002 Last Revised: 28 Dec 2022

John Y. Campbell and Glen B. Taksler

Harvard University - Department of Economics and affiliation not provided to SSRN

Downloads 204 (237,225)

Citation 37

Abstract:

9.

Global Currency Hedging

Downloads 1,793 (15,440)

Citation 76

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 1,185 (28,358)

Citation 7

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 497 (91,180)

Citation 7

Abstract:

Global Currency Hedging

NBER Working Paper No. w13088

Number of pages: 116 Posted: 27 Jun 2007 Last Revised: 07 Oct 2022

John Y. Campbell, Karine Serfaty-de Medeiros and Luis M. Viceira

Harvard University - Department of Economics, OC&C Strategy Consultants and Harvard Business School - Finance Unit

Downloads 111 (391,982)

Citation 8

Abstract:

10.

Understanding Inflation-Indexed Bond Markets

Downloads 1,512 (20,022)

Citation 35

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 1,022 (35,125)

Citation 18

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 360 (132,985)

Citation 6

Abstract:

Understanding Inflation-Indexed Bond Markets

NBER Working Paper No. w15014

Number of pages: 47 Posted: 01 Jun 2009 Last Revised: 09 Jan 2023

John Y. Campbell, Robert J. Shiller and Luis M. Viceira

Harvard University - Department of Economics, Yale University - Cowles Foundation and Harvard Business School - Finance Unit

Downloads 130 (348,303)

Abstract:

11.

Who Should Buy Long-Term Bonds?

Downloads 1,347 (23,852)

Citation 55

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 1,138 (30,113)

Citation 44

Abstract:

Who Should Buy Long-Term Bonds?

NBER Working Paper No. w6801

Number of pages: 53 Posted: 10 Jun 2000 Last Revised: 03 Aug 2022

John Y. Campbell and Luis M. Viceira

Harvard University - Department of Economics and Harvard Business School - Finance Unit

Downloads 209 (232,035)

Abstract:

12.

Macroeconomic Drivers of Bond and Equity Risks

Downloads 1,331 (24,307)

Citation 73

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, Carolin E. Pflueger and Luis M. Viceira

Harvard University - Department of Economics, National Bureau of Economic Research (NBER)University of Chicago - Harris School of Public Policy and Harvard Business School - Finance Unit

Downloads 1,292 (24,956)

Citation 38

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, Carolin E. Pflueger and Luis M. Viceira

Harvard University - Department of Economics, National Bureau of Economic Research (NBER)University of Chicago - Harris School of Public Policy and Harvard Business School - Finance Unit

Downloads 39 (691,354)

Citation 1

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 1,204 (28,158)

Citation 1

Abstract:

14.

Asset Pricing at the Millennium

Downloads 1,106 (31,883)

Citation 161

3

Asset Pricing at the Millennium

Number of pages: 76 Posted: 06 Sep 2000

John Y. Campbell

Harvard University - Department of Economics

Downloads 914 (41,075)

Citation 2

Abstract:

Asset Pricing at the Millennium

NBER Working Paper No. w7589

Number of pages: 75 Posted: 09 Jul 2000 Last Revised: 28 Sep 2022

John Y. Campbell

Harvard University - Department of Economics

Downloads 192 (250,833)

Citation 22

Abstract:

Asset Pricing at the Millennium

Posted: 01 Aug 2000

John Y. Campbell

Harvard University - Department of Economics

Abstract:

15.

Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

Downloads 1,085 (32,729)

Citation 61

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 976 (37,463)

Citation 41

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: 15 Aug 2022

John Y. Campbell, Christopher Polk and Tuomo Vuolteenaho

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

Downloads 109 (397,139)

Citation 20

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.

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

Downloads 1,076 (33,136)

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 1,076 (32,655)

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:

17.

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

Downloads 1,034 (35,015)

Citation 76

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 938 (39,615)

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: 03 Sep 2022

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

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

Downloads 96 (434,190)

Citation 56

Abstract:

18.

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

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Citation 74

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 841 (46,025)

Citation 59

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: 03 Nov 2022

John Y. Campbell and Samuel Brodsky Thompson

Harvard University - Department of Economics and Arrowstreet Capital, L.P.

Downloads 162 (291,318)

Citation 9

Abstract:

19.

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

Downloads 971 (38,276)

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 919 (40,770)

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 2023

John Y. Campbell, Tarun Ramadorai and Benjamin Ranish

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

Downloads 51 (618,458)

Citation 1

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

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Citation 2

Add to Cart

Abstract:

20.

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 966 (38,529)

Citation 1

Abstract:

21.

Investing Retirement Wealth: A Life-Cycle Model

Downloads 953 (39,375)

Citation 29

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 852 (45,190)

Citation 36

Abstract:

Investing Retirement Wealth: a Life-Cycle Model

NBER Working Paper No. w7029

Number of pages: 49 Posted: 20 Apr 1999 Last Revised: 17 Sep 2022

John Y. Campbell, Joao F. Cocco, Francisco Gomes and Pascal J. Maenhout

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

Downloads 101 (419,308)

Abstract:

22.

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

Downloads 937 (40,253)

Citation 68

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 897 (42,132)

Citation 17

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: 09 Dec 2022

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 40 (684,607)

Citation 56

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:

23.

Strategic Asset Allocation in a Continuous-Time VAR Model

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Citation 34

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 811 (48,395)

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: 04 Aug 2022

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

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

Downloads 100 (422,215)

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:

24.

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

NBER Working Paper No. w8221

Number of pages: 43 Posted: 08 Apr 2001 Last Revised: 19 Dec 2022

John Y. Campbell and Robert J. Shiller

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

Downloads 932 (40,537)

Citation 59

Abstract:

25.

An Intertemporal CAPM with Stochastic Volatility

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Citation 101

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 836 (46,397)

Citation 3

Abstract:

An Intertemporal CAPM with Stochastic Volatility

NBER Working Paper No. w18411

Number of pages: 61 Posted: 22 Sep 2012 Last Revised: 23 Apr 2023

John Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley

Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University

Downloads 44 (659,055)

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 37

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Abstract:

26.

Foreign Currency for Long-Term Investors

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Citation 11

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 726 (56,164)

Abstract:

Foreign Currency for Long-Term Investors

NBER Working Paper No. w9075

Number of pages: 40 Posted: 20 Jul 2002 Last Revised: 26 Oct 2022

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

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

Downloads 79 (490,748)

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

Downloads 28 (772,160)

Citation 10

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Abstract:

27.

Fight or Flight? Portfolio Rebalancing by Individual Investors

Downloads 797 (50,232)

Citation 132

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, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance

Downloads 701 (58,832)

Citation 95

Abstract:

Fight or Flight? Portfolio Rebalancing by Individual Investors

NBER Working Paper No. w14177

Number of pages: 46 Posted: 21 Jul 2008 Last Revised: 28 Sep 2022

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

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

Downloads 96 (434,190)

Citation 72

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 University - Columbia Business School, Finance, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS) and Ohio State University (OSU) - Department of Finance

Downloads 796 (50,324)

Citation 1

Abstract:

29.

How Do House Prices Affect Consumption? Evidence from Micro Data

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Citation 283

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 603 (71,602)

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 2022

John Y. Campbell and Joao F. Cocco

Harvard University - Department of Economics and London Business School

Downloads 153 (305,738)

Citation 57

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

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Citation 10

Abstract:

31.

Household Risk Management and Optimal Mortgage Choice

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Citation 230

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 580 (75,127)

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: 02 Sep 2022

John Y. Campbell and Joao F. Cocco

Harvard University - Department of Economics and London Business School

Downloads 94 (440,263)

Citation 38

Abstract:

32.

International Comparative Household Finance

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Citation 48

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 584 (74,449)

Citation 1

Abstract:

International Comparative Household Finance

NBER Working Paper No. w22066

Number of pages: 41 Posted: 07 Mar 2016 Last Revised: 17 Apr 2023

Cristian Badarinza, John Y. Campbell and Tarun Ramadorai

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

Downloads 84 (473,001)

Citation 21

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:

33.

Who Owns What? A Factor Model for Direct Stockholding

Downloads 666 (63,950)

Citation 4

2

Who Owns What? A Factor Model for Direct Stockholding

Number of pages: 81 Posted: 02 Mar 2021 Last Revised: 19 Jul 2021

Vimal Balasubramaniam, John Y. Campbell, Tarun Ramadorai and Benjamin Ranish

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

Downloads 666 (62,985)

Citation 2

Abstract:

Who Owns What? A Factor Model for Direct Stockholding

CEPR Discussion Paper No. DP16378

Number of pages: 84 Posted: 22 Sep 2021

Vimal Balasubramaniam, John Y. Campbell, Tarun Ramadorai and Benjamin Ranish

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

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Citation 1

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Abstract:

34.

Hard Times

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Citation 28

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 389 (121,721)

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 208 (233,073)

Citation 15

Abstract:

Hard Times

NBER Working Paper No. w16222

Number of pages: 33 Posted: 26 Jul 2010 Last Revised: 30 Apr 2023

John Y. Campbell, Stefano Giglio and Christopher Polk

Harvard University - Department of Economics, Yale School of Management and London School of Economics

Downloads 69 (530,793)

Citation 5

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 2022

John Y. Campbell and Robert J. Shiller

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

Downloads 617 (70,362)

Citation 201

Abstract:

36.

International Experiences with Securities Transaction Taxes

NBER Working Paper No. w4587

Number of pages: 42 Posted: 27 Dec 2002 Last Revised: 16 Jul 2022

John Y. Campbell and Kenneth Froot

Harvard University - Department of Economics and Harvard University Graduate School of Business

Downloads 543 (82,495)

Citation 2

Abstract:

37.

Restoring Rational Choice: The Challenge of Consumer Financial Regulation

Downloads 502 (91,466)

Citation 203

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

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Citation 4

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Restoring Rational Choice: The Challenge of Consumer Financial Regulation

ECB Working Paper No. 1897

Number of pages: 99 Posted: 27 Apr 2016

John Y. Campbell

Harvard University - Department of Economics

Downloads 113 (386,795)

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 Last Revised: 08 Mar 2023

John Y. Campbell

Harvard University - Department of Economics

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Citation 57

Abstract:

38.

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

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Citation 124

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 478 (95,573)

Citation 10

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

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Citation 21

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39.

Trading Volume and Serial Correlation in Stock Returns

NBER Working Paper No. w4193

Number of pages: 45 Posted: 30 Jan 2003 Last Revised: 18 Dec 2022

John Y. Campbell, Sanford J. Grossman and Jiang Wang

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

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Citation 39

Abstract:

40.

Inflation Illusion and Stock Prices

NBER Working Paper No. w10263

Number of pages: 20 Posted: 19 Jul 2010 Last Revised: 18 Jul 2022

John Y. Campbell and Tuomo Vuolteenaho

Harvard University - Department of Economics and Arrowstreet Capital, LP

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Citation 16

Abstract:

41.

Stock Prices, Earnings and Expected Dividends

NBER Working Paper No. w2511

Number of pages: 42 Posted: 14 Jan 2001 Last Revised: 13 Nov 2022

John Y. Campbell and Robert J. Shiller

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

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Citation 85

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42.

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

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Citation 25

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 396 (119,280)

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 Last Revised: 07 Apr 2023

Cristian Badarinza, John Y. Campbell and Tarun Ramadorai

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

Downloads 26 (788,432)

Citation 1

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

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Citation 10

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43.

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

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Citation 338

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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, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance

Downloads 292 (166,482)

Citation 10

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

NBER Working Paper No. w12030

Number of pages: 65 Posted: 11 Feb 2006 Last Revised: 16 Nov 2022

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

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

Downloads 87 (462,739)

Citation 101

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

Journal of Political Economy, Vol. 115, No. 5, 2007

Posted: 21 Dec 2007

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

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

Abstract:

44.

A Variance Decomposition for Stock Returns

NBER Working Paper No. w3246

Number of pages: 36 Posted: 11 Nov 2000 Last Revised: 16 Nov 2022

John Y. Campbell

Harvard University - Department of Economics

Downloads 375 (127,942)

Citation 53

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45.

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

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Citation 23

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 334 (144,317)

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 Last Revised: 13 Jan 2023

John Y. Campbell, Tarun Ramadorai and Benjamin Ranish

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

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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

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Citation 24

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46.

Structuring Mortgages for Macroeconomic Stability

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Citation 22

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, Nuno Clara and Joao F. Cocco

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

Downloads 344 (139,794)

Citation 13

Abstract:

Structuring Mortgages for Macroeconomic Stability

NBER Working Paper No. w27676

Number of pages: 62 Posted: 17 Aug 2020 Last Revised: 13 Feb 2023

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

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

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Citation 14

Abstract:

47.

Caught on Tape: Institutional Order Flow and Stock Returns

Harvard Institute of Economic Research Discussion Paper No. 2080

Number of pages: 47 Posted: 28 Jul 2005

John Y. Campbell, Tarun Ramadorai and Tuomo Vuolteenaho

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

Downloads 320 (152,018)

Abstract:

48.

What Drives Booms and Busts in Value?

Number of pages: 56 Posted: 23 Mar 2023

John Y. Campbell, Stefano Giglio and Christopher Polk

Harvard University - Department of Economics, Yale School of Management and London School of Economics

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Abstract:

49.

The Impact of Regulation on Mortgage Risk: Evidence from India

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Citation 14

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 298 (162,911)

Citation 8

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

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50.

Stock Returns and the Term Structure

NBER Working Paper No. w1626

Number of pages: 53 Posted: 04 Jul 2004 Last Revised: 12 Dec 2022

John Y. Campbell

Harvard University - Department of Economics

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Citation 51

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51.

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

NBER Working Paper No. w3760

Number of pages: 53 Posted: 05 Jul 2004 Last Revised: 12 Oct 2022

John Y. Campbell and John Ammer

Harvard University - Department of Economics and Board of Governors of the Federal Reserve System

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Citation 42

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52.

A Model of Mortgage Default

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Citation 121

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 199 (242,787)

Citation 23

Abstract:

A Model of Mortgage Default

NBER Working Paper No. w17516

Number of pages: 64 Posted: 15 Oct 2011 Last Revised: 13 May 2023

John Y. Campbell and Joao F. Cocco

Harvard University - Department of Economics and London Business School

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Citation 47

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53.

The Term Structure of the Risk-Return Tradeoff

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Citation 52

2

The Term Structure of the Risk-Return Tradeoff

NBER Working Paper No. w11119

Number of pages: 54 Posted: 09 Mar 2005 Last Revised: 20 Nov 2022

John Y. Campbell and Luis M. Viceira

Harvard University - Department of Economics and Harvard Business School - Finance Unit

Downloads 226 (215,483)

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

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54.

Household Finance

NBER Working Paper No. w12149

Number of pages: 72 Posted: 18 May 2006 Last Revised: 12 Sep 2022

John Y. Campbell

Harvard University - Department of Economics

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Citation 121

Abstract:

55.

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

NBER Working Paper No. w3153

Number of pages: 42 Posted: 27 Apr 2000 Last Revised: 13 Feb 2022

John Y. Campbell and Robert J. Shiller

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

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Citation 113

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56.

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

NBER Working Paper No. w2924

Number of pages: 52 Posted: 25 Oct 2000 Last Revised: 30 Dec 2022

John Y. Campbell and N. Gregory Mankiw

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

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Citation 44

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57.

A Multivariate Model of Strategic Asset Allocation

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Citation 197

2

A Multivariate Model of Strategic Asset Allocation

NBER Working Paper No. w8566

Number of pages: 79 Posted: 25 Oct 2001 Last Revised: 29 Nov 2022

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

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

Downloads 211 (230,070)

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

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Citation 14

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58.

Idiosyncratic Equity Risk Two Decades Later

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Idiosyncratic Equity Risk Two Decades Later

Number of pages: 21 Posted: 21 Apr 2022

John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu

Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management

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Abstract:

Idiosyncratic Equity Risk Two Decades Later

NBER Working Paper No. w29916

Number of pages: 22 Posted: 11 Apr 2022 Last Revised: 30 Mar 2023

John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu

Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management

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Abstract:

59.

Smart Money, Noise Trading and Stock Price Behavior

NBER Working Paper No. t0071

Number of pages: 79 Posted: 04 Jul 2004 Last Revised: 13 Mar 2023

John Y. Campbell and Albert S. Kyle

Harvard University - Department of Economics and University of Maryland

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Citation 16

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60.

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

NBER Working Paper No. w14788

Number of pages: 52 Posted: 17 Mar 2009 Last Revised: 28 Nov 2022

Jason Beeler and John Y. Campbell

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

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Citation 44

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61.

Understanding Risk and Return

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Citation 66

2

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

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

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Foreign Currency for Long-Term Investors