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John Y. Campbell

Harvard University - Department of Economics

Morton L. and Carole S. Olshan Professor of Economics

Littauer Center

Room 213

Cambridge, MA 02138

United States

http://scholar.harvard.edu/campbell

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • Harvard University - Department of Economics

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

103

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Rank 269

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Top 269

in Total Papers Downloads

45,734

CITATIONS
Rank 6

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Top 6

in Total Papers Citations

10,705

Scholarly Papers (103)

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1.

Bad Beta, Good Beta

Downloads 4,297 ( 1,439)
Citation 257

Bad Beta, Good Beta

Harvard Institute of Economic Research Discussion Paper No. 2016
Number of pages: 58 Posted: 23 Oct 2002
John Y. Campbell and Tuomo Vuolteenaho
Harvard University - Department of Economics and Arrowstreet Capital, LP
Downloads 4,109 (1,530)
Citation 257

Abstract:

Bad Beta, Good Beta

NBER Working Paper No. w9509
Number of pages: 58 Posted: 25 Feb 2003
John Y. Campbell and Tuomo Vuolteenaho
Harvard University - Department of Economics and Arrowstreet Capital, LP
Downloads 188 (132,843)
Citation 257

Abstract:

2.

Consumption-Based Asset Pricing

Harvard Institute Research Working Paper No. 1974
Number of pages: 116 Posted: 29 Oct 2002
John Y. Campbell
Harvard University - Department of Economics
Downloads 2,479 (3,650)
Citation 204

Abstract:

3.

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

Downloads 2,121 ( 4,991)
Citation 482

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

Number of pages: 59 Posted: 25 Feb 2000
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management
Downloads 1,957 (5,582)
Citation 482

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
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 164 (150,498)
Citation 482

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 1,841 ( 6,349)
Citation 224

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 1,621 (7,813)
Citation 224

Abstract:

In Search of Distress Risk

NBER Working Paper No. w12362
Number of pages: 54 Posted: 20 Jul 2006
John Y. Campbell, Jens Hilscher and Jan Szilagyi
Harvard University - Department of Economics, University of California, Davis and Duquesne Capital Management LLC
Downloads 213 (117,807)
Citation 224

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 7 (532,825)
Citation 223

Abstract:

5.

Efficient Tests of Stock Return Predictability

Downloads 1,818 ( 6,504)
Citation 176

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 1,715 (7,094)
Citation 176

Abstract:

Bonferroni test, Dividend yield, Predictability, Stock returns, Unit root

Efficient Tests of Stock Return Predictability

NBER Working Paper No. w10026
Number of pages: 57 Posted: 14 Oct 2003
John Y. Campbell and Motohiro Yogo
Harvard University - Department of Economics and Princeton University - Department of Economics
Downloads 103 (218,218)
Citation 176

Abstract:

6.

Equity Volatility and Corporate Bond Yields

Downloads 1,672 ( 7,587)
Citation 216

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 1,573 (8,162)
Citation 216

Abstract:

Corporate bonds, equity volatility

Equity Volatility and Corporate Bond Yields

NBER Working Paper No. w8961
Number of pages: 47 Posted: 24 May 2002
John Y. Campbell and Glen B. Taksler
Harvard University - Department of Economics and affiliation not provided to SSRN
Downloads 99 (224,456)
Citation 216

Abstract:

7.

Global Currency Hedging

Downloads 1,545 ( 8,589)
Citation 37

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 1,043 (15,763)
Citation 37

Abstract:

Foreign exchange, Siegel's paradox, risk management

Global Currency Hedging

Harvard Business School Finance Working Paper No. 09-089
Number of pages: 116 Posted: 29 Jan 2009
John Y. Campbell, Karine Serfaty-de Medeiros and Luis M. Viceira
Harvard University - Department of Economics, OC&C Strategy Consultants and Harvard Business School - Finance Unit
Downloads 436 (52,645)
Citation 37

Abstract:

Global Currency Hedging

NBER Working Paper No. w13088
Number of pages: 116 Posted: 27 Jun 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 66 (288,574)
Citation 37

Abstract:

8.

Reforming Money Market Funds

Tuck School of Business Working Paper No. 2011-86, Rock Center for Corporate Governance at Stanford University Working Paper No. 109, Columbia Business School Research Paper No. 12-13
Number of pages: 10 Posted: 19 Jan 2011 Last Revised: 20 Feb 2012
Martin N. Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Kenneth R. French, Anil K. Kashyap, Frederic S. Mishkin, David S. Scharfstein, Robert J. Shiller, Matthew J. Slaughter, Hyun Song Shin, Jeremy C. Stein and René M. Stulz
Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Tuck School of Business at Dartmouth, University of Chicago, Booth School of Business, Columbia Business School - Finance and Economics, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Tuck School of Business at Dartmouth, Bank for International Settlements, Harvard University - Department of Economics and Ohio State University (OSU) - Department of Finance
Downloads 1,472 (8,184)

Abstract:

9.

Understanding Inflation-Indexed Bond Markets

Downloads 1,269 ( 11,843)
Citation 28

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 890 (19,986)
Citation 28

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 296 (83,199)
Citation 27

Abstract:

Expectations hypothesis, Liquidity, Term premia, TIPS

Understanding Inflation-Indexed Bond Markets

NBER Working Paper No. w15014
Number of pages: 47 Posted: 01 Jun 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 83 (252,104)
Citation 28

Abstract:

10.

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, Harvard University - Harvard Kennedy School (HKS) and University of Oxford - Said Business School
Downloads 1,155 (11,136)
Citation 3

Abstract:

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

11.

Who Should Buy Long-Term Bonds?

Downloads 1,140 ( 14,024)
Citation 156

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 1,089 (14,713)
Citation 156

Abstract:

Who Should Buy Long-Term Bonds?

NBER Working Paper No. w6801
Number of pages: 53 Posted: 10 Jun 2000
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 51 (329,008)
Citation 156

Abstract:

12.

Monetary Policy Drivers of Bond and Equity Risks

Downloads 1,102 ( 14,745)
Citation 3

Monetary Policy Drivers of Bond and Equity Risks

Harvard Business School Finance Working Paper No. 14-031
Number of pages: 70 Posted: 29 Sep 2013 Last Revised: 16 Jun 2015
John Y. Campbell, Carolin E. Pflueger and Luis M. Viceira
Harvard University - Department of Economics, University of British Columbia (UBC) - Division of Finance and Harvard Business School - Finance Unit
Downloads 958 (17,884)
Citation 3

Abstract:

Monetary Policy Drivers of Bond and Equity Risks

Number of pages: 62 Posted: 25 Aug 2013
John Y. Campbell, Carolin E. Pflueger and Luis M. Viceira
Harvard University - Department of Economics, University of British Columbia (UBC) - Division of Finance and Harvard Business School - Finance Unit
Downloads 132 (180,809)
Citation 3

Abstract:

Nominal Bond Beta, New-Keynesian Model, Taylor Rule

Monetary Policy Drivers of Bond and Equity Risks

NBER Working Paper No. w20070
Number of pages: 69 Posted: 28 Apr 2014
John Y. Campbell, Carolin E. Pflueger and Luis M. Viceira
Harvard University - Department of Economics, University of British Columbia (UBC) - Division of Finance and Harvard Business School - Finance Unit
Downloads 12 (505,420)
Citation 3

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 1,081 (14,688)
Citation 777

Abstract:

14.

Stock Market Mean Reversion And The Optimal Equity Allocation Of A Long-Lived Investor

Downloads 985 ( 17,454)
Citation 22

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 985 (17,127)
Citation 22

Abstract:

Hedging Demand, Intertemporal Portfolio Choice, And Mean Reversion

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

Harvard Institute of Economic Research Paper No. 1899
Posted: 10 Apr 2002
John Y. Campbell, Joao F. Cocco, Francisco Gomes, Pascal J. Maenhout and Luis M. Viceira
Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit

Abstract:

15.

Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

Downloads 962 ( 18,123)
Citation 62

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 884 (20,195)
Citation 62

Abstract:

Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

NBER Working Paper No. w11389
Number of pages: 49 Posted: 06 Jul 2005
John Y. Campbell, Christopher Polk and Tuomo Vuolteenaho
Harvard University - Department of Economics, London School of Economics and Arrowstreet Capital, LP
Downloads 78 (261,919)
Citation 62

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:

G12, G14, N22

16.

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

Downloads 922 ( 19,315)
Citation 44

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 Business School and Harvard Business School - Finance Unit
Downloads 850 (21,423)
Citation 43

Abstract:

Term structure of interest rates, inflation risk, time varying expected returns, bond return predictability, expectations hypothesis, macro asset pricing

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

NBER Working Paper No. w14701
Number of pages: 83 Posted: 17 Feb 2009
John Y. Campbell, Adi Sunderam and Luis M. Viceira
Harvard University - Department of Economics, Harvard Business School and Harvard Business School - Finance Unit
Downloads 72 (274,760)
Citation 44

Abstract:

17.

Asset Pricing At The Millennium

Downloads 892 ( 20,304)
Citation 119

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 832 (22,104)
Citation 110

Abstract:

Asset Pricing at the Millennium

NBER Working Paper No. w7589
Number of pages: 75 Posted: 09 Jul 2000
John Y. Campbell
Harvard University - Department of Economics
Downloads 60 (303,435)
Citation 119

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 875 ( 20,888)
Citation 66

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 768 (24,836)
Citation 66

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
John Y. Campbell and Samuel Brodsky Thompson
Harvard University - Department of Economics and Arrowstreet Capital, L.P.
Downloads 107 (212,264)
Citation 66

Abstract:

19.

Strategic Asset Allocation in a Continuous-Time VAR Model

Downloads 845 ( 21,957)
Citation 61

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 771 (24,685)
Citation 61

Abstract:

Strategic Asset Allocation in a Continuous-Time VAR Model

NBER Working Paper No. w9547
Number of pages: 25 Posted: 08 Mar 2003
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 51 (329,008)
Citation 61

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 (441,749)
Citation 61

Abstract:

20.

Investing Retirement Wealth: A Life-Cycle Model

Downloads 821 ( 22,947)
Citation 66

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 769 (24,791)
Citation 66

Abstract:

Investing Retirement Wealth: a Life-Cycle Model

NBER Working Paper No. w7029
Number of pages: 49 Posted: 20 Apr 1999
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 52 (325,911)
Citation 66

Abstract:

21.

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

Downloads 814 ( 23,246)
Citation 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 808 (23,117)
Citation 3

Abstract:

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

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

NBER Working Paper No. w20000
Number of pages: 64 Posted: 24 Mar 2014
John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
Downloads 6 (537,835)
Citation 3

Abstract:

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

CEPR Discussion Paper No. DP9907
Number of pages: 66 Posted: 02 Jun 2014
John Y. Campbell and Tarun Ramadorai
Harvard University - Department of Economics and Imperial College London
Downloads 0
Citation 3

Abstract:

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

22.

Foreign Currency for Long-Term Investors

Downloads 757 ( 25,741)
Citation 8

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 675 (29,748)
Citation 8

Abstract:

Foreign Exchange Rates, Home Bias, Intertemporal Hedging Demand, Portfolio Choice, Uncovered Interest Parity

Foreign Currency for Long-Term Investors

NBER Working Paper No. w9075
Number of pages: 40 Posted: 20 Jul 2002
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 54 (320,072)
Citation 8

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 (414,924)
Citation 8

Abstract:

Home bias, portfolio choice, foreign exchange rates, intertemporal hedging demand, uncovered interest parity

23.

An Intertemporal CAPM with Stochastic Volatility

Downloads 717 ( 27,834)
Citation 16

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 706 (27,961)
Citation 16

Abstract:

ICAPM, time-varying expected returns, stochastic volatility, value premium

An Intertemporal CAPM with Stochastic Volatility

NBER Working Paper No. w18411
Number of pages: 61 Posted: 22 Sep 2012
John Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 11 (511,164)
Citation 16

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 0
Citation 16

Abstract:

ICAPM, stochastic volatility, time-varying expected returns, value premium

24.

Fight or Flight? Portfolio Rebalancing by Individual Investors

Downloads 673 ( 30,362)
Citation 64

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 637 (32,181)
Citation 64

Abstract:

Asset allocation, disposition effect, diversification, participation, portfolio rebalancing

Fight or Flight? Portfolio Rebalancing by Individual Investors

NBER Working Paper No. w14177
Number of pages: 46 Posted: 21 Jul 2008
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 36 (380,093)
Citation 64

Abstract:

25.

How do House Prices Affect Consumption? Evidence from Micro Data

Downloads 625 ( 33,554)
Citation 76

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 536 (40,514)
Citation 76

Abstract:

How Do House Prices Affect Consumption? Evidence from Micro Data

NBER Working Paper No. w11534
Number of pages: 76 Posted: 19 Sep 2005
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
Downloads 89 (241,073)
Citation 76

Abstract:

26.

Household Risk Management and Optimal Mortgage Choice

Downloads 612 ( 34,496)
Citation 93

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 543 (39,841)
Citation 93

Abstract:

Household Risk Management and Optimal Mortgage Choice

NBER Working Paper No. w9759
Number of pages: 62 Posted: 08 Jun 2003
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
Downloads 69 (281,552)
Citation 93

Abstract:

27.

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 Tarun Ramadorai
Harvard University - Department of Economics, Arrowstreet Capital, LP and Imperial College London
Downloads 590 (34,070)
Citation 7

Abstract:

institutions, individuals, trading behavior, execution

28.

Hard Times

Downloads 558 ( 39,030)
Citation 12

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 344 (70,062)
Citation 12

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 172 (144,216)
Citation 12

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 42 (358,072)
Citation 12

Abstract:

29.

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

NBER Working Paper No. w8221
Number of pages: 43 Posted: 08 Apr 2001
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 551 (29,435)
Citation 160

Abstract:

30.

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, Tuck School of Business at Dartmouth, University of Chicago, Booth School of Business, Columbia Business School - Finance and Economics, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Tuck School of Business at Dartmouth, Bank for International Settlements and Ohio State University (OSU) - Department of Finance
Downloads 495 (37,837)

Abstract:

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

31.

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 493 (32,620)

Abstract:

Market efficiency, Generalized Method of Moments, behavioral finance

32.

International Experiences with Securities Transaction Taxes

NBER Working Paper No. w4587
Number of pages: 42 Posted: 27 Dec 2002
John Y. Campbell and Kenneth Froot
Harvard University - Department of Economics and National Bureau of Economic Research (NBER)
Downloads 434 (53,490)
Citation 14

Abstract:

33.

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

Downloads 394 ( 60,218)
Citation 51

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 391 (60,175)
Citation 51

Abstract:

institutions, trading, liquidity, earnings announcements, post-earnings-announcement-drift.

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

CEPR Discussion Paper No. DP6390
Number of pages: 67 Posted: 29 May 2008
John Y. Campbell, Tarun Ramadorai and Allie Schwartz
Harvard University - Department of Economics, Imperial College London and Harvard University
Downloads 3 (553,302)
Citation 51

Abstract:

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

34.

Restoring Rational Choice: The Challenge of Consumer Financial Regulation

Downloads 378 ( 63,257)

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 302 (81,249)

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 60 (303,435)

Abstract:

financial literacy, wealth inequality, consumer protection

Restoring Rational Choice: The Challenge of Consumer Financial Regulation

NBER Working Paper No. w22025
Number of pages: 62 Posted: 01 Mar 2016
John Y. Campbell
Harvard University - Department of Economics
Downloads 16 (482,098)

Abstract:

35.

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

Downloads 367 ( 65,456)
Citation 1

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

Number of pages: 111 Posted: 09 Jul 2014 Last Revised: 17 May 2017
Steffen Andersen, John Y. Campbell, Kasper Meisner Nielsen and Tarun Ramadorai
Copenhagen Business School - Department of Finance, Harvard University - Department of Economics, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Imperial College London
Downloads 361 (66,121)
Citation 1

Abstract:

mortgages, refinancing, inertia, inattention, household finance, monetary policy, Denmark

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

NBER Working Paper No. w21386
Number of pages: 65 Posted: 27 Jul 2015
Steffen Andersen, John Y. Campbell, Kasper Meisner Nielsen and Tarun Ramadorai
Copenhagen Business School - Department of Finance, Harvard University - Department of Economics, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Imperial College London
Downloads 6 (537,835)
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 Tarun Ramadorai
Copenhagen Business School - Department of Finance, Harvard University - Department of Economics, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Imperial College London
Downloads 0
Citation 1

Abstract:

Denmark, household finance, inattention, inertia, mortgages, refinancing

36.

International Comparative Household Finance

Downloads 342 ( 71,360)

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 330 (73,865)

Abstract:

household finance, household balance sheet, pension finance, risky investments, mortgage debt, international comparisons

International Comparative Household Finance

NBER Working Paper No. w22066
Number of pages: 41 Posted: 07 Mar 2016
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London
Downloads 12 (505,420)

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:

37.

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 334 (73,092)
Citation 81

Abstract:

38.

Trading Volume and Serial Correlation in Stock Returns

NBER Working Paper No. w4193
Number of pages: 45 Posted: 30 Jan 2003
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 305 (71,556)
Citation 248

Abstract:

39.

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
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 301 (65,456)
Citation 673

Abstract:

40.

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

Downloads 282 ( 88,389)
Citation 110

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 227 (110,505)
Citation 110

Abstract:

Asset allocation, diversification, familiarity, participation

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

NBER Working Paper No. w12030
Number of pages: 65 Posted: 11 Feb 2006
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 (317,076)
Citation 110

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:

41.

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

Downloads 266 ( 94,225)

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 262 (95,219)

Abstract:

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

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

NBER Working Paper No. w20408
Number of pages: 39 Posted: 25 Aug 2014
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London
Downloads 4 (547,824)

Abstract:

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

CEPR Discussion Paper No. DP10117
Number of pages: 36 Posted: 30 Sep 2014
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London
Downloads 0

Abstract:

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

42.

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 257 (94,593)
Citation 12

Abstract:

43.

The Impact of Regulation on Mortgage Risk: Evidence from India

Downloads 217 (116,030)
Citation 1

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 215 (116,713)
Citation 1

Abstract:

mortgage finance, regulation, regression discontinuity, delinquencies, India

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

CEPR Discussion Paper No. DP9136
Number of pages: 50 Posted: 28 Sep 2012
John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
Downloads 2 (560,977)
Citation 1

Abstract:

delinquencies, emerging markets, India, mortgage finance, regulation

44.

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 216 (96,078)
Citation 387

Abstract:

45.

Stock Returns and the Term Structure

NBER Working Paper No. w1626
Number of pages: 53 Posted: 04 Jul 2004
John Y. Campbell
Harvard University - Department of Economics
Downloads 200 (112,483)
Citation 420

Abstract:

46.

A Multivariate Model of Strategic Asset Allocation

Downloads 194 (129,193)
Citation 169

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 157 (156,347)
Citation 169

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 (376,270)
Citation 169

Abstract:

Intertemporal hedging demand, portfolio choice, predictability, strategic asset allocation

47.

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 190 (115,483)
Citation 345

Abstract:

48.

A Model of Mortgage Default

Downloads 171 (145,007)
Citation 10

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 136 (176,495)
Citation 9

Abstract:

Household finance, loan to value ratio, loan to income ratio, mortgage affordability

A Model of Mortgage Default

NBER Working Paper No. w17516
Number of pages: 64 Posted: 15 Oct 2011
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
Downloads 35 (384,143)
Citation 10

Abstract:

49.

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

NBER Working Paper No. w2924
Number of pages: 52 Posted: 25 Oct 2000
John Y. Campbell and N. Gregory Mankiw
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 166 (145,007)
Citation 218

Abstract:

50.

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 161 (138,521)
Citation 45

Abstract:

51.

The Term Structure of the Risk-Return Tradeoff

Downloads 148 (164,344)
Citation 65

The Term Structure of the Risk-Return Tradeoff

NBER Working Paper No. w11119
Number of pages: 54 Posted: 09 Mar 2005
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 116 (199,978)
Citation 65

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 (396,528)
Citation 65

Abstract:

Risk-return tradeoff, mean-variance analysis, long-horizon investing, vector autoregression

52.

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

NBER Working Paper No. w3760
Number of pages: 53 Posted: 05 Jul 2004
John Y. Campbell and John Ammer
Harvard University - Department of Economics and U.S. Federal Reserve Board of Governors
Downloads 145 (137,826)
Citation 303

Abstract:

53.

Asset Prices, Consumption, and the Business Cycle

NBER Working Paper No. w6485
Number of pages: 111 Posted: 16 Jul 2000
John Y. Campbell
Harvard University - Department of Economics
Downloads 141 (160,618)
Citation 129

Abstract:

54.

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

NBER Working Paper No. w3153
Number of pages: 42 Posted: 27 Apr 2000
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 139 (172,970)
Citation 281

Abstract:

55.

Dispersion and Volatility in Stock Returns: an Empirical Investigation

NBER Working Paper No. w7144
Number of pages: 42 Posted: 21 Sep 1998
Martin Lettau and John Y. Campbell
University of California - Haas School of Business and Harvard University - Department of Economics
Downloads 135 (162,443)
Citation 6

Abstract:

56.

Smart Money, Noise Trading and Stock Price Behavior

NBER Working Paper No. t0071
Number of pages: 79 Posted: 04 Jul 2004
John Y. Campbell and Albert S. Kyle
Harvard University - Department of Economics and University of Maryland
Downloads 134 (159,722)
Citation 75

Abstract:

57.

Elasticities of Substitution in Real Business Cycle Models with Home Production

Downloads 132 (180,264)
Citation 11

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 113 (203,912)
Citation 11

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
John Y. Campbell and Sydney C. Ludvigson
Harvard University - Department of Economics and New York University - Department of Economics
Downloads 19 (464,923)
Citation 11

Abstract:

58.

Household Finance

NBER Working Paper No. w12149
Number of pages: 72 Posted: 18 May 2006
John Y. Campbell
Harvard University - Department of Economics
Downloads 126 (160,618)
Citation 243

Abstract:

59.

Understanding Risk and Return

Downloads 124 (189,282)

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 124 (189,986)
Citation 335

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.

Permanent Income, Current Income, and Consumption

NBER Working Paper No. w2436
Number of pages: 45 Posted: 25 Jun 2004
John Y. Campbell and N. Gregory Mankiw
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 111 (194,152)
Citation 85

Abstract:

61.

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 105 (200,461)
Citation 66

Abstract:

62.

Estimating the Equity Premium

NBER Working Paper No. w13423
Number of pages: 28 Posted: 26 Sep 2007
John Y. Campbell
Harvard University - Department of Economics
Downloads 93 (227,720)
Citation 20

Abstract:

63.

Forced Sales and House Prices

NBER Working Paper No. w14866
Number of pages: 45 Posted: 13 Apr 2009
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 89 (214,134)
Citation 74

Abstract:

64.

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 86 (229,338)
Citation 168

Abstract:

65.

Interpreting Cointegrated Models

NBER Working Paper No. w2568
Number of pages: 33 Posted: 04 Feb 2001
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 86 (244,466)
Citation 12

Abstract:

66.

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

Downloads 86 (244,466)

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
John Y. Campbell and John H. Cochrane
Harvard University - Department of Economics and Hoover Institution
Downloads 86 (246,483)
Citation 829

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:

67.

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
David G. Barr and John Y. Campbell
Durham Business School and Harvard University - Department of Economics
Downloads 84 (232,635)
Citation 41

Abstract:

68.

Cointegration and Tests of Present Value Models

NBER Working Paper No. w1885
Number of pages: 39 Posted: 06 Apr 2004
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 79 (237,562)
Citation 270

Abstract:

69.

Measuring the Financial Sophistication of Households

NBER Working Paper No. w14699
Number of pages: 48 Posted: 17 Feb 2009
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 78 (239,241)
Citation 35

Abstract:

70.

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

NBER Working Paper No. w4329
Number of pages: 40 Posted: 27 Apr 2000
John Y. Campbell and Jianping Mei
Harvard University - Department of Economics and New York University (NYU) - Department of Finance
Downloads 78 (240,959)
Citation 45

Abstract:

71.

Consumption and Portfolio Decisions When Expected Returns are Time Varying

NBER Working Paper No. w5857
Number of pages: 74 Posted: 01 Aug 2000
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 70 (249,927)
Citation 205

Abstract:

72.

Caught on Tape: Institutional Order Flow and Stock Returns

NBER Working Paper No. w11439
Number of pages: 46 Posted: 12 Jul 2005
John Y. Campbell, Tuomo Vuolteenaho and Tarun Ramadorai
Harvard University - Department of Economics, Arrowstreet Capital, LP and Imperial College London
Downloads 55 (304,579)
Citation 12

Abstract:

73.

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
John Y. Campbell and Yasushi Hamao
Harvard University - Department of Economics and Center on Japanese Economy and Business
Downloads 54 (307,238)
Citation 93

Abstract:

74.

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 49 (312,543)
Citation 199

Abstract:

75.

A Scorecard for Indexed Government Debt

Downloads 45 (341,793)
Citation 37

A Scorecard for Indexed Government Debt

NBER Working Paper No. w5587
Number of pages: 65 Posted: 03 Aug 1998
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 45 (347,904)
Citation 37

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:

76.

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
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 43 (320,928)
Citation 9

Abstract:

77.

Consumption and the Stock Market: Interpreting International Experience

NBER Working Paper No. w5610
Number of pages: 65 Posted: 01 Aug 2000
John Y. Campbell
Harvard University - Department of Economics
Downloads 41 (338,622)
Citation 13

Abstract:

78.

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 38 (338,622)
Citation 20

Abstract:

79.

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 36 (335,662)
Citation 91

Abstract:

80.

Bond and Stock Returns in a Simple Exchange Model

NBER Working Paper No. w1509
Number of pages: 28 Posted: 04 Apr 2004
John Y. Campbell
Harvard University - Department of Economics
Downloads 36 (371,883)
Citation 47

Abstract:

81.

Are Output Fluctuations Transitory?

NBER Working Paper No. w1916
Number of pages: 29 Posted: 04 Apr 2004
John Y. Campbell and N. Gregory Mankiw
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 32 (354,570)
Citation 61

Abstract:

82.

Explaining the Poor Performance of Consumption-Based Asset Pricing Models

NBER Working Paper No. w7237
Number of pages: 22 Posted: 26 Apr 2000
John Y. Campbell and John H. Cochrane
Harvard University - Department of Economics and Hoover Institution
Downloads 32 (354,570)
Citation 91

Abstract:

83.

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
John Y. Campbell and Ludger Hentschel
Harvard University - Department of Economics and Simon School, University of Rochester
Downloads 30 (338,622)
Citation 244

Abstract:

84.

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 30 (375,639)
Citation 31

Abstract:

85.

Measuring the Persistence of Expected Returns

NBER Working Paper No. w3305
Number of pages: 14 Posted: 03 Jul 2007
John Y. Campbell
Harvard University - Department of Economics
Downloads 30 (395,333)
Citation 10

Abstract:

86.

Intergenerational Risksharing and Equilibrium Asset Prices

NBER Working Paper No. w12204
Number of pages: 29 Posted: 25 May 2006
Yves Nosbusch and John Y. Campbell
London School of Economics & Political Science (LSE) and Harvard University - Department of Economics
Downloads 29 (387,180)
Citation 5

Abstract:

87.

A Defense of Traditional Hypotheses About the Term Structure of Interestrates

NBER Working Paper No. w1508
Number of pages: 35 Posted: 01 Feb 2001
John Y. Campbell
Harvard University - Department of Economics
Downloads 28 (379,445)
Citation 24

Abstract:

88.

Household Saving and Permanent Income in Canada and the United Kingdom

NBER Working Paper No. w2223
Number of pages: 32 Posted: 15 Jan 2007
John Y. Campbell and Richard Clarida
Harvard University - Department of Economics and Columbia University - Graduate School of Arts and Sciences - Department of Eco
Downloads 26 (413,356)
Citation 2

Abstract:

89.

The Fragile Benefits of Endowment Destruction

Number of pages: 11 Posted: 20 Mar 2015
John H. Cochrane and John Y. Campbell
Hoover Institution and Harvard University - Department of Economics
Downloads 25 (323,866)

Abstract:

Habits

90.

Why Long Horizons: A Study of Power Against Persistent Alternatives

NBER Working Paper No. t0142
Number of pages: 45 Posted: 10 Jun 2000
John Y. Campbell
Harvard University - Department of Economics
Downloads 25 (399,740)
Citation 29

Abstract:

91.

The Term Structure of Euromarket Interest Rates: an Empirical Investigation

NBER Working Paper No. w1946
Number of pages: 35 Posted: 11 Apr 2007
John Y. Campbell and Richard Clarida
Harvard University - Department of Economics and Columbia University - Graduate School of Arts and Sciences - Department of Eco
Downloads 19 (413,356)
Citation 5

Abstract:

92.

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 18 (438,579)
Citation 24

Abstract:

93.

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 12 (433,457)
Citation 58

Abstract:

94.

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 (495,397)
Citation 18

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 8 (474,949)
Citation 6

Abstract:

96.

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
Tuck School of Business at Dartmouth, 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, Tuck School of Business at Dartmouth, Harvard University - Department of Economics and Ohio State University (OSU) - Department of Finance
Downloads 7 (509,811)
Citation 19

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
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 3 (509,811)
Citation 1

Abstract:

98.

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
Downloads 0 (557,379)

Abstract:

Behavioral finance, financial innovation, market efficiency, stochastic discount factor

99.

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, Tuck School of Business at Dartmouth, University of Chicago, Booth School of Business, Columbia Business School - Finance and Economics, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Tuck School of Business at Dartmouth, Bank for International Settlements and Ohio State University (OSU) - Department of Finance
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Abstract:

100.

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:

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

101.

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:

G10, G11

102.

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:

Portfolio Management, Asset Allocation, Investment Theory, Portfolio Theory

103.

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)

Abstract:

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