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

SCHOLARLY PAPERS

111

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Rank 477

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53,667

SSRN CITATIONS
Rank 7

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4,619

CROSSREF CITATIONS

13,547

Scholarly Papers (111)

1.
Downloads 4,610 ( 2,424)
Citation 170

Bad Beta, Good Beta

Number of pages: 58 Posted: 23 Oct 2002
John Y. Campbell and Tuomo Vuolteenaho
Harvard University - Department of Economics and Arrowstreet Capital, LP
Downloads 4,376 (2,626)
Citation 172

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Bad Beta, Good Beta

NBER Working Paper No. w9509
Number of pages: 58 Posted: 25 Feb 2003 Last Revised: 27 Jun 2021
John Y. Campbell and Tuomo Vuolteenaho
Harvard University - Department of Economics and Arrowstreet Capital, LP
Downloads 234 (164,394)
Citation 7

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2.

Consumption-Based Asset Pricing

Number of pages: 116 Posted: 29 Oct 2002
John Y. Campbell
Harvard University - Department of Economics
Downloads 2,854 (5,536)
Citation 100

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

Number of pages: 59 Posted: 25 Feb 2000
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management
Downloads 2,077 (9,074)

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

NBER Working Paper No. w7590
Number of pages: 59 Posted: 11 Jul 2000 Last Revised: 07 Oct 2021
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 177 (213,052)
Citation 83

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

Journal of Finance
Posted: 24 Aug 2000
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management

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4.
Downloads 2,079 ( 9,231)
Citation 363

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 1,797 (11,503)
Citation 30

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In Search of Distress Risk

NBER Working Paper No. w12362
Number of pages: 54 Posted: 20 Jul 2006 Last Revised: 13 Oct 2021
John Y. Campbell, Jens Hilscher and Jan Szilagyi
Harvard University - Department of Economics, University of California, Davis and Duquesne Capital Management LLC
Downloads 238 (161,732)
Citation 84

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In Search of Distress Risk

Bundesbank Series 1 Discussion Paper No. 2005,27
Number of pages: 60 Posted: 08 Jun 2016
John Y. Campbell, Jens Hilscher and Jan Szilagyi
Harvard University - Department of Economics, University of California, Davis and Duquesne Capital Management LLC
Downloads 44 (515,463)
Citation 5

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5.
Downloads 1,987 ( 9,961)
Citation 199

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 1,845 (11,017)
Citation 32

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

Efficient Tests of Stock Return Predictability

NBER Working Paper No. w10026
Number of pages: 57 Posted: 14 Oct 2003 Last Revised: 26 May 2021
John Y. Campbell and Motohiro Yogo
Harvard University - Department of Economics and Princeton University - Department of Economics
Downloads 142 (256,733)
Citation 36

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6.
Downloads 1,810 ( 11,587)
Citation 280

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 1,671 (12,914)

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Corporate bonds, equity volatility

Equity Volatility and Corporate Bond Yields

NBER Working Paper No. w8961
Number of pages: 47 Posted: 24 May 2002 Last Revised: 27 Oct 2010
John Y. Campbell and Glen B. Taksler
Harvard University - Department of Economics and affiliation not provided to SSRN
Downloads 139 (261,107)
Citation 37

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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
Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Dartmouth College - Tuck School of Business, University of Chicago, Booth School of Business, Columbia Business School - Finance and Economics, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS), Harvard University - Department of Economics and Ohio State University (OSU) - Department of Finance
Downloads 1,801 (11,681)
Citation 3

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8.

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

HKS Working Paper No. RWP10-40
Number of pages: 52 Posted: 27 Jul 2010 Last Revised: 16 Dec 2010
Harvard University - Department of Economics, Harvard Law School, Brigham Young University Marriott School of Business and University of Oxford - Said Business School
Downloads 1,732 (12,433)
Citation 25

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

9.
Downloads 1,683 ( 12,998)
Citation 70

Global Currency Hedging

Journal of Finance, Forthcoming
Number of pages: 115 Posted: 20 Mar 2007 Last Revised: 30 Mar 2014
Harvard University - Department of Economics, OC&C Strategy Consultants and Harvard Business School - Finance Unit
Downloads 1,146 (22,980)
Citation 4

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Foreign exchange, Siegel's paradox, risk management

Global Currency Hedging

Harvard Business School Finance Working Paper No. 09-089
Number of pages: 116 Posted: 29 Jan 2009
Harvard University - Department of Economics, OC&C Strategy Consultants and Harvard Business School - Finance Unit
Downloads 461 (78,224)
Citation 7

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Global Currency Hedging

NBER Working Paper No. w13088
Number of pages: 116 Posted: 27 Jun 2007 Last Revised: 07 Oct 2021
Harvard University - Department of Economics, OC&C Strategy Consultants and Harvard Business School - Finance Unit
Downloads 76 (393,974)
Citation 8

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10.
Downloads 1,372 ( 17,894)
Citation 29

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 956 (29,923)
Citation 24

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Understanding Inflation-Indexed Bond Markets

Cowles Foundation Discussion Paper No. 1696
Number of pages: 48 Posted: 27 May 2009
John Y. Campbell, Robert J. Shiller and Luis M. Viceira
Harvard University - Department of Economics, Yale University - Cowles Foundation and Harvard Business School - Finance Unit
Downloads 322 (118,241)
Citation 6

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Expectations hypothesis, Liquidity, Term premia, TIPS

Understanding Inflation-Indexed Bond Markets

NBER Working Paper No. w15014
Number of pages: 47 Posted: 01 Jun 2009 Last Revised: 12 Jul 2010
John Y. Campbell, Robert J. Shiller and Luis M. Viceira
Harvard University - Department of Economics, Yale University - Cowles Foundation and Harvard Business School - Finance Unit
Downloads 94 (345,495)

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11.
Downloads 1,253 ( 20,503)
Citation 38

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
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 1,228 (20,752)
Citation 38

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consumption-based habit formation; consumption Euler equation; time-varying risk premia; inflation dynamics; bond-stock correlation

Macroeconomic Drivers of Bond and Equity Risks

NBER Working Paper No. w20070
Number of pages: 56 Posted: 28 Apr 2014
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 25 (625,913)
Citation 1

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12.
Downloads 1,191 ( 22,096)
Citation 47

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 1,117 (23,882)
Citation 44

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Who Should Buy Long-Term Bonds?

NBER Working Paper No. w6801
Number of pages: 53 Posted: 10 Jun 2000 Last Revised: 02 Aug 2021
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 74 (400,073)

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13.

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

Center for Research in Security Prices (CRSP) Working Paper No. 412
Number of pages: 67 Posted: 26 Jun 1997
John Y. Campbell and John H. Cochrane
Harvard University - Department of Economics and Hoover Institution
Downloads 1,166 (22,800)
Citation 1

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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
Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit
Downloads 1,039 (26,545)
Citation 11

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Hedging Demand, Intertemporal Portfolio Choice, And Mean Reversion

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

Harvard Institute of Economic Research Paper No. 1899
Posted: 10 Apr 2002
Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit

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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 941 (30,598)
Citation 41

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Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

NBER Working Paper No. w11389
Number of pages: 49 Posted: 06 Jul 2005 Last Revised: 14 Feb 2021
John Y. Campbell, Christopher Polk and Tuomo Vuolteenaho
Harvard University - Department of Economics, London School of Economics and Arrowstreet Capital, LP
Downloads 92 (350,299)
Citation 16

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Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

The Review of Financial Studies, Vol. 23, Issue 1, pp. 305-344, 2009
Posted: 25 Jan 2010
John Y. Campbell, Christopher Polk and Tuomo Vuolteenaho
Harvard University - Department of Economics, London School of Economics and Arrowstreet Capital, LP

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G12, G14, N22

16.
Downloads 1,009 ( 28,140)
Citation 151

Asset Pricing at the Millennium

Number of pages: 76 Posted: 06 Sep 2000
John Y. Campbell
Harvard University - Department of Economics
Downloads 885 (33,317)
Citation 2

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Asset Pricing at the Millennium

NBER Working Paper No. w7589
Number of pages: 75 Posted: 09 Jul 2000 Last Revised: 27 Sep 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 124 (285,087)
Citation 22

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Asset Pricing at the Millennium

Posted: 01 Aug 2000
John Y. Campbell
Harvard University - Department of Economics

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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 911 (32,067)
Citation 2

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

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

NBER Working Paper No. w14701
Number of pages: 83 Posted: 17 Feb 2009 Last Revised: 03 Sep 2021
John Y. Campbell, Adi Sunderam and Luis M. Viceira
Harvard University - Department of Economics, Harvard University - Business School (HBS) and Harvard Business School - Finance Unit
Downloads 83 (373,797)
Citation 29

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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 810 (37,681)
Citation 59

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

NBER Working Paper No. w11468
Number of pages: 29 Posted: 09 Aug 2005 Last Revised: 03 May 2021
John Y. Campbell and Samuel Brodsky Thompson
Harvard University - Department of Economics and Arrowstreet Capital, L.P.
Downloads 125 (283,329)
Citation 3

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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 875 (33,859)
Citation 7

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

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

NBER Working Paper No. w20000
Number of pages: 64 Posted: 24 Mar 2014 Last Revised: 26 Aug 2021
John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
Downloads 25 (625,913)
Citation 1

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

CEPR Discussion Paper No. DP9907
Number of pages: 66 Posted: 02 Jun 2014
John Y. Campbell and Tarun Ramadorai
Harvard University - Department of Economics and Imperial College London
Downloads 1 (829,937)
Citation 1
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disposition effect, diversification, feedback, India, investing, learning, style-investing, turnover

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 900 (33,082)
Citation 1

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Market efficiency, Generalized Method of Moments, behavioral finance

21.
Downloads 891 ( 33,503)
Citation 36

Investing Retirement Wealth: A Life-Cycle Model

Harvard Institute of Economic Research Paper No. 1896
Number of pages: 50 Posted: 15 Aug 2000
Harvard University - Department of Economics, London Business School, London Business School and INSEAD - Finance
Downloads 809 (37,746)
Citation 36

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Investing Retirement Wealth: a Life-Cycle Model

NBER Working Paper No. w7029
Number of pages: 49 Posted: 20 Apr 1999 Last Revised: 17 Sep 2021
Harvard University - Department of Economics, London Business School, London Business School and INSEAD - Finance
Downloads 82 (376,612)

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Strategic Asset Allocation in a Continuous-Time VAR Model

Harvard Institute Reseach Working Paper No. 1973
Number of pages: 24 Posted: 24 Oct 2002
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 794 (38,748)
Citation 6

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Strategic Asset Allocation in a Continuous-Time VAR Model

NBER Working Paper No. w9547
Number of pages: 25 Posted: 08 Mar 2003 Last Revised: 04 Aug 2021
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 68 (419,375)

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Strategic Asset Allocation in a Continuous-Time VAR Model

Number of pages: 38 Posted: 12 Jan 2004
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 23 (640,809)
Citation 3
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23.

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

NBER Working Paper No. w8221
Number of pages: 43 Posted: 08 Apr 2001 Last Revised: 20 Jun 2021
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 851 (35,725)
Citation 32

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24.
Downloads 832 ( 36,813)
Citation 75

An Intertemporal CAPM with Stochastic Volatility

Number of pages: 72 Posted: 15 Mar 2012 Last Revised: 15 Sep 2016
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 809 (37,746)
Citation 3

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

An Intertemporal CAPM with Stochastic Volatility

NBER Working Paper No. w18411
Number of pages: 61 Posted: 22 Sep 2012 Last Revised: 23 Oct 2021
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 22 (648,418)

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An Intertemporal CAPM with Stochastic Volatility

CEPR Discussion Paper No. DP10681
Number of pages: 62 Posted: 29 Jun 2015
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Dodge & Cox Funds
Downloads 1 (829,937)
Citation 37
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ICAPM, stochastic volatility, time-varying expected returns, value premium

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
Copenhagen Business School - Department of Finance, Harvard University - Department of Economics, Copenhagen Business School - Department of Finance and Imperial College London
Downloads 802 (38,227)
Citation 37

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mortgages, refinancing, time-dependent inaction, state-dependent inaction, household finance, monetary policy, Denmark

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

NBER Working Paper No. w21386
Number of pages: 65 Posted: 27 Jul 2015 Last Revised: 09 Jun 2021
Copenhagen Business School - Department of Finance, Harvard University - Department of Economics, Copenhagen Business School - Department of Finance and Imperial College London
Downloads 27 (611,697)
Citation 18

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

CEPR Discussion Paper No. DP10683
Number of pages: 55 Posted: 08 Jul 2015
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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Denmark, household finance, inattention, inertia, mortgages, refinancing

26.
Downloads 806 ( 38,473)
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 712 (44,901)

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

Foreign Currency for Long-Term Investors

NBER Working Paper No. w9075
Number of pages: 40 Posted: 20 Jul 2002 Last Revised: 20 Oct 2021
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 66 (426,304)

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Foreign Currency for Long-Term Investors

Number of pages: 42 Posted: 04 Sep 2002
John Y. Campbell, Luis M. Viceira and Joshua S. White
Harvard University - Department of Economics, Harvard Business School - Finance Unit and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 28 (604,967)
Citation 9
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Home bias, portfolio choice, foreign exchange rates, intertemporal hedging demand, uncovered interest parity

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 674 (48,386)
Citation 95

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

Fight or Flight? Portfolio Rebalancing by Individual Investors

NBER Working Paper No. w14177
Number of pages: 46 Posted: 21 Jul 2008 Last Revised: 27 Sep 2021
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 70 (412,846)

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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
Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Dartmouth College - Tuck School of Business, University of Chicago, Booth School of Business, Columbia Business School - Finance and Economics, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS) and Ohio State University (OSU) - Department of Finance
Downloads 723 (44,592)
Citation 1

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

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 580 (58,775)
Citation 5

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How Do House Prices Affect Consumption? Evidence from Micro Data

NBER Working Paper No. w11534
Number of pages: 76 Posted: 19 Sep 2005 Last Revised: 09 Jul 2021
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
Downloads 124 (286,821)
Citation 57

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30.

Caught on Tape: Predicting Institutional Ownership with Order Flow

Number of pages: 50 Posted: 25 Mar 2004
John Y. Campbell, Tuomo Vuolteenaho and Tarun Ramadorai
Harvard University - Department of Economics, Arrowstreet Capital, LP and Imperial College London
Downloads 673 (49,143)
Citation 10

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institutions, individuals, trading behavior, execution

31.
Downloads 637 ( 52,803)
Citation 215

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 559 (61,577)
Citation 1

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Household Risk Management and Optimal Mortgage Choice

NBER Working Paper No. w9759
Number of pages: 62 Posted: 08 Jun 2003 Last Revised: 02 Sep 2021
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
Downloads 78 (387,996)
Citation 38

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32.
Downloads 609 ( 55,949)
Citation 21

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 365 (102,778)

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Hard Times

Chicago Booth Research Paper No. 12-46, Fama-Miller Working Paper
Number of pages: 50 Posted: 13 Sep 2012
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 190 (200,035)
Citation 15

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Hard Times

NBER Working Paper No. w16222
Number of pages: 33 Posted: 26 Jul 2010 Last Revised: 30 Apr 2021
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 54 (471,177)
Citation 5

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33.
Downloads 544 ( 64,404)
Citation 34

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 502 (70,508)
Citation 1

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

International Comparative Household Finance

NBER Working Paper No. w22066
Number of pages: 41 Posted: 07 Mar 2016 Last Revised: 18 Apr 2021
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London
Downloads 42 (525,090)
Citation 19

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International Comparative Household Finance

Annual Review of Economics, Vol. 8, pp. 111-144, 2016
Posted: 18 Nov 2016
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London

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34.

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

NBER Working Paper No. w2100
Number of pages: 40 Posted: 07 Jul 2004 Last Revised: 07 Oct 2021
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 534 (65,890)
Citation 201

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35.

International Experiences with Securities Transaction Taxes

NBER Working Paper No. w4587
Number of pages: 42 Posted: 27 Dec 2002 Last Revised: 21 Jul 2010
John Y. Campbell and Kenneth Froot
Harvard University - Department of Economics and National Bureau of Economic Research (NBER)
Downloads 508 (70,236)
Citation 2

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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 443 (82,039)
Citation 13

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

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

CEPR Discussion Paper No. DP6390
Number of pages: 67 Posted: 29 May 2008
John Y. Campbell, Tarun Ramadorai and Allie Schwartz
Harvard University - Department of Economics, Imperial College London and Harvard University
Downloads 3 (806,148)
Citation 21
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Earnings announcements, institutions, liquidity, post-earnings-announcement-drift, trading

Restoring Rational Choice: The Challenge of Consumer Financial Regulation

Sloan Foundation Economics Research Paper No. 2719330
Number of pages: 62 Posted: 22 Jan 2016 Last Revised: 07 Jun 2016
John Y. Campbell
Harvard University - Department of Economics
Downloads 337 (112,464)
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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 85 (368,408)
Citation 2

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financial literacy, wealth inequality, consumer protection

Restoring Rational Choice: The Challenge of Consumer Financial Regulation

NBER Working Paper No. w22025
Number of pages: 62 Posted: 01 Mar 2016 Last Revised: 06 Sep 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 20 (663,797)
Citation 57

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38.

Trading Volume and Serial Correlation in Stock Returns

NBER Working Paper No. w4193
Number of pages: 45 Posted: 30 Jan 2003 Last Revised: 23 May 2012
John Y. Campbell, Sanford J. Grossman and Jiang Wang
Harvard University - Department of Economics, University of Pennsylvania - Finance Department and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 427 (86,432)
Citation 39

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39.

Inflation Illusion and Stock Prices

NBER Working Paper No. w10263
Number of pages: 20 Posted: 19 Jul 2010 Last Revised: 28 Dec 2011
John Y. Campbell and Tuomo Vuolteenaho
Harvard University - Department of Economics and Arrowstreet Capital, LP
Downloads 414 (89,565)
Citation 14

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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 358 (105,030)
Citation 1

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

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

NBER Working Paper No. w20408
Number of pages: 39 Posted: 25 Aug 2014 Last Revised: 07 Oct 2021
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London
Downloads 12 (729,090)
Citation 1

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

CEPR Discussion Paper No. DP10117
Number of pages: 36 Posted: 30 Sep 2014
Cristian Badarinza, John Y. Campbell and Tarun Ramadorai
National University of Singapore (NUS), Harvard University - Department of Economics and Imperial College London
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Citation 10
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adjustable-rate, fixed-rate, household finance, interest rate, international, mortgage choice

41.

Stock Prices, Earnings and Expected Dividends

NBER Working Paper No. w2511
Number of pages: 42 Posted: 14 Jan 2001 Last Revised: 14 May 2021
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 356 (106,483)
Citation 85

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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 - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 268 (143,694)
Citation 12

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Asset allocation, diversification, familiarity, participation

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

NBER Working Paper No. w12030
Number of pages: 65 Posted: 11 Feb 2006 Last Revised: 08 Mar 2013
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 74 (400,073)
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 - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance

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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 301 (127,215)
Citation 3

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inequality, diversification, stock investment, India

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

NBER Working Paper No. w24898
Number of pages: 26 Posted: 22 Aug 2018 Last Revised: 14 Jul 2021
John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
Downloads 13 (720,543)

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

CEPR Discussion Paper No. DP13116
Number of pages: 29 Posted: 21 Aug 2018
John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
Downloads 1 (829,937)
Citation 11
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Diversification, equities, India, Wealth Inequality

44.

A Variance Decomposition for Stock Returns

NBER Working Paper No. w3246
Number of pages: 36 Posted: 11 Nov 2000
John Y. Campbell
Harvard University - Department of Economics
Downloads 315 (121,821)
Citation 53

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45.

Caught on Tape: Institutional Order Flow and Stock Returns

Harvard Institute of Economic Research Discussion Paper No. 2080
Number of pages: 47 Posted: 28 Jul 2005
John Y. Campbell, Tarun Ramadorai and Tuomo Vuolteenaho
Harvard University - Department of Economics, Imperial College London and Arrowstreet Capital, LP
Downloads 285 (135,420)
Citation 1

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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 266 (144,785)
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mortgage finance, regulation, regression discontinuity, delinquencies, India

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

CEPR Discussion Paper No. DP9136
Number of pages: 50 Posted: 28 Sep 2012
John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
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delinquencies, emerging markets, India, mortgage finance, regulation

47.
Downloads 267 (144,876)
Citation 5

Who Owns What? A Factor Model for Direct Stockholding

Number of pages: 81 Posted: 02 Mar 2021 Last Revised: 19 Jul 2021
Queen Mary University of London, Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
Downloads 267 (144,252)
Citation 5

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stockholding, factor models, coholdings, portfolio construction, diversification, retail investors

Who Owns What? A Factor Model for Direct Stockholding

CEPR Discussion Paper No. DP16378
Number of pages: 84 Posted: 22 Sep 2021
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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coholdings, Diversification, factor models, portfolio construction, Retail investors, Stockholding

48.
Downloads 255 (152,812)
Citation 13

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 253 (153,514)
Citation 12

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Household Finance, Mortgages

Structuring Mortgages for Macroeconomic Stability

NBER Working Paper No. w27676
Number of pages: 62 Posted: 17 Aug 2020 Last Revised: 14 Feb 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 2 (816,763)
Citation 7
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49.

Stock Returns and the Term Structure

NBER Working Paper No. w1626
Number of pages: 53 Posted: 04 Jul 2004 Last Revised: 13 Jun 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 252 (153,419)
Citation 51

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50.

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: 11 Oct 2021
John Y. Campbell and John Ammer
Harvard University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 248 (155,903)
Citation 42

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51.
Downloads 220 (174,918)
Citation 49

The Term Structure of the Risk-Return Tradeoff

NBER Working Paper No. w11119
Number of pages: 54 Posted: 09 Mar 2005 Last Revised: 10 Aug 2009
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 188 (201,997)
Citation 1

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The Term Structure of the Risk-Return Tradeoff

Number of pages: 55 Posted: 14 Jun 2005
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 32 (579,546)
Citation 3
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Risk-return tradeoff, mean-variance analysis, long-horizon investing, vector autoregression

52.
Downloads 218 (176,464)
Citation 179

A Multivariate Model of Strategic Asset Allocation

NBER Working Paper No. w8566
Number of pages: 79 Posted: 25 Oct 2001 Last Revised: 30 May 2021
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 181 (208,903)
Citation 2

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A Multivariate Model of Strategic Asset Allocation

Number of pages: 81 Posted: 06 Dec 2001
John Y. Campbell, Yeung Lewis Chan and Luis M. Viceira
Harvard University - Department of Economics, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Harvard Business School - Finance Unit
Downloads 37 (550,879)
Citation 14
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Intertemporal hedging demand, portfolio choice, predictability, strategic asset allocation

53.
Downloads 214 (179,533)
Citation 106

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 164 (227,538)
Citation 31

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

A Model of Mortgage Default

NBER Working Paper No. w17516
Number of pages: 64 Posted: 15 Oct 2011 Last Revised: 13 May 2021
John Y. Campbell and Joao F. Cocco
Harvard University - Department of Economics and London Business School
Downloads 50 (488,002)
Citation 17

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54.

Household Finance

NBER Working Paper No. w12149
Number of pages: 72 Posted: 18 May 2006 Last Revised: 14 Mar 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 214 (179,533)
Citation 121

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55.

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

NBER Working Paper No. w2924
Number of pages: 52 Posted: 25 Oct 2000 Last Revised: 30 Jun 2021
John Y. Campbell and N. Gregory Mankiw
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 208 (184,303)
Citation 44

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56.

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

NBER Working Paper No. w3153
Number of pages: 42 Posted: 27 Apr 2000 Last Revised: 15 Aug 2021
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 202 (189,405)
Citation 64

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57.

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: 30 May 2021
Jason Beeler and John Y. Campbell
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 193 (197,342)
Citation 44

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58.

Smart Money, Noise Trading and Stock Price Behavior

NBER Working Paper No. t0071
Number of pages: 79 Posted: 04 Jul 2004 Last Revised: 14 Mar 2021
John Y. Campbell and Albert S. Kyle
Harvard University - Department of Economics and University of Maryland
Downloads 192 (198,259)
Citation 16

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59.
Downloads 178 (211,999)

Understanding Risk and Return

NBER Working Paper No. w4554
Number of pages: 53 Posted: 14 Aug 2007 Last Revised: 13 Jun 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 178 (212,022)
Citation 12

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Understanding Risk and Return

J. OF POLITICAL ECONOMY, Vol. 104 No. 2, April 1996
Posted: 19 Jun 1998
John Y. Campbell
Harvard University - Department of Economics

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60.

Asset Prices, Consumption, and the Business Cycle

NBER Working Paper No. w6485
Number of pages: 111 Posted: 16 Jul 2000 Last Revised: 22 Sep 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 176 (214,022)
Citation 5

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61.

Dispersion and Volatility in Stock Returns: an Empirical Investigation

NBER Working Paper No. w7144
Number of pages: 42 Posted: 21 Sep 1998 Last Revised: 12 Oct 2010
Martin Lettau and John Y. Campbell
University of California - Haas School of Business and Harvard University - Department of Economics
Downloads 171 (219,489)

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Elasticities of Substitution in Real Business Cycle Models with Home Production

Number of pages: 44 Posted: 04 Feb 1999
John Y. Campbell and Sydney C. Ludvigson
Harvard University - Department of Economics and New York University - Department of Economics
Downloads 121 (290,344)
Citation 7

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Elasticities of Substitution in Real Business Cycle Models with Home Production

NBER Working Paper No. w6763
Number of pages: 57 Posted: 26 Aug 2000 Last Revised: 26 Jun 2021
John Y. Campbell and Sydney C. Ludvigson
Harvard University - Department of Economics and New York University - Department of Economics
Downloads 23 (640,809)

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63.

Permanent Income, Current Income, and Consumption

NBER Working Paper No. w2436
Number of pages: 45 Posted: 25 Jun 2004 Last Revised: 28 Feb 2021
John Y. Campbell and N. Gregory Mankiw
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 142 (255,938)
Citation 9

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

NBER Working Paper No. w4995
Number of pages: 57 Posted: 24 Jul 2000 Last Revised: 27 Aug 2021
John Y. Campbell and John H. Cochrane
Harvard University - Department of Economics and Hoover Institution
Downloads 141 (258,157)
Citation 67

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

Journal of Political Economy, Vol. 107, No. 2, April 1999
Posted: 15 Mar 1999
John Y. Campbell and John H. Cochrane
Harvard University - Department of Economics and Hoover Institution

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65.

Forced Sales and House Prices

NBER Working Paper No. w14866
Number of pages: 45 Posted: 13 Apr 2009 Last Revised: 14 Feb 2021
John Y. Campbell, Stefano Giglio and Parag A. Pathak
Harvard University - Department of Economics, Yale School of Management and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 132 (270,812)
Citation 57

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66.

Some Lessons from the Yield Curve

NBER Working Paper No. w5031
Number of pages: 35 Posted: 10 Jul 2000 Last Revised: 07 Oct 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 129 (275,547)
Citation 3

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67.

Measuring the Financial Sophistication of Households

NBER Working Paper No. w14699
Number of pages: 48 Posted: 17 Feb 2009 Last Revised: 01 Sep 2021
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 126 (280,437)
Citation 36

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68.

Consumption and Portfolio Decisions When Expected Returns are Time Varying

NBER Working Paper No. w5857
Number of pages: 74 Posted: 01 Aug 2000 Last Revised: 04 Oct 2010
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit
Downloads 121 (289,014)
Citation 45

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69.

Interpreting Cointegrated Models

NBER Working Paper No. w2568
Number of pages: 33 Posted: 04 Feb 2001 Last Revised: 12 Jul 2010
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 117 (295,927)
Citation 1

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70.

Estimating the Equity Premium

NBER Working Paper No. w13423
Number of pages: 28 Posted: 26 Sep 2007 Last Revised: 07 Mar 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 115 (299,554)
Citation 2

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71.

Cointegration and Tests of Present Value Models

NBER Working Paper No. w1885
Number of pages: 39 Posted: 06 Apr 2004 Last Revised: 28 Aug 2021
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 109 (311,035)
Citation 33

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72.

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

NBER Working Paper No. w4329
Number of pages: 40 Posted: 27 Apr 2000 Last Revised: 02 May 2021
John Y. Campbell and Jianping Mei
Harvard University - Department of Economics and New York University (NYU) - Department of Finance
Downloads 109 (311,035)
Citation 2

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73.

Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots

NBER Working Paper No. t0100
Number of pages: 69 Posted: 25 Jun 2004 Last Revised: 11 Oct 2021
John Y. Campbell and Pierre Perron
Harvard University - Department of Economics and Boston University - Department of Economics
Downloads 106 (317,050)
Citation 1

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74.

Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices

NBER Working Paper No. w5821
Number of pages: 36 Posted: 13 Sep 2000 Last Revised: 30 May 2021
David G. Barr and John Y. Campbell
Durham Business School and Harvard University - Department of Economics
Downloads 105 (319,143)
Citation 6

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75.

No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns

NBER Working Paper No. w3742
Number of pages: 50 Posted: 16 Jul 2007 Last Revised: 24 Sep 2021
John Y. Campbell and Ludger Hentschel
Harvard University - Department of Economics and Alternative Risk Premia Investments
Downloads 102 (325,327)
Citation 6

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76.
Downloads 92 (347,490)

Sustainability in a Risky World

Number of pages: 28 Posted: 30 Mar 2021
John Y. Campbell and Ian Martin
Harvard University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 88 (360,449)

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Sustainability, social discounting, consumption-wealth ratio, rate of time preference

Sustainability in a Risky World

NBER Working Paper No. w28899
Number of pages: 29 Posted: 07 Jun 2021 Last Revised: 20 Jul 2021
John Y. Campbell and Ian Martin
Harvard University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance
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Sustainability in a Risky World

CEPR Discussion Paper No. DP16219
Number of pages: 31 Posted: 14 Jul 2021
John Y. Campbell and Ian Martin
Harvard University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance
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Portfolio Choice with Sustainable Spending: A Model of Reaching for Yield

Number of pages: 53 Posted: 19 Mar 2020 Last Revised: 23 Dec 2020
John Y. Campbell and Roman Sigalov
Harvard University - Department of Economics and Harvard University, Department of Economics
Downloads 83 (373,797)

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Reaching for yield, endowments, sustainable spending, portfolio choice

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

NBER Working Paper No. w27025
Number of pages: 54 Posted: 20 Apr 2020 Last Revised: 06 May 2021
John Y. Campbell and Roman Sigalov
Harvard University - Department of Economics and Harvard University, Department of Economics
Downloads 3 (806,148)
Citation 9
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78.

Intertemporal Asset Pricing Without Consumption Data

NBER Working Paper No. w3989
Number of pages: 47 Posted: 29 Jul 2000 Last Revised: 28 May 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 86 (362,397)
Citation 43

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79.
Downloads 80 (378,513)
Citation 2

The Cross-Section of Household Preferences

Swedish House of Finance Research Paper No. 21-11
Number of pages: 116 Posted: 05 May 2021 Last Revised: 23 Jun 2021
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics, London Business School and Stockholm School of Economics - Department of Finance
Downloads 72 (406,375)
Citation 1

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Life-cycle model, elasticity of intertemporal substitution, risk aversion, time preference rate, Epstein-Zin preferences, indirect inference

The Cross-Section of Household Preferences

NBER Working Paper No. w28788
Number of pages: 76 Posted: 17 May 2021 Last Revised: 22 Oct 2021
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics, London Business School and Stockholm School of Economics - Department of Finance
Downloads 7 (771,792)
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The Cross-Section of Household Preferences

CEPR Discussion Paper No. DP16105
Number of pages: 120 Posted: 14 May 2021
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics, London Business School and Stockholm School of Economics - Department of Finance
Downloads 1 (829,937)
Citation 1
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80.

Caught on Tape: Institutional Order Flow and Stock Returns

NBER Working Paper No. w11439
Number of pages: 46 Posted: 12 Jul 2005 Last Revised: 07 Oct 2021
John Y. Campbell, Tuomo Vuolteenaho and Tarun Ramadorai
Harvard University - Department of Economics, Arrowstreet Capital, LP and Imperial College London
Downloads 73 (398,695)

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81.

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

NBER Working Paper No. t0067
Number of pages: 15 Posted: 27 Jun 2007 Last Revised: 09 Sep 2021
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 69 (411,080)
Citation 1

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82.

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

NBER Working Paper No. w1805
Number of pages: 42 Posted: 12 Apr 2004 Last Revised: 09 Jun 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 69 (411,080)
Citation 13

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83.

Predictable Stock Returns in the United States and Japan: a Study of Long-Term Capital Market Integration

NBER Working Paper No. w3191
Number of pages: 52 Posted: 31 May 2001 Last Revised: 22 Sep 2021
John Y. Campbell, Yasushi Hamao and Yasushi Hamao
Harvard University - Department of Economics and University of Southern California - Marshall School of Business - Finance and Business Economics DepartmentCenter on Japanese Economy and Business
Downloads 69 (411,080)
Citation 8

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84.

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 67 (417,518)
Citation 2

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Habits

A Scorecard for Indexed Government Debt

NBER Working Paper No. w5587
Number of pages: 65 Posted: 03 Aug 1998 Last Revised: 09 Oct 2021
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 56 (463,309)

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A Scorecard for Indexed Government Debt

NBER MACROECONOMICS ANNUAL, Vol 12
Posted: 01 Oct 1996
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation

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86.

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

NBER Working Paper No. w1203
Number of pages: 31 Posted: 09 Mar 2004 Last Revised: 17 Oct 2021
John Y. Campbell and Robert J. Shiller
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 55 (459,957)
Citation 1

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87.

Explaining the Poor Performance of Consumption-Based Asset Pricing Models

NBER Working Paper No. w7237
Number of pages: 22 Posted: 26 Apr 2000 Last Revised: 11 Oct 2021
John Y. Campbell and John H. Cochrane
Harvard University - Department of Economics and Hoover Institution
Downloads 55 (459,957)
Citation 1

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88.

Are Output Fluctuations Transitory?

NBER Working Paper No. w1916
Number of pages: 29 Posted: 04 Apr 2004 Last Revised: 27 Sep 2021
John Y. Campbell and N. Gregory Mankiw
Harvard University - Department of Economics and Harvard University - Department of Economics
Downloads 53 (467,601)
Citation 9

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89.

Consumption and the Stock Market: Interpreting International Experience

NBER Working Paper No. w5610
Number of pages: 65 Posted: 01 Aug 2000 Last Revised: 02 May 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 52 (471,552)

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90.

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 48 (487,883)
Citation 2

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91.

Bond and Stock Returns in a Simple Exchange Model

NBER Working Paper No. w1509
Number of pages: 28 Posted: 04 Apr 2004 Last Revised: 18 Aug 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 42 (514,643)
Citation 8

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92.

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

NBER Working Paper No. w4188
Number of pages: 51 Posted: 13 Dec 2010 Last Revised: 13 Jun 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 41 (519,323)
Citation 1

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93.

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 41 (519,323)
Citation 1

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94.

A Defense of Traditional Hypotheses About the Term Structure of Interestrates

NBER Working Paper No. w1508
Number of pages: 35 Posted: 01 Feb 2001 Last Revised: 16 Aug 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 40 (524,043)

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95.

Measuring the Persistence of Expected Returns

NBER Working Paper No. w3305
Number of pages: 14 Posted: 03 Jul 2007 Last Revised: 15 Jul 2010
John Y. Campbell
Harvard University - Department of Economics
Downloads 39 (528,888)
Citation 1

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96.

Intergenerational Risksharing and Equilibrium Asset Prices

NBER Working Paper No. w12204
Number of pages: 29 Posted: 25 May 2006 Last Revised: 08 May 2021
Yves Nosbusch and John Y. Campbell
London School of Economics & Political Science (LSE) and Harvard University - Department of Economics
Downloads 39 (528,888)
Citation 5

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97.

Household Saving and Permanent Income in Canada and the United Kingdom

NBER Working Paper No. w2223
Number of pages: 32 Posted: 15 Jan 2007 Last Revised: 31 Jul 2021
John Y. Campbell and Richard Clarida
Harvard University - Department of Economics and Columbia University - Graduate School of Arts and Sciences - Department of Eco
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98.

The Term Structure of Euromarket Interest Rates: an Empirical Investigation

NBER Working Paper No. w1946
Number of pages: 35 Posted: 11 Apr 2007 Last Revised: 28 Apr 2021
John Y. Campbell and Richard Clarida
Harvard University - Department of Economics and Columbia University - Graduate School of Arts and Sciences - Department of Eco
Downloads 30 (576,696)
Citation 2

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99.

Mortgage Market Design

NBER Working Paper No. w18339
Number of pages: 35 Posted: 25 Aug 2012 Last Revised: 12 Aug 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 29 (582,634)
Citation 30

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100.

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

NBER Working Paper No. w1806
Number of pages: 22 Posted: 19 Jun 2004 Last Revised: 10 Jun 2021
John Y. Campbell
Harvard University - Department of Economics
Downloads 27 (594,963)
Citation 3

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101.

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

NBER Working Paper No. w18394
Number of pages: 31 Posted: 15 Sep 2012 Last Revised: 06 Oct 2021
John Y. Campbell, Tarun Ramadorai and Benjamin Ranish
Harvard University - Department of Economics, Imperial College London and Board of Governors of the Federal Reserve System
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102.

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 (717,945)
Citation 1
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103.

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
Dartmouth College - Tuck School of Business, Institute for International Economics, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, University of Chicago, Booth School of Business, Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Bank for International Settlements (BIS), Dartmouth College - Tuck School of Business, Harvard University - Department of Economics and Ohio State University (OSU) - Department of Finance
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Citation 4
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104.

Who Owns What? A Factor Model for Direct Stock Holding

NBER Working Paper No. w29065
Number of pages: 52 Posted: 26 Jul 2021 Last Revised: 31 Jul 2021
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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105.

Viewpoint: Estimating the Equity Premium - Evaluer La Prime Des Actions Par Rapport Aux Obligations

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 41, Issue 1, pp. 1-21, 2008
Number of pages: 21 Posted: 05 May 2020
John Y. Campbell
Harvard University - Department of Economics
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Citation 8
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106.

Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller

The Scandinavian Journal of Economics, Vol. 116, Issue 3, pp. 593-634, 2014
Number of pages: 42 Posted: 13 Jun 2014
John Y. Campbell
Harvard University - Department of Economics
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Citation 6
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Behavioral finance, financial innovation, market efficiency, stochastic discount factor

107.

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
Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Dartmouth College - Tuck School of Business, University of Chicago, Booth School of Business, Columbia Business School - Finance and Economics, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS) and Ohio State University (OSU) - Department of Finance
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Citation 1
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108.

Predicting Financial Distress and the Performance of Distressed Stocks

Journal of Investment Management (JOIM), Second Quarter 2011
Posted: 03 May 2011
John Y. Campbell, Jens Hilscher and Jan Szilagyi
Harvard University - Department of Economics, University of California, Davis and affiliation not provided to SSRN

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

109.

Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1509-1531, 2008
Posted: 08 Aug 2008
John Y. Campbell and Samuel Brodsky Thompson
Harvard University - Department of Economics and Arrowstreet Capital, L.P.

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G10, G11

110.

The Term Structure of the Risk-Return Trade-Off

Financial Analysts Journal, Vol. 61, No. 1, pp. 34-44, January/February 2005
Posted: 05 Feb 2005
John Y. Campbell and Luis M. Viceira
Harvard University - Department of Economics and Harvard Business School - Finance Unit

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Portfolio Management, Asset Allocation, Investment Theory, Portfolio Theory

111.

International Experiences with Transactions Taxes

Posted: 02 Sep 1999
John Y. Campbell and Kenneth Froot
Harvard University - Department of Economics and National Bureau of Economic Research (NBER)

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