Now showing items 1-20 of 90

    • Are Output Fluctuations Transitory? 

      Campbell, John; Mankiw, Gregory (MIT Press, 1987)
      According to the conventional view of the business cycle, fluctuations in output represent temporary deviations from trend. The purpose of this paper is to question this conventional view. If fluctuations in output are ...
    • Asset Pricing at the Millennium 

      Campbell, John (Blackwell Publishing, 2000)
      This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work and on the trade-off between risk and return. Modern research seeks to understand the behavior of the ...
    • Bad Beta, Good Beta 

      Campbell, John; Vuolteenaho, Tuomo (American Economic Association, 2004)
      This paper explains the size and value "anomalies" in stock returns using an economically motivated two-beta model. We break the beta of a stock with the market portfolio into two components, one reflecting news about the ...
    • Bond and Stock Returns in a Simple Exchange Model 

      Campbell, John (MIT Press, 1986)
      This paper studies asset pricing in a general equilibrium representative agent exchange model. The assumptions of isoelastic period utility and lognormal endowment allow the derivation of closed-form solutions for asset ...
    • By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior 

      Campbell, John; Cochrane, John H. (University of Chicago Press, 1999)
      We present a consumption‐based model that explains a wide variety of dynamic asset pricing phenomena, including the procyclical variation of stock prices, the long‐horizon predictability of excess stock returns, and the ...
    • Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements 

      Campbell, John; Ramadorai, Tarun; Schwartz, Allie (Elsevier, 2009)
      Many questions about institutional trading can only be answered if one tracks high-frequency changes in institutional ownership. In the United States, however, institutions are only required to report behavior from the ...
    • The Changing Role of Nominal Government Bonds in Asset Allocation 

      Campbell, John Y. (Palgrave Macmillan, 2009)
      The covariance between nominal bonds and stocks has varied considerably over recent decades and has even switched sign. It has been predominantly positive in periods such as the late 1970s and early 1980s when the economy ...
    • Cointegration and Tests of Present Value Models 

      Campbell, John; Shiller, Robert (University of Chicago Press, 1987)
      Application of some advances in econometrics (in the theory of co-integrated vector autoregressive models) enables us to deal effectively with two problems in rational expectations present value models: nonstationarity of ...
    • Consumer Financial Protection 

      Campbell, John Y.; Jackson, Howell Edmunds; Madrian, Brigitte C.; Tufano, Peter (American Economic Association, 2011)
      The recent financial crisis has led many to question how well businesses deliver services and how well regulatory institutions address problems in consumer financial markets. This paper discusses consumer financial regulation, ...
    • Consumption and Portfolio Decisions When Expected Returns are Time Varying 

      Campbell, John; Viceira, Luis (MIT Press, 1999)
      This paper presents an approximate analytical solution to the optimal consumption and portfolio choice problem of an infinitely lived investor with Epstein-Zin-Weil utility who faces a constant riskless interest rate and ...
    • A Defense of Traditional Hypotheses about the Term Structure of Interest Rates 

      Campbell, John (Blackwell Publishing, 1986)
      Expectations theories of asset returns may be interpreted either as stating that risk premia are zero or that they are constant through time. Under the former interpretation, different versions of the expectations theory ...
    • The Dollar and Real Interest Rates 

      Campbell, John; Clarida, Richard (Elsevier Science B.V., 1987)
      In this paper, we investigate the link between the real foreign exchange value of the dollar and real interest rates since 1979. We argue that it is important to consider the possibility that real exchange rate movements ...
    • Down or Out: Assessing the Welfare Costs of Household Investment Mistakes. 

      Calvet, Laurent E.; Campbell, John; Sodini, Paolo (University of Chicago Press, 2007)
      This paper investigates the efficiency of household investment decisions using comprehensive disaggregated Swedish data. We consider two main sources of inefficiency: underdiversification (“down”) and nonparticipation in ...
    • Efficient tests of stock return predictability 

      Campbell, John; Yogo, Motohiro (Elsevier, 2006)
      Conventional tests of the predictability of stock returns could be invalid, that is reject the null too frequently, when the predictor variable is persistent and its innovations are highly correlated with returns. We develop ...
    • Elasticities of Substitution in Real Business Cycle Models with Home Production 

      Campbell, John; Ludvigson, Sydney (Blackwell Publishing, 2001)
      This paper constructs a simple model of home production that demonstrates the connection between the intertemporal elasticity of substitution in market consumption (IES) and the static elasticity of substitution between ...
    • Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller 

      Campbell, John Y. (2016-02-09)
      The Nobel Memorial Prize in Economic Sciences for 2013 was awarded to Eugene Fama, Lars Peter Hansen, and Robert Shiller for their contributions to the empirical study of asset pricing. Some observers have found it hard ...
    • Equity Volatility and Corporate Bond Yields 

      Campbell, John; Taksler, Glen (Blackwell Publishing, 2003)
      This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990s show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ...
    • Essays in Financial and Housing Economics 

      McQuade, Timothy (2014-06-24)
      This dissertation presents four essays. The first chapter builds a real-options, term structure model of the firm incorporating stochastic volatility and endogenous default to shed new light on the value premium, financial ...
    • Essays in Financial Economics 

      Kruger, Samuel Arthur (2014-06-06)
      This dissertation consists of three independent essays. Chapter 1, "The Effect of Mortgage Securitization on Foreclosure and Modification," assesses the impact of mortgage securitization on foreclosure and modification. ...
    • Essays in Financial Economics 

      Zhang, Fan (2014-06-06)
      This dissertation presents three essays. The first essay finds that the household risky ratio, the ratio of high risk assets over low risk assets directly owned by households, is a strong negative predictor of the equity ...