Browsing by Author "Campbell, John"

Now showing items 21-40 of 92

    • Essays in International Finance 

      Du, Wenxin (2014-06-24)
      This dissertation consists of three essays in international finance. The first two essays study emerging market sovereign risk with a focus on local currency denominated sovereign bonds. The third essay examines econometric ...

    • Essays on Asset Pricing and Econometrics 

      Jin, Tao (2014-06-06)
      This dissertation presents three essays on asset pricing and econometrics. The first chapter identifies rare events and long-run risks simultaneously from a rich data set (the Barro-Ursua macroeconomic data set) and evaluates ...

    • Essays on Normative Macro-Finance 

      Davila-Ramirez, Eduardo (2014-06-06)
      This dissertation consists of four essays that study normative questions on issues related to financial markets and the macroeconomy.

    • Essays on Stock Investing and Investor Behavior 

      Ranish, Benjamin Michael (2013-09-30)
      Chapter one shows that US households with high unconditional and cyclical labor income risk are more leveraged and allocate a greater share of their financial assets to stocks. I use self-reported risk preferences to show ...

    • Essays on the Economics of Risk and Financial Markets 

      Turley, Robert Staffan (2013-09-23)
      Prices in financial markets are primarily driven by the interaction of risk and time. The returns to financial assets over long time horizons are primarily driven by fundamental news regarding their promised cash flows. ...

    • Essays on Time-Varying Discount Rates 

      Dew-Becker, Ian (2012-07-27)

    • Estimating the Equity Premium 

      Campbell, John (Blackwell Publishing, 2008)
      Finance theory restricts the time-series behaviour of valuation ratios and links the cross-section of stock prices to the level of the equity premium. This can be used to strengthen the evidence for predictability in stock ...

    • Explaining the Poor Performance of Consumption-Based Asset Pricing Models 

      Campbell, John; Cochrane, John (Blackwell Publishing, 2000)
      We show that the external habit-formation model economy of Campbell and Cochrane (1999) can explain why the Capital Asset Pricing Model (CAPM) and its extensions are betterapproximate asset pricing models than is the ...

    • Fight or Flight? Portfolio Rebalancing by Individual Investors 

      Calvert, Lauren E.; Campbell, John; Sodini, Paolo (MIT Press, 2009)
      This paper investigates the dynamics of individual portfolios in a unique dataset containing the disaggregated wealth of all households in Sweden. Between 1999 and 2002, we observe little aggregate rebalancing in the ...

    • Forced Sales and House Prices 

      Campbell, John Y.; Giglio, Stefano; Pathak, Parag (American Economic Association, 2011)
      This paper uses data on all house transactions in Massachusetts over the last 20 years to show that houses sold after foreclosure, or close in time to the death or bankruptcy of a seller, are sold at lower prices than other ...

    • Foreign Currency for Long-Term Investors 

      Campbell, John; Viceira, Luis; White, Joshua (Blackwell Publishing, 2003)
      Conventional wisdom holds that conservative investors should avoid exposure to foreign currency risk. Even if they hold foreign equities, they should hedge the currency exposure of these positions and hold only domestic ...

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

      Campbell, John Y.; Ramadorai, Tarun; Ranish, Benjamin (National Bureau of Economic Research, 2014)
      Using a large representative sample of Indian retail equity investors, many of them new to the stock market, we show that both years of investment experience and feedback from investment returns have significant effects ...

    • Global Currency Hedging 

      Campbell, John; Serfaty-de Medeiros, Karine; Viceira, Luis (Blackwell Publishing, 2009)
      Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have moved against world equity markets. Thus these ...

    • Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns 

      Campbell, John Y.; Polk, Christopher; Vuolteenaho, Tuomo (Oxford University Press, 2010)
      The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices, driven by shocks to market discount rates, while the cash flows of value stocks are particularly sensitive to ...

    • Hard Times 

      Campbell, John Y.; Giglio, Stefano; Polk, Christopher (Oxford University Press (OUP), 2013)
      We show that the stock market downturns of 2000–2002 and 2007–2009 have very different proximate causes. The early 2000s saw a large increase in the discount rates applied to profits by rational investors, while the late ...

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

      Campbell, John; Lettau, Martin; Malkiel, Burton; Xu, Yexiao (Blackwell Publishing, 2001)
      This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm-level volatility ...

    • Household Finance 

      Campbell, John (Blackwell Publishing, 2006)
      The study of household finance is challenging because household behavior is difficult to measure, and households face constraints not captured by textbook models. Evidence on participation, diversification, and mortgage ...

    • Household Risk Management and Optimal Mortgage Choice 

      Campbell, John; Cocco, Joao (MIT Press, 2003)
      This paper asks how a household should choose between a fixed-rate (FRM) and an adjustable-rate (ARM) mortgage. In an environment with uncertain inflation a nominal FRM has a risky real capital value, whereas an ARM has a ...

    • How Do House Prices Affect Consumption? Evidence from Micro Data 

      Campbell, John; Cocco, Joao (Elsevier, 2007)
      Housing is a major component of wealth. Since house prices fluctuate considerably over time, it is important to understand how these fluctuations affect households’ consumption decisions. Rising house prices may stimulate ...

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

      Campbell, John Y.; Ramadorai, Tarun; Ranish, Benjamin Michael (National Bureau of Economic Research, 2012)
      To understand the effects of regulation on mortgage risk, it is instructive to track the history of regulatory changes in a country rather than to rely entirely on cross- country evidence that can be contaminated by ...