NBER Working Papers by John Y. Campbell

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Working Papers

April 2014Monetary Policy Drivers of Bond and Equity Risks
with Carolin Pflueger, Luis M. Viceira: w20070
March 2014Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience
with Tarun Ramadorai, Benjamin Ranish: w20000
September 2012An Intertemporal CAPM with Stochastic Volatility
with Stefano Giglio, Christopher Polk, Robert Turley: w18411
How Do Regulators Influence Mortgage Risk: Evidence from an Emerging Market
with Tarun Ramadorai, Benjamin Ranish: w18394
August 2012Mortgage Market Design
October 2011A Model of Mortgage Default
with João F. Cocco: w17516
July 2010Hard Times
with Stefano Giglio, Christopher Polk: w16222
May 2009Understanding Inflation-Indexed Bond Markets
with Robert J. Shiller, Luis M. Viceira: w15014
April 2009Forced Sales and House Prices
with Stefano Giglio, Parag Pathak: w14866
March 2009The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
with Jason Beeler: w14788
February 2009Measuring the Financial Sophistication of Households
with Laurent E. Calvet, Paolo Sodini: w14699
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
with Adi Sunderam, Luis M. Viceira: w14701
July 2008Fight or Flight? Portfolio Rebalancing by Individual Investors
with Laurent E. Calvet, Paolo Sodini: w14177
September 2007Estimating the Equity Premium
May 2007Global Currency Hedging
with Karine Serfaty-de Medeiros, Luis M. Viceira: w13088
July 2006In Search of Distress Risk
with Jens Hilscher, Jan Szilagyi: w12362
May 2006Intergenerational Risksharing and Equilibrium Asset Prices
with Yves Nosbusch: w12204
April 2006Household Finance
February 2006Down or Out: Assessing the Welfare Costs of Household Investment Mistakes
with Laurent E. Calvet, Paolo Sodini: w12030
August 2005How Do House Prices Affect Consumption? Evidence From Micro Data
with João F. Cocco: w11534
July 2005Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?
with Samuel B. Thompson: w11468
June 2005Caught On Tape: Institutional Order Flow and Stock Returns
with Tarun Ramadorai, Tuomo O. Vuolteenaho: w11439
Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
with Christopher Polk, Tuomo Vuolteenaho: w11389
February 2005The Term Structure of the Risk-Return Tradeoff
with Luis Viceira: w11119
February 2004Inflation Illusion and Stock Prices
with Tuomo Vuolteenaho: w10263
October 2003Efficient Tests of Stock Return Predictability
with Motohiro Yogo: w10026
June 2003Household Risk Management and Optimal Mortgage Choice
with Joao F. Cocco: w9759
March 2003Strategic Asset Allocation in a Continuous-Time VAR Model
with George Chacko, Jorge Rodriguez, Luis M. Viciera: w9547
February 2003Bad Beta, Good Beta
with Tuomo Vuolteenaho: w9509
July 2002Foreign Currency for Long-Term Investors
with Luis M. Viceira, Joshua S. White: w9075
May 2002Equity Volatility and Corporate Bond Yields
with Glen B. Taksler: w8961
October 2001A Multivariate Model of Strategic Asset Allocation
with Yeung Lewis Chan, Luis M. Viceira: w8566
April 2001Valuation Ratios and the Long-Run Stock Market Outlook: An Update
with Robert J. Shiller: w8221
March 2000Asset Pricing at the Millennium
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
with Martin Lettau, Burton G. Malkiel, Yexiao Xu: w7590
July 1999Explaining the Poor Performance of Consumption-Based Asset Pricing Models
with John H. Cochrane: w7237
May 1999Dispersion and Volatility in Stock Returns: An Empirical Investigation
with Martin Lettau: w7144
March 1999Investing Retirement Wealth: A Life-Cycle Model
with Joao F. Cocco, Francisco J. Gomes, Pascal J. Maenhout: w7029
November 1998Who Should Buy Long-Term Bonds?
with Luis M. Viceira: w6801
October 1998Elasticities of Substitution in Real Business Cycle Models with Home Production
with Sydney Ludvigson: w6763
March 1998Asset Prices, Consumption, and the Business Cycle
December 1996Consumption and Portfolio Decisions When Expected Returns are Time Varying
with Luis M. Viceira: w5857
November 1996Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices
with David G. Barr: w5821
June 1996Consumption and the Stock Market: Interpreting International Experience
May 1996A Scorecard for Indexed Government Debt
with Robert J. Shiller: w5587
February 1995Some Lessons from the Yield Curve
January 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
with John H. Cochrane: w4995
December 1993International Experiences with Securities Transaction Taxes
with Kenneth A. Froot: w4587
November 1993Understanding Risk and Return
September 1993Why Long Horizons: A Study of Power Against Persistent Alternatives
April 1993Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
with Jianping Mei: w4329
October 1992Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model
Trading Volume and Serial Correlation in Stock Returns
with Sanford J. Grossman, Jiang Wang: w4193
February 1992Intertemporal Asset Pricing Without Consumption Data
October 1991The Response of Consumption to Income
with N. Gregory Mankiw: r1645
June 1991No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
with Ludger Hentschel: w3742
What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
with John Ammer: w3760
April 1991Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots
with Pierre Perron: t0100
January 1991Permanent Income, Current Income, and Consumption
with N. Gregory Mankiw: w2436
March 1990Measuring the Persistence of Expected Returns
January 1990A Variance Decomposition for Stock Returns
December 1989Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
with Yasushi Hamao: w3191
October 1989Yield Spreads and Interest Rate Movements: A Bird's Eye View
with Robert J. Shiller: w3153
April 1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence
with N. Gregory Mankiw: w2924
October 1988Smart Money, Noise Trading and Stock Price Behavior
with Albert S. Kyle: t0071
July 1988The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study
with Robert J. Shiller: t0067
April 1988Interpreting Cointegrated Models
with Robert J. Shiller: w2568
February 1988Stock Prices, Earnings and Expected Dividends
with Robert J. Shiller: w2511
1988International Evidence on the Persistence of Economic Fluctuations
with N. Gregory Mankiw: w2498
April 1987Household Saving and Permanent Income in Canada and the United Kingdom
with Richard H. Clarida: w2223
March 1987Bond and Stock Returns in a Simple Exchange Model
February 1987The Dollar and Real Interest Rates
with Richard H. Clarida: w2151
Permanent and Transitory Components in Macroeconomic Fluctuations
with N. Gregory Mankiw: w2169
1987Is Consumption Too Smooth?
with Angus Deaton: w2134
December 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
with Robert J. Shiller: w2100
June 1986The Term Structure of Euromarket Interest Rates: An Empirical Investigation
with Richard H. Clarida: w1946
May 1986Are Output Fluctuations Transitory?
with N. Gregory Mankiw: w1916
April 1986Cointegration and Tests of Present Value Models
with Robert J. Shiller: w1885
March 1986A Defense of Traditional Hypotheses About the Term Structure of InterestRates
1986Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis
Money Announcements, the Demand for Bank Reserves and the Behavior of the Federal Funds Rate Within the Statement Week
June 1985Stock Returns and the Term Structure
September 1983A Simple Account of the Behavior of Long-Term Interest Rates
with Robert J. Shiller: w1203

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