NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

Forthcoming: chapter 4 testing has comment, Helena Fitz-Patrick. in NBER Calendar, NBER. 2009

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
w18339

Published: John Y. Campbell, 2013. "Mortgage Market Design," Review of Finance, European Finance Association, vol. 17(1), pages 1-33. citation courtesy of

October 2011A Model of Mortgage Default
with João F. Cocco: w17516
July 2010Hard Times
with Stefano Giglio, Christopher Polk: w16222

Published: “Hard Times”, with Stefano Giglio and Christopher Polk, Review of Asset Pricing Studies 3:95-132, June 2013.

May 2009Understanding Inflation-Indexed Bond Markets
with Robert J. Shiller, Luis M. Viceira: w15014

Published: John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 79-138. citation courtesy of

April 2009Forced Sales and House Prices
with Stefano Giglio, Parag Pathak: w14866

Published: John Y. Campbell & Stefano Giglio & Parag Pathak, 2011. "Forced Sales and House Prices," American Economic Review, American Economic Association, vol. 101(5), pages 2108-31, August. citation courtesy of

March 2009The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
with Jason Beeler: w14788

Published: Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Critical Finance Review, now publishers, vol. 1(1), pages 141-182, January. citation courtesy of

February 2009Measuring the Financial Sophistication of Households
with Laurent E. Calvet, Paolo Sodini: w14699

Published: Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2009. "Measuring the Financial Sophistication of Households," American Economic Review, American Economic Association, vol. 99(2), pages 393-98, May. citation courtesy of

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

Published: Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2009. "Fight Or Flight? Portfolio Rebalancing by Individual Investors-super-," The Quarterly Journal of Economics, MIT Press, vol. 124(1), pages 301-348, February.

September 2007Estimating the Equity Premium
w13423

Published: John Y. Campbell, 2008. "Viewpoint: Estimating the equity premium," Canadian Journal of Economics, Canadian Economics Association, vol. 41(1), pages 1-21, February.

May 2007Global Currency Hedging
with Karine Serfaty-de Medeiros, Luis M. Viceira: w13088

Published: John Y. Campbell & Karine Serfaty-De Medeiros & Luis M. Viceira, 2010. "Global Currency Hedging," Journal of Finance, American Finance Association, vol. 65(1), pages 87-121, 02. citation courtesy of

July 2006In Search of Distress Risk
with Jens Hilscher, Jan Szilagyi: w12362

Published: John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2008. "In Search of Distress Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2899-2939, December. citation courtesy of

May 2006Intergenerational Risksharing and Equilibrium Asset Prices
with Yves Nosbusch: w12204

Published: Campbell, John Y. & Nosbusch, Yves, 2007. "Intergenerational risksharing and equilibrium asset prices," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2251-2268, November. citation courtesy of

April 2006Household Finance
w12149

Published: Campbell, John Y. "Household Finance," Journal of Finance, 2006, v61(4,Aug), 1553-1604. citation courtesy of

February 2006Down or Out: Assessing the Welfare Costs of Household Investment Mistakes
with Laurent E. Calvet, Paolo Sodini: w12030

Published: Calvet, Laurent, John Campbell, and Paolo Sodini. "Down or Out: Assessing the Welfare Costs of Household Investment Mistakes.” Journal of Political Economy 115 (October 2007): 707-747. citation courtesy of

August 2005How Do House Prices Affect Consumption? Evidence From Micro Data
with João F. Cocco: w11534

Published: Campbell, John Y. & Cocco, Joao F., 2007. "How do house prices affect consumption? Evidence from micro data," Journal of Monetary Economics, Elsevier, vol. 54(3), pages 591-621, April. citation courtesy of

July 2005Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?
with Samuel B. Thompson: w11468

Published: Campbell, John Y. and Samuel B. Thompson. "Predicting Excess Stock Returns Out of Sample: Can anything Beat the Historical Average?" Review of Financial Studies 21 (July 2008): 1509-1531.

June 2005Caught On Tape: Institutional Order Flow and Stock Returns
with Tarun Ramadorai, Tuomo O. Vuolteenaho: w11439

Published: Campbell, John Y. & Ramadorai, Tarun & Schwartz, Allie, 2009. "Caught on tape: Institutional trading, stock returns, and earnings announcements," Journal of Financial Economics, Elsevier, vol. 92(1), pages 66-91, April.

Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
with Christopher Polk, Tuomo Vuolteenaho: w11389

Published:

February 2005The Term Structure of the Risk-Return Tradeoff
with Luis Viceira: w11119

Published: Campbell, John Y. and Luis Viceira. "The Term Structure of the Risk-Return Tradeoff.” Financial Analysts Journal 61 (January/February 2005): 34-44.

February 2004Inflation Illusion and Stock Prices
with Tuomo Vuolteenaho: w10263

Published: Campbell, John Y. and Tuomo Vuolteenaho. "Inflation Illusion And Stock Prices," American Economic Review, 2004, v94(2,May), 19-23. citation courtesy of

October 2003Efficient Tests of Stock Return Predictability
with Motohiro Yogo: w10026

Published: Campbell, John Y. and Motohiro Yogo. "Efficient Tests Of Stock Return Predictability," Journal of Financial Economics, 2006, v81(1,Jul), 27-60. citation courtesy of

June 2003Household Risk Management and Optimal Mortgage Choice
with Joao F. Cocco: w9759

Published: John Y. Campbell & Joao F. Cocco, 2003. "Household Risk Management And Optimal Mortgage Choice," The Quarterly Journal of Economics, MIT Press, vol. 118(4), pages 1449-1494, November. citation courtesy of

March 2003Strategic Asset Allocation in a Continuous-Time VAR Model
with George Chacko, Jorge Rodriguez, Luis M. Viciera: w9547

Published: Campbell, John Y. & Chacko, George & Rodriguez, Jorge & Viceira, Luis M., 2004. "Strategic asset allocation in a continuous-time VAR model," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2195-2214, October. citation courtesy of

February 2003Bad Beta, Good Beta
with Tuomo Vuolteenaho: w9509

Published: Campbell, Johny. and Tuomo Vuolteenaho. "Bad Beta, Good Beta," American Economic Review, 2004, v94(5,Dec), 1249-1275. citation courtesy of

July 2002Foreign Currency for Long-Term Investors
with Luis M. Viceira, Joshua S. White: w9075

Published: Campbell, John Y., Luis M. Viceira and Joshua S. White. "Foreign Currency For Long-Term Investors," Economic Journal, 2003, v113(486,Mar), C1-C25. citation courtesy of

May 2002Equity Volatility and Corporate Bond Yields
with Glen B. Taksler: w8961

Published: John Y. Campbell & Glen B. Taksler, 2003. "Equity Volatility and Corporate Bond Yields," Journal of Finance, American Finance Association, vol. 58(6), pages 2321-2350, December. citation courtesy of

October 2001A Multivariate Model of Strategic Asset Allocation
with Yeung Lewis Chan, Luis M. Viceira: w8566

Published: Campbell, John Y. & Chan, Yeung Lewis & Viceira, Luis M., 2003. "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, vol. 67(1), pages 41-80, January. citation courtesy of

April 2001Valuation Ratios and the Long-Run Stock Market Outlook: An Update
with Robert J. Shiller: w8221

Published: Thaler, Richard H. (ed.) Advances in Behavioral Finance, Volume II. Princeton University Press, 2005.

March 2000Asset Pricing at the Millennium
w7589

Published: Campbell, John Y. "Asset Pricing At The Millennium," Journal of Finance, 2000, v55(4,Aug), 1515-1567. citation courtesy of

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
with Martin Lettau, Burton G. Malkiel, Yexiao Xu: w7590

Published: Campbell, John Y., Martin Lettau, Burton G. Malkiel and Yexiao Xu. "Have Individual Stocks Become More Volatile? An Empirical Exploration Of Idiosyncratic Risk," Journal of Finance, 2001, v56(1,Feb), 1-43. citation courtesy of

July 1999Explaining the Poor Performance of Consumption-Based Asset Pricing Models
with John H. Cochrane: w7237

Published: Campbell, John Y. and John H. Cochrane. "Explaining The Poor Performance Of Consumption-Based Asset Pricing Models," Journal of Finance, 2000, v55(6,Dec), 2863-2878. citation courtesy of

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

Published:

November 1998Who Should Buy Long-Term Bonds?
with Luis M. Viceira: w6801

Published: Campbell, John Y. and Luis M. Viceira. "Who Should Buy Long-Term Bonds?," American Economic Review, 2001, v91(1,Mar), 99-127. citation courtesy of

October 1998Elasticities of Substitution in Real Business Cycle Models with Home Production
with Sydney Ludvigson: w6763

Published: Campbell, John Y. and Syndney Ludvigson. "Elasticities Of Substitution In Real Business Cycle Models With Home Production," Journal of Money, Credit and Banking, 2001, v33(4,Nov), 847-875. citation courtesy of

March 1998Asset Prices, Consumption, and the Business Cycle
w6485

Published: Handbook of Macroeconomics Vol.1, Taylor, John B., and Michael Woodford,eds., Amsterdam: North Holland Press, 1999, Chapter 19, pp. 1231-1303.

December 1996Consumption and Portfolio Decisions When Expected Returns are Time Varying
with Luis M. Viceira: w5857

Published: The Quarterly Journal of Economics, Vol. CXIV (May 1999), Issue 2: 433-496. citation courtesy of

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

Published: Journal of Monetary Economics, Vol. 39 (August 1997): 361-383.

June 1996Consumption and the Stock Market: Interpreting International Experience
w5610

Published: Swedish Economic Policy Review, Vol.3 (1996): 251-299.

May 1996A Scorecard for Indexed Government Debt
with Robert J. Shiller: w5587

Published: A Scorecard for Indexed Government Debt, John Y. Campbell, Robert J. Shiller. in NBER Macroeconomics Annual 1996, Volume 11, Bernanke and Rotemberg. 1996

February 1995Some Lessons from the Yield Curve
w5031

Published: Journal of Economic Perspectives, vol. 9, no. 3, 1995, pp. 129-152 citation courtesy of

January 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
with John H. Cochrane: w4995

Published: Journal of Political Economy, Vol.107 (April 1999): 205-251.

December 1993International Experiences with Securities Transaction Taxes
with Kenneth A. Froot: w4587

Published:

November 1993Understanding Risk and Return
w4554

Published: Journal of Political Economy, April 1996, Vol.104,no.2, pp.298-345. citation courtesy of

September 1993Why Long Horizons: A Study of Power Against Persistent Alternatives
t0142

Published: Campbell, John Y. "Why Long Horizons? A Study Of Power Against Persistent Alternatives," Journal of Empirical Finance, 2001, v8(5,Dec), 459-491.

April 1993Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
with Jianping Mei: w4329

Published: Review of Financial Studies. vol 6, no. 3, 1993, p. 567-592

October 1992Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model
w4188

Published: Journal of Monetary Economics, vol. 33 (June 1994), pp. 463-506. citation courtesy of

Trading Volume and Serial Correlation in Stock Returns
with Sanford J. Grossman, Jiang Wang: w4193

Published: Quarterly Journal of Economics, vol cviii (4), November 1993, pp. 905-939 citation courtesy of

February 1992Intertemporal Asset Pricing Without Consumption Data
w3989

Published: American Economic Review, vol 83, June 1993, p. 487-512 citation courtesy of

October 1991The Response of Consumption to Income
with N. Gregory Mankiw: r1645

Published: European Economic Review, Vol. 35, pp. 723-767, (1991).

June 1991No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
with Ludger Hentschel: w3742

Published: Journal of Financial Economics vol. 31, 1992, p. 281-318 citation courtesy of

What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
with John Ammer: w3760

Published: Journal of Finance, vol 48, March 1993, p.3-37 citation courtesy of

April 1991Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots
with Pierre Perron: t0100

Published:

January 1991Permanent Income, Current Income, and Consumption
with N. Gregory Mankiw: w2436

Published: Journal of Business & Economic Statistics, Vol. 8, No. 3, pp. 265-279, (July 1990). citation courtesy of

March 1990Measuring the Persistence of Expected Returns
w3305

Published: The American Economic Review, Vol. 80, No. 2, pp. 43-47, (May 1990). citation courtesy of

January 1990A Variance Decomposition for Stock Returns
w3246

Published: The Economic Journal, Vol. 101, No. 405, pp. 157-179, (March 1991). citation courtesy of

December 1989Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
with Yasushi Hamao: w3191

Published: Journal of Finance, Volume 47, No. 1, pp. 43-69 March 1992 citation courtesy of

October 1989Yield Spreads and Interest Rate Movements: A Bird's Eye View
with Robert J. Shiller: w3153

Published: Review of Economic Studies, Vol. 58, pp. 495-514, (1991). citation courtesy of

April 1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence
with N. Gregory Mankiw: w2924

Published:

October 1988Smart Money, Noise Trading and Stock Price Behavior
with Albert S. Kyle: t0071

Published: Review of Economic Studies, Vol 60, issue 202, January 1993, p. 1-34

July 1988The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study
with Robert J. Shiller: t0067

Published: Economics Letters, vol.29, no.4, pp.325-331, 1989

April 1988Interpreting Cointegrated Models
with Robert J. Shiller: w2568

Published: Campbell, John Y. and Robert J. Shiller. "Interpreting Cointegrated Models ," from the Journal of Economic Dynamics and Control, Vol. 12,pp. 505-522, (1988). citation courtesy of

February 1988Stock Prices, Earnings and Expected Dividends
with Robert J. Shiller: w2511

Published: Campbell, John Y. and Robert J. Shiller, "Stock Prices, Earnings and Expected Dividends," from Journal of Finance. Vol. XLIII, No. 3, pp. 661-676,(July 1988). citation courtesy of

1988International Evidence on the Persistence of Economic Fluctuations
with N. Gregory Mankiw: w2498

Published: Journal of Monetary Economics, Vol. 23, no.2, pp. 319-333, (March 1989). citation courtesy of

April 1987Household Saving and Permanent Income in Canada and the United Kingdom
with Richard H. Clarida: w2223

Published: Campbell, John Y. and Richard H. Clarida. "Household Saving and Permanent Income in Canada and the United Kingdom," The Economic Consequences of Government Budgets, ed. by E. Helpman, A. Razin and E. Sadka. Cambridge, MA: MI TPress, 1988,.

March 1987Bond and Stock Returns in a Simple Exchange Model
w1509

Published: Campbell, John Y. "Bond and Stock Returns in a Simple Exchange Model," Quarterly Journal of Economics," Vol. 101, No. 4, (November 1986) pp. 785-803. citation courtesy of

February 1987The Dollar and Real Interest Rates
with Richard H. Clarida: w2151

Published: Campbell, John Y. and Richard M. Clarida. "The Dollar and Real Interest Rates," Carnegie-Rochester Conference Series on Public Policy, Vol. 27, August 1987. citation courtesy of

Permanent and Transitory Components in Macroeconomic Fluctuations
with N. Gregory Mankiw: w2169

Published: Campbell, John and N. Gregory Mankiw. "American Economic Review, Vol. 77, No. 2, May 1987, pp. 111-117. citation courtesy of

1987Is Consumption Too Smooth?
with Angus Deaton: w2134

Published: "Why is Consumption So Smooth?" From Review of Economic Studies, Vol. 56,pp. 357-374, (1989).

December 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
with Robert J. Shiller: w2100

Published: Review of Financial Studies 1988, Vol. 1, No. 3, pp. 195-228, (1988). citation courtesy of

June 1986The Term Structure of Euromarket Interest Rates: An Empirical Investigation
with Richard H. Clarida: w1946

Published: Campbell, John Y. and Richard H. Clarida. "The Term Structure of Euromarket Interest Rates: An Empirical Investigation," Journal of Monetary Economics, Vol. 19, No. 1, (January 1987), pp. 25-44. citation courtesy of

May 1986Are Output Fluctuations Transitory?
with N. Gregory Mankiw: w1916

Published: Campbell, John and N. Gregory Mankiw. "Are Output Fluctuations Transitory?" Quarterly Journal of Economics, pp. 857-880, November 1987. citation courtesy of

April 1986Cointegration and Tests of Present Value Models
with Robert J. Shiller: w1885

Published: Campbell, John and Robert J. Shiller. "Cointegration and Tests of Present Value Models," Journal of Political Economy, Vol. 95, No. 5, October 1987, pp. 1062-1088. citation courtesy of

March 1986A Defense of Traditional Hypotheses About the Term Structure of InterestRates
w1508

Published: Campbell, John Y. "A Defense of Traditional Hypotheses about the Term Structure of Interest Rates," Journal of Finance, Vol. 41, No. 1, March 1986), pp. 183-193. citation courtesy of

1986Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis
w1805

Published: Campbell, John. "Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis," Econometrica, Vol. 55, No. 6 , pp. 1249-1273, (November 1987) citation courtesy of

Money Announcements, the Demand for Bank Reserves and the Behavior of the Federal Funds Rate Within the Statement Week
w1806

Published: From Journal of Money, Credit and Banking, Vol. 19, No. 1, pp. 56-67,(February 1987). citation courtesy of

June 1985Stock Returns and the Term Structure
w1626

Published: Campbell, John. "Stock Returns and the Term Structure," Journal of Financial Economics, Vol. 18, No. 2, June 1987, pp. 373-399. citation courtesy of

September 1983A Simple Account of the Behavior of Long-Term Interest Rates
with Robert J. Shiller: w1203

Published: Campbell, John Y. and Robert J. Shiller. "A Simple Account of the Behaviorof Long-Term Interest Rates." American Economic Review, Vol. 74, No. 2, ( May 1984), pp. 44-48. citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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