NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

An Intertemporal CAPM with Stochastic Volatility

John Y. Campbell, Stefano Giglio, Christopher Polk, Robert Turley

NBER Working Paper No. 18411
Issued in September 2012

---- Acknowledgements -----

We are grateful to Torben Andersen, Gurdip Bakshi, John Cochrane, Bjorn Eraker, Bryan Kelly, Ian Martin, Sydney Ludvigson, Monika Piazzesi, Tuomo Vuolteenaho, and seminar participants at BI Norwegian School of Management, CEMFI, the 2012 EFA, 2011 HBS Finance Unit research retreat, IESE, INSEAD, 2012 Spring NBER Asset Pricing Meeting, Norges Bank Investment Management, Northwestern University, NYU, Stanford University, Swiss Finance Institute-Geneva, Oxford University, University of Paris Dauphine, University of California-Berkeley, University of Chicago, University of Edinburgh, University of Pennsylva nia, and the 2012 WFA for comments. We thank Josh Coval, Ken French, Nick Roussanov, Mila Getmansky Sherman, and Tyler Shumway for providing data used in the analysis. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

---- Disclosure of Financial Relationships for John Y. Campbell -----

John Y. Campbell

Outside Activities Since 2006

A. Compensated Activities1

Asset Management

Founding partner since 1999, Arrowstreet Capital, LP: www.arrowstreetcapital.com

Commissioned Research

Alfred P. Sloan Foundation: grant for international comparative studies of household finance, 2011-2014

Brookings Institution: paper with Robert Shiller and Luis M. Viceira, “Understanding

Inflation-Indexed Bond Markets”, Brookings Papers on Economic Activity 79-120, Spring

2009

Conference Organization

National Bureau of Economic Research, conference on Asset Prices and Monetary Policy,

2007

Speaking Engagements

Journal of Investment Management, 2007

Mellon Global Investments, Brazil, 2007

Real Colegio Complutense, 2007 and 2008

Pension Real Estate Association, 2008

International Conference on Economics, Finance, and Accounting, National Taiwan

University, 2009

China International Conference in Finance, Beijing, 2010

Forum for the Future of Higher Education, Aspen, 2011

Karl Borch Lecture, NHH, Bergen, Norway, 2011

David Kinley Lecture, University of Illinois, 2012

Purvis Lecture, Canadian Economic Association, 2012

Morgan Stanley Lecture, New Economic School, Moscow, 2012

International Monetary Fund, Washington, DC, 2012

B. Significant Non-Compensated Activities

American Economic Journal Macroeconomics: Editorial Board, 2007-09

Econometric Society: Council, 2002-09; Investments Committee, 2006-10

Harvard Management Company: Board, 2004-11

International Atlantic Economic Society: President, 2008-09

Journal of Financial Econometrics: Advisory Board, 2001-present

Journal of Financial Economics: Associate Editor, 2007-present

Journal of Money, Credit, and Banking: Advisory Board, 2001-present

Oxford-Man Institute: Academic Advisory Board, 2012-present

Board of Trustees, Andover Newton Theological School, 2012-present

Academic Research Council, Consumer Financial Protection Bureau, 2012-present

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