NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Consumption and the Stock Market: Interpreting International Experience

John Y. Campbell

NBER Working Paper No. 5610
Issued in June 1996
NBER Program(s):   AP   EFG   ME

This paper reviews the behavior of stock prices in relation to consumption. The paper lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features of the US experience apply more generally. The paper argues that to make sense of stock market behavior one needs a model in which investors' risk aversion is both high and varying, such as the external habit-formation model of Campbell and Cochrane (1995).

download in pdf format
   (2482 K)

email paper

This paper is available as PDF (2482 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w5610

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

Users who downloaded this paper also downloaded these:
Cochrane w7169 New Facts in Finance
Campbell w6485 Asset Prices, Consumption, and the Business Cycle
Campbell and Cochrane w4995 By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
Campbell and Mankiw Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence
Cooper and Ejarque w8182 Exhuming Q: Market Power vs. Capital Market Imperfections
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us