We propose a new investor sentiment index that is aligned with the purpose of predicting the
aggregate stock market. By eliminating a common noise component in sentiment proxies …

This paper explains the size and value “anomalies” in stock returns using an economically
motivated two-beta model. We break the beta of a stock with the market portfolio into two …

We examine international stock return comovements using country‐industry and country‐
style portfolios as the base portfolios. We first establish that parsimonious risk‐based factor …

I will start this lecture with some general thoughts on the determinants of long-term asset
prices such as stock prices or home prices: what, ultimately, drives these prices to change as …

We use earnings forecasts from a cross-sectional model to proxy for cash flow expectations
and estimate the implied cost of capital (ICC) for a large sample of firms over 1968–2008 …

This paper, using data for 16 countries, tests whether economic policy uncertainty (EPU)
predicts stock excess returns. First, we show that the ability of EPU to forecast stock returns …

The last 15 years has brought forth an explosion of research on consumption-based asset
pricing as a leading contender for explaining aggregate stock market behavior. This …

We characterize and measure a long-term risk-return trade-off for the valuation of cash flows
exposed to fluctuations in macroeconomic growth. This trade-off features risk prices of cash …

From the field's leading authority, the most authoritative and comprehensive advanced-level
textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term
equity investor who is content to hold the aggregate equity market instead of overweighting …