Consumption-based asset pricing
JY Campbell - Handbook of the Economics of Finance, 2003 - Elsevier
This chapter reviews the behavior of financial asset prices in relation to consumption. The
chapter lists some important stylized facts that characterize US data, and relates them to …
chapter lists some important stylized facts that characterize US data, and relates them to …
Asset prices, consumption, and the business cycle
JY Campbell - Handbook of macroeconomics, 1999 - Elsevier
This chapter reviews the behavior of financial asset prices in relation to consumption. The
chapter lists some important stylized facts that characterize US data, and relates them to …
chapter lists some important stylized facts that characterize US data, and relates them to …
The econometrics of financial markets
JY Campbell, AW Lo, AC MacKinlay… - Macroeconomic …, 1998 - cambridge.org
This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …
acknowledged void in the literature—a text covering the burgeoning field of empirical …
By force of habit: A consumption-based explanation of aggregate stock market behavior
We present a consumption-based model that explains a wide variety of dynamic asset
pricing phenomena, including the procyclical variation of stock prices, the long-horizon …
pricing phenomena, including the procyclical variation of stock prices, the long-horizon …
Risks for the long run: A potential resolution of asset pricing puzzles
We model consumption and dividend growth rates as containing (1) a small long‐run
predictable component, and (2) fluctuating economic uncertainty (consumption volatility) …
predictable component, and (2) fluctuating economic uncertainty (consumption volatility) …
Equity premia as low as three percent? Evidence from analysts' earnings forecasts for domestic and international stock markets
J Claus, J Thomas - The journal of finance, 2001 - Wiley Online Library
The returns earned by US equities since 1926 exceed estimates derived from theory, from
other periods and markets, and from surveys of institutional investors. Rather than examine …
other periods and markets, and from surveys of institutional investors. Rather than examine …
[HTML][HTML] Asset pricing in production economies
UJ Jermann - Journal of monetary Economics, 1998 - Elsevier
This paper studies asset returns in different versions of the one-sector real business cycle
model. We show that a model with habit formation preferences and capital adjustment costs …
model. We show that a model with habit formation preferences and capital adjustment costs …
Can time‐varying risk of rare disasters explain aggregate stock market volatility?
JA Wachter - The Journal of Finance, 2013 - Wiley Online Library
Why is the equity premium so high, and why are stocks so volatile? Why are stock returns in
excess of government bill rates predictable? This paper proposes an answer to these …
excess of government bill rates predictable? This paper proposes an answer to these …
Habit persistence, asset returns, and the business cycle
Two modifications are introduced into the standard real-business-cycle model: habit
preferences and a two-sector technology with limited intersectoral factor mobility. The model …
preferences and a two-sector technology with limited intersectoral factor mobility. The model …
Disaster risk and business cycles
F Gourio - American Economic Review, 2012 - aeaweb.org
Motivated by the evidence that risk premia are large and countercyclical, this paper studies a
tractable real business cycle model with a small risk of economic disaster, such as the Great …
tractable real business cycle model with a small risk of economic disaster, such as the Great …