Narrow search
Showing 1 - 10 of 28
Cover Image
The long-run risks model and aggregate asset prices : an empirical assessment
Beeler, Jason; Campbell, John Y. - 2009
Persistent link: https://www.econbiz.de/10003822202
Cover Image
The Long-Run Risks Model and Aggregate Asset Prices : An Empirical Assessment
Beeler, Jason; Campbell, John Y. - 2021
mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …
Persistent link: https://www.econbiz.de/10013225971
Cover Image
The Long-Run Risks Model and Aggregate Asset Prices : An Empirical Assessment
Beeler, Jason - 2009
mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …
Persistent link: https://www.econbiz.de/10012463859
Cover Image
Hard Times
Campbell, John Y. - 2011
We show that the stock market downturns of 2000-2002 and 2007-2009 have very different proximate causes. The early 2000's saw a large increase in the discount rates applied to profits by rational investors, while the late 2000's saw a decrease in rational expectations of future profits. We reach...
Persistent link: https://www.econbiz.de/10013128421
Cover Image
Inflation Illusion and Stock Prices
Campbell, John Y. - 2011
We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth deviating from the rational forecast. Modigliani and...
Persistent link: https://www.econbiz.de/10013133237
Cover Image
Hard Times
Campbell, John Y. - 2010
This paper shows that the stock market downturns of 2000-2002 and 2007-09 have very different proximate causes. The early 2000's saw a large increase in the discount rates applied to corporate profits by rational investors, while the late 2000's saw a decrease in rational expectations of future...
Persistent link: https://www.econbiz.de/10013139890
Cover Image
Hard Times
Campbell, John Y. - 2012
We show that the stock market downturns of 2000-2002 and 2007-2009 have very different proximate causes. The early 2000's saw a large increase in the discount rates applied to profits by rational investors, while the late 2000's saw a decrease in rational expectations of future profits. We reach...
Persistent link: https://www.econbiz.de/10013100773
Cover Image
Consumption and the Stock Market : Interpreting International Experience
Campbell, John Y. - 2008
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...
Persistent link: https://www.econbiz.de/10012774976
Cover Image
By Force of Habit : A Consumption-Based Explanation of Aggregate Stock Market Behavior
Campbell, John Y. - 2010
-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. Our model has an i …
Persistent link: https://www.econbiz.de/10012763558
Cover Image
Asset Prices, Consumption, and the Business Cycle
Campbell, John Y. - 2010
This paper reviews the behavior of financial asset 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...
Persistent link: https://www.econbiz.de/10012763609