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Campbell, John Y. - 2010

To estimate the equity premium, it is helpful to use finance theory: not the old-fashioned theory that efficient … markets imply a constant equity premium, but theory that restricts the time-series behavior of valuation ratios, and that … for stock returns. A steady-state approach suggests that the world geometric average equity premium was almost 4% at the …

Persistent link: https://www.econbiz.de/10012759797

Understanding Risk and Return

Campbell, John Y. - 2021

This paper uses an intertemporal equilibrium asset pricing model to interpret the cross-sectional pattern of stock and bond returns. The model relates assets' mean returns to their covariances with the contemporaneous return and news about future returns on the market portfolio. In a departure...

Persistent link: https://www.econbiz.de/10013223885

Where Do Betas Come from? Asset Price Dynamics and the Sources of Systematic Risk

Campbell, John Y. - 2002

return effects. The paper also shows how asset pricing theory restricts the expected excess return components of betas …

Persistent link: https://www.econbiz.de/10012787489

A Variance Decomposition for Stock Returns

Campbell, John Y. - 2000

This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns A vector autoregressive method is used to break unexpected stock returns into these two components. In U.S. monthly data in 1927-88, one-third of the variance of...

Persistent link: https://www.econbiz.de/10012788532

Explaining the Poor Performance of Consumption-Based Asset Pricing Models

Campbell, John Y. - 2000

The poor performance of consumption-based asset pricing models relative to traditional portfolio-based asset pricing models is one of the great disappointments of the empirical asset pricing literature. We show that the external habit-formation model economy of Campbell and Cochrane (1999) can...

Persistent link: https://www.econbiz.de/10012788868

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

Campbell, John Y. - 2010

A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real discount rates. This relation can be tested using vector...

Persistent link: https://www.econbiz.de/10012763389

Asset Prices, Consumption, and the Business Cycle

Campbell, John Y. - 2010

stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data …

Persistent link: https://www.econbiz.de/10012763609

No News is Good News : An Asymmetric Model of Changing Volatility in Stock Returns

Campbell, John Y. - 2009

It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. This paper modifies the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns to allow for this volatility feedback effect. The resulting...

Persistent link: https://www.econbiz.de/10012767711

Stock Returns and the Term Structure

Campbell, John Y. - 2008

It is well known that in the postwar period stockreturns have tended to be low when the short term nominal interest rate is high. In this paper I show that more generally the state of the term structure of interest rates predicts stock returns. Risk premia on stocks appear to move closely...

Persistent link: https://www.econbiz.de/10012774670

What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns

Campbell, John Y. - 2008

This paper uses a log-linear asset pricing framework and a vector autoregressive model to break down movements in stock and bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and excess returns on stocks and bonds. In monthly postwar...

Persistent link: https://www.econbiz.de/10012774691