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Asset prices, consumption, and the business cycle
Campbell, John Y. - 1998
Persistent link: https://www.econbiz.de/10000659469
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A comparison of numerical and analytic approximate solutions to an intertemporal consumption choice problem
Campbell, John Y. - In: Journal of economic dynamics & control 21 (1997) 2, pp. 273-295
Persistent link: https://www.econbiz.de/10001215829
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Understanding risk and return
Campbell, John Y. - In: Journal of political economy 104 (1996) 2, pp. 298-345
Persistent link: https://www.econbiz.de/10001198651
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Where do betas come from? : asset price dynamics and the sources of systematic risk
Campbell, John Y. - 1993
Persistent link: https://www.econbiz.de/10000860454
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Asset prices, consumption, and the business cycle
Campbell, John Y. - 1999
Persistent link: https://www.econbiz.de/10001436028
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Viewpoint: estimating the equity premium
Campbell, John Y. - In: The Canadian journal of economics 41 (2008) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10003679907
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Asset Prices, Consumption, and the Business Cycle
Campbell, John Y. - 1998
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/10012472320
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Bad Beta, Good Beta
Campbell, John Y. - 2010
break the CAPM beta of a stock with the market portfolio into two components, one reflecting news about the market's future … this can explain their higher average returns. The poor performance of the CAPM since 1963 is explained by the fact that …
Persistent link: https://www.econbiz.de/10012762857
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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
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The Long-Run Risks Model and Aggregate Asset Prices : An Empirical Assessment
Beeler, Jason - 2009
The long-run risks model of asset prices explains stock price variation as a response to persistent fluctuations in the mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents several empirical...
Persistent link: https://www.econbiz.de/10012463859