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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
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The Long-Run Risks Model and Aggregate Asset Prices : An Empirical Assessment
Beeler, Jason; Campbell, John Y. - 2021
increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … 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
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The Long-Run Risks Model and Aggregate Asset Prices : An Empirical Assessment
Beeler, Jason - 2009
increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … 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
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Chapter 19 Asset prices, consumption, and the business cycle
Campbell, John Y. - In: Handbook of macroeconomics : volume 1, part C, (pp. 1231-1303). 1999
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 recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which...
Persistent link: https://www.econbiz.de/10014024221
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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
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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
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Chapter 13 Consumption-based asset pricing
Campbell, John Y. - 2003
This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some important stylized facts that characterize U.S. data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which...
Persistent link: https://www.econbiz.de/10014023858
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Equity volatility and corporate bond yields
Campbell, John Y.; Taksler, Glen B. - In: The journal of finance : the journal of the American … 58 (2003) 6, pp. 2321-2350
Persistent link: https://www.econbiz.de/10001845753
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Equity volatility and corporate bond yields
Campbell, John Y. (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001822330
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Equity volatility and corporate Bond yields
Campbell, John Y.; Taksler, Glen Barry - 2002
Persistent link: https://www.econbiz.de/10001671292