Details about John Y. Campbell

E-mail:
Homepage:	http://post.economics.harvard.edu/faculty/campbell/campbell.html
Phone:	617-496-6448
Postal address:	Department of Economics, Harvard University Littauer Center 213, Cambridge, MA 02138
Workplace:	Department of Economics, Harvard University, (more information at EDIRC) National Bureau of Economic Research (NBER), (more information at EDIRC)

Access statistics for papers by John Y. Campbell.

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Working Papers

2007

1. Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
2. Estimating the Equity Premium
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
3. Global Currency Hedging
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
4. Intergenerational Risksharing and Equilibrium Asset Prices
   FMG Discussion Papers, Financial Markets Group
   Also in
   NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations
   See Also Journal Article in Journal of Monetary Economics (2007)

2006

5. Down or Out: Assessing The Welfare Costs of Household Investment Mistakes
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations
   Also in
   Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2006) View citations
   NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations
   Les Cahiers de Recherche, Groupe HEC (2006) View citations
6. Household Finance
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See Also Journal Article in Journal of Finance (2006)
7. In Search of Distress Risk
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in
   Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2005) View citations
   Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005)

2005

8. Caught On Tape: Institutional Order Flow and Stock Returns
   Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
   Also in
   NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations
9. Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in
   Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) View citations
10. How Do House Prices Affect Consumption? Evidence From Micro Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) View citations
    2004 Meeting Papers, Society for Economic Dynamics (2004) View citations
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2004) View citations
    2004 Meeting Papers, Society for Economic Dynamics (2004) View citations
    See Also Journal Article in Journal of Monetary Economics (2007)
11. Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
    Also in
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations
12. The Term Structure of the Risk-Return Tradeoff
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations

2004

13. Caught On Tape: Predicting Institutional Ownership With Order Flow
    Finance, EconWPA View citations
    Also in
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2004) View citations
14. Household Risk Management and Optimal Mortgage Choice
    Econometric Society 2004 North American Winter Meetings, Econometric Society
    Also in
    Econometric Society 2004 North American Winter Meetings, Econometric Society (2004)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations
    Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations
    See Also Journal Article in The Quarterly Journal of Economics (2003)
15. Inflation Illusion and Stock Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in American Economic Review (2004)

2003

16. Bad Beta, Good Beta
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research
    Also in
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations
    See Also Journal Article in American Economic Review (2004)
17. Efficient Tests of Stock Return Predictability
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations
    See Also Journal Article in Journal of Financial Economics (2006)
18. Strategic Asset Allocation in a Continuous Time VAR Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations
    See Also Journal Article in Journal of Economic Dynamics and Control (2004)

2002

19. Consumption-Based Asset Pricing
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
    See Also Chapter (2003)
20. Equity Volatility and Corporate Bond Yields
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
    Also in
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations
    See Also Journal Article in Journal of Finance (2003)
21. Foreign Currency for Long-Term Investors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations
    See Also Journal Article in Economic Journal (2003)

2001

22. A Multivariate Model of Strategic Asset Allocation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations
    See Also Journal Article in Journal of Financial Economics (2003)
23. Valuation Ratios and the Long-Run Stock Market Outlook: An Update
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2001) View citations

2000

24. Asset Pricing at the Millennium
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
    Also in
    NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations
    See Also Journal Article in Journal of Finance (2000)
25. Elasticities of Substitution in Real Business Cycle Models with Home Production
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
    Also in
    NBER Working Papers, National Bureau of Economic Research, Inc (1998)
    Research Paper, Federal Reserve Bank of New York (1997) View citations
    See Also Journal Article in Journal of Money, Credit and Banking (2001)
26. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Finance (2001)
27. Investing Retirement Wealth? A Life-Cycle Model
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
    Also in
    NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations
28. Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research
    Also in
    Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations
29. Who Should Buy Long-Term Bonds?
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
    Also in
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (1998) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations
    See Also Journal Article in American Economic Review (2001)

1999

30. Dispersion and Volatility in Stock Returns: An Empirical Investigation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) View citations
31. Explaining the Poor Performance of Consumption-Based Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Finance (2000)

1998

32. Asset Prices, Consumption, and the Business Cycle
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Chapter (1999)
33. Consumption and Portfolio Decisions When Expected Returns Are Time Varying
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
    Also in
    NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations
    See Also Journal Article in The Quarterly Journal of Economics (1999)

1996

34. A Scorecard for Indexed Government Data
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
35. A Scorecard for Indexed Government Debt
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in
    NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations
36. Consumption and the Stock Market: Interpreting International Experience
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
    Also in
    NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations
37. Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University View citations

1995

38. By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1994) View citations
    Working Papers, Federal Reserve Bank of Philadelphia (1994) View citations
39. Inflation, Real Interest Rates and the Bond Market: A Study of UK Nominal Index-Linked Government Bond Prices
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
40. Some Lessons from the Yield Curve
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1995) View citations
    See Also Journal Article in Journal of Economic Perspectives (1995)
41. Understanding Risk and Return
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
    Also in
    NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations
    See Also Journal Article in Journal of Political Economy (1996)

1994

42. Models of the term structure of interest rates
    Working Papers, Federal Reserve Bank of Philadelphia View citations

1993

43. International Experiences with Securities Transaction Taxes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
44. Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
45. Why Long Horizons: A Study of Power Against Persistent Alternatives
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Empirical Finance (2001)

1992

46. Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Monetary Economics (1994)
47. Intertemporal Asset Pricing Without Consumption Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in American Economic Review (1993)
48. Trading Volume and Serial Correlation in Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in The Quarterly Journal of Economics (1993)

1991

49. A Variance Decomposition for Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Economic Journal (1991)
50. Measuring the Persistence of Expected Returns
    NBER Working Papers, National Bureau of Economic Research, Inc
    See Also Journal Article in American Economic Review (1990)
51. No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
52. Permanent Income, Current Income, and Consumption
    NBER Working Papers, National Bureau of Economic Research, Inc
    See Also Journal Article in Journal of Business & Economic Statistics (1990)
53. Pitfalls and Opportunities: What Macroeconomics should know about unit roots
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations
    Also in
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1991) View citations
54. The Response of Consumption to Income
    NBER Reprints, National Bureau of Economic Research, Inc View citations
55. What Moves The Stock And Bond Markets? A Variance Decomposition For Long- Term Asset Returns
    Working Papers, Princeton, Department of Economics - Financial Research Center
    Also in
    NBER Working Papers, National Bureau of Economic Research, Inc (1991)
    See Also Journal Article in Journal of Finance (1993)
56. Yield Spreads and Interest Rate Movements: A Bird's Eye View
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Review of Economic Studies (1991)

1990

57. AN ASYMMETRIC MODEL OF CHANGING VOLATILITY IN STOCK RETURNS
    Working Papers, Princeton, Department of Economics - Financial Research Center View citations
58. Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
59. U.S. corporate leverage: developments in 1987 and 1988
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
    See Also Journal Article in Brookings Papers on Economic Activity (1990)

1989

60. International Evidence on the Persistence of Economic Fluctuations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Monetary Economics (1989)
61. Interpreting Cointegrated Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Economic Dynamics and Control (1988)
62. Is Consumption Too Smooth?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
63. Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Finance (1992)
64. Stock Prices, Earnings and Expected Dividends
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1988) View citations
    Working Papers, Princeton, Department of Economics - Econometric Research Program (1988) View citations
    See Also Journal Article in Journal of Finance (1988)
65. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1986) View citations
    See Also Journal Article in Review of Financial Studies (1988)

1988

66. Are Output Fluctuations Transitory?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in The Quarterly Journal of Economics (1987)
67. Cointegration and Tests of Present Value Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1986) View citations
    See Also Journal Article in Journal of Political Economy (1987)
68. Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis
    NBER Working Papers, National Bureau of Economic Research, Inc
    See Also Journal Article in Econometrica (1987)
69. PREDICTABLE BOND AND STOCK RETURNS IN THE UNITED STATES AND JAPAN: A STUDY OF LONG-TERM MARKET INTEGRATION
    Working Papers, Princeton, Department of Economics - Financial Research Center View citations
70. SMART MONEY, NOISE TRADING AND STOCK PRICE BEHAVIOR
    Working Papers, Princeton, Department of Economics - Financial Research Center View citations
    Also in
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1988) View citations
    See Also Journal Article in Review of Economic Studies (1993)
71. Stock Returns and the Term Structure
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Financial Economics (1987)
72. The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
    See Also Journal Article in Economics Letters (1989)
73. The Dollar and Real Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Carnegie-Rochester Conference Series on Public Policy (1987)

1987

74. Bond and Stock Returns in a Simple Exchange Model
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in The Quarterly Journal of Economics (1986)
75. Household Saving and Permanent Income in Canada and the United Kingdom
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
76. Money Announcements, the Demand for Bank Reserves and the Behavior of the Federal Funds Rate Within the Statement Week
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Money, Credit and Banking (1987)
77. Permanent and Transitory Components in Macroeconomic Fluctuations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in American Economic Review (1987)
78. The Term Structure of Euromarket Interest Rates: An Empirical Investigation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1986) View citations
    See Also Journal Article in Journal of Monetary Economics (1987)

1986

79. A Defense of Traditional Hypotheses About the Term Structure of InterestRates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Finance (1986)

1983

80. A Simple Account of the Behavior of Long-Term Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in American Economic Review (1984)
81. Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Brookings Papers on Economic Activity (1983)

Journal Articles

2008

1. Viewpoint: Estimating the equity premium
   Canadian Journal of Economics, 2008, 41, (1), 1-21

2007

2. How do house prices affect consumption? Evidence from micro data
   Journal of Monetary Economics, 2007, 54, (3), 591-621
   See Also Working Paper (2005)
3. Intergenerational risksharing and equilibrium asset prices
   Journal of Monetary Economics, 2007, 54, (8), 2251-2268
   See Also Working Paper (2007)

2006

4. Efficient tests of stock return predictability
   Journal of Financial Economics, 2006, 81, (1), 27-60 View citations
   See Also Working Paper (2003)
5. Household Finance
   Journal of Finance, 2006, 61, (4), 1553-1604 View citations
   See Also Working Paper (2006)

2004

6. AN INTERVIEW WITH ROBERT J. SHILLER
   Macroeconomic Dynamics, 2004, 8, (05), 649-683
7. Bad Beta, Good Beta
   American Economic Review, 2004, 94, (5), 1249-1275 View citations
   See Also Working Paper (2003)
8. Inflation Illusion and Stock Prices
   American Economic Review, 2004, 94, (2), 19-23 View citations
   See Also Working Paper (2004)
9. Strategic asset allocation in a continuous-time VAR model
   Journal of Economic Dynamics and Control, 2004, 28, (11), 2195-2214 View citations
   See Also Working Paper (2003)

2003

10. A multivariate model of strategic asset allocation
    Journal of Financial Economics, 2003, 67, (1), 41-80 View citations
    See Also Working Paper (2001)
11. Equity Volatility and Corporate Bond Yields
    Journal of Finance, 2003, 58, (6), 2321-2350 View citations
    See Also Working Paper (2002)
12. Foreign Currency for Long-Term Investors
    Economic Journal, 2003, 113, (486), C1-C25 View citations
    See Also Working Paper (2002)
13. Household Risk Management And Optimal Mortgage Choice
    The Quarterly Journal of Economics, 2003, 118, (4), 1449-1494 View citations
    See Also Working Paper (2004)

2001

14. A Comment On James M. Poterba'S "Demographic Structure And Asset Returns"
    The Review of Economics and Statistics, 2001, 83, (4), 585-588 View citations
15. Elasticities of Substitution in Real Business Cycle Models with Home Protection
    Journal of Money, Credit and Banking, 2001, 33, (4), 847-75
    See Also Working Paper (2000)
16. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
    Journal of Finance, 2001, 56, (1), 1-43 View citations
    See Also Working Paper (2000)
17. Who Should Buy Long-Term Bonds?
    American Economic Review, 2001, 91, (1), 99-127 View citations
    See Also Working Paper (2000)
18. Why long horizons? A study of power against persistent alternatives
    Journal of Empirical Finance, 2001, 8, (5), 459-491 View citations
    See Also Working Paper (1993)

2000

19. Asset Pricing at the Millennium
    Journal of Finance, 2000, 55, (4), 1515-1567 View citations
    See Also Working Paper (2000)
20. Comment on Low Inflation: The Behavior of Financial Markets and Institutions
    Journal of Money, Credit and Banking, 2000, 32, (4), 1088-92
21. Explaining the Poor Performance of Consumption-based Asset Pricing Models
    Journal of Finance, 2000, 55, (6), 2863-2878 View citations
    See Also Working Paper (1999)

1999

22. Consumption And Portfolio Decisions When Expected Returns Are Time Varying
    The Quarterly Journal of Economics, 1999, 114, (2), 433-495 View citations
    See Also Working Paper (1998)
23. Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    Journal of Political Economy, 1999, 107, (2), 205-251 View citations

1997

24. A comparison of numerical and analytic approximate solutions to an intertemporal consumption choice problem
    Journal of Economic Dynamics and Control, 1997, 21, (2-3), 273-295 View citations

1996

25. Understanding Risk and Return
    Journal of Political Economy, 1996, 104, (2), 298-345 View citations
    See Also Working Paper (1995)

1995

26. Remarks: some thoughts on systemic risk
    Proceedings, 1995, 557-561
27. Some Lessons from the Yield Curve
    Journal of Economic Perspectives, 1995, 9, (3), 129-52 View citations
    See Also Working Paper (1995)

1994

28. Inspecting the mechanism: An analytical approach to the stochastic growth model
    Journal of Monetary Economics, 1994, 33, (3), 463-506 View citations
    See Also Working Paper (1992)
29. The New Palgrave Dictionary of Money and Finance
    Journal of Economic Literature, 1994, 32, (2), 667-73

1993

30. A Note on Johansen's Cointegration Procedure When Trends Are Present
    Empirical Economics, 1993, 18, (4), 777-89 View citations
31. Intertemporal Asset Pricing without Consumption Data
    American Economic Review, 1993, 83, (3), 487-512 View citations
    See Also Working Paper (1992)
32. Smart Money, Noise Trading and Stock Price Behaviour
    Review of Economic Studies, 1993, 60, (1), 1-34 View citations
    See Also Working Paper (1988)
33. Trading Volume and Serial Correlation in Stock Returns
    The Quarterly Journal of Economics, 1993, 108, (4), 905-39 View citations
    See Also Working Paper (1992)
34. What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
    Journal of Finance, 1993, 48, (1), 3-37 View citations
    See Also Working Paper (1991)
35. Where Do Betas Come From? Asset Price Dynamics and the
    Review of Financial Studies, 1993, 6, (3), 567-92 View citations

1992

36. No news is good news *1: An asymmetric model of changing volatility in stock returns
    Journal of Financial Economics, 1992, 31, (3), 281-318 View citations
37. Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
    Journal of Finance, 1992, 47, (1), 43-69 View citations
    See Also Working Paper (1989)

1991

38. A Variance Decomposition for Stock Returns
    Economic Journal, 1991, 101, (405), 157-79 View citations
    See Also Working Paper (1991)
39. Aggregate investment, the stock market and the Q model: Robust results for six OECD countries: by G. Sensenbrenner
    European Economic Review, 1991, 35, (4), 826-830
40. The response of consumption to income: A cross-country investigation
    European Economic Review, 1991, 35, (4), 723-756 View citations
41. Yield Spreads and Interest Rate Movements: A Bird's Eye View
    Review of Economic Studies, 1991, 58, (3), 495-514 View citations
    See Also Working Paper (1991)

1990

42. Editors' introduction
    Journal of Econometrics, 1990, 45, (1-2), 1-5
43. Measuring the Persistence of Expected Returns
    American Economic Review, 1990, 80, (2), 43-47 View citations
    See Also Working Paper (1991)
44. Permanent Income, Current Income, and Consumption
    Journal of Business & Economic Statistics, 1990, 8, (3), 265-79 View citations
    See Also Working Paper (1991)
45. U.S. Corporate Leverage: Developments in 1987 and 1988
    Brookings Papers on Economic Activity, 1990, 21, (1990-1), 255-286 View citations
    See Also Working Paper (1990)

1989

46. Finance theory and the term structure a comment
    Carnegie-Rochester Conference Series on Public Policy, 1989, 31, 177-184
47. International evidence on the persistence of economic fluctuations
    Journal of Monetary Economics, 1989, 23, (2), 319-333 View citations
    See Also Working Paper (1989)
48. The dividend ratio model and small sample bias: A Monte Carlo study
    Economics Letters, 1989, 29, (4), 325-331 View citations
    See Also Working Paper (1988)
49. Why Is Consumption So Smooth?
    Review of Economic Studies, 1989, 56, (3), 357-73 View citations

1988

50. Interpreting cointegrated models
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 505-522 View citations
    See Also Working Paper (1989)
51. Is There a Corporate Debt Crisis?
    Brookings Papers on Economic Activity, 1988, 19, (1988-1), 83-140 View citations
52. Stock Prices, Earnings, and Expected Dividends
    Journal of Finance, 1988, 43, (3), 661-76 View citations
    See Also Working Paper (1989)
53. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
    Review of Financial Studies, 1988, 1, (3), 195-228 View citations
    See Also Working Paper (1989)

1987

54. Are Output Fluctuations Transitory?
    The Quarterly Journal of Economics, 1987, 102, (4), 857-80 View citations
    See Also Working Paper (1988)
55. Cointegration and Tests of Present Value Models
    Journal of Political Economy, 1987, 95, (5), 1062-88 View citations
    See Also Working Paper (1988)
56. Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis
    Econometrica, 1987, 55, (6), 1249-73 View citations
    See Also Working Paper (1988)
57. Macroeconomic lessons from Britain: A review essay
    Journal of Monetary Economics, 1987, 19, (2), 315-324
58. Money Announcements, the Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week
    Journal of Money, Credit and Banking, 1987, 19, (1), 56-67 View citations
    See Also Working Paper (1987)
59. Permanent and Transitory Components in Macroeconomic Fluctuations
    American Economic Review, 1987, 77, (2), 111-17 View citations
    See Also Working Paper (1987)
60. Stock returns and the term structure
    Journal of Financial Economics, 1987, 18, (2), 373-399 View citations
    See Also Working Paper (1988)
61. The dollar and real interest rates
    Carnegie-Rochester Conference Series on Public Policy, 1987, 27, 103-139 View citations
    See Also Working Paper (1988)
62. The term structure of euromarket interest rates: An empirical investigation
    Journal of Monetary Economics, 1987, 19, (1), 25-44 View citations
    See Also Working Paper (1987)

1986

63. A Defense of Traditional Hypotheses about the Term Structure of Interest Rates
    Journal of Finance, 1986, 41, (1), 183-93 View citations
    See Also Working Paper (1986)
64. Bond and Stock Returns in a Simple Exchange Model
    The Quarterly Journal of Economics, 1986, 101, (4), 785-803 View citations
    See Also Working Paper (1987)

1984

65. A Simple Account of the Behavior of Long-Term Interest Rates
    American Economic Review, 1984, 74, (2), 44-48 View citations
    See Also Working Paper (1983)

1983

66. Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates
    Brookings Papers on Economic Activity, 1983, 14, (1983-1), 173-224 View citations
    See Also Working Paper (1983)

Chapters

2003

1. Consumption-based asset pricing
   Chapter 13 in Handbook of the Economics of Finance, 2003, vol. 1, Part 2, pp 803-887
   See Also Working Paper (2002)

1999

2. Asset prices, consumption, and the business cycle
   Chapter 19 in Handbook of Macroeconomics, 1999, vol. 1, Part C, pp 1231-1303 View citations
   See Also Working Paper (1998)