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Details about John Y. Campbell

Homepage:https://scholar.harvard.edu/campbell/home
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.

Last updated 2023-12-21. Update your information in the RePEc Author Service.

Short-id: pca54


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Working Papers

2023

  1. Debt and Deficits: Fiscal Analysis with Stationary Ratios
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2023) Downloads
    NBER Working Papers, National Bureau of Economic Research, Inc (2023) Downloads
  2. What Drives Booms and Busts in Value?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2022

  1. Idiosyncratic Equity Risk Two Decades Later
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article Idiosyncratic Equity Risk Two Decades Later, Critical Finance Review, now publishers (2023) Downloads (2023)
  2. Sustainability in a Risky World
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2021) Downloads
    NBER Working Papers, National Bureau of Economic Research, Inc (2021) Downloads

2021

  1. The Cross-Section of Household Preferences
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) Downloads
  2. Who Owns What? A Factor Model for Direct Stock Holding
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) Downloads

    See also Journal Article Who Owns What? A Factor Model for Direct Stockholding, Journal of Finance, American Finance Association (2023) Downloads View citations (2) (2023)

2020

  1. Portfolio Choice with Sustainable Spending: A Model of Reaching for Yield
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article Portfolio choice with sustainable spending: A model of reaching for yield, Journal of Financial Economics, Elsevier (2022) Downloads View citations (10) (2022)
  2. Structuring Mortgages for Macroeconomic Stability
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article Structuring Mortgages for Macroeconomic Stability, Journal of Finance, American Finance Association (2021) Downloads View citations (9) (2021)

2018

  1. An Intertemporal CAPM with stochastic volatility
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (75)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (56)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (14)

    See also Journal Article An intertemporal CAPM with stochastic volatility, Journal of Financial Economics, Elsevier (2018) Downloads View citations (75) (2018)
  2. Do the Rich Get Richer in the Stock Market? Evidence from India
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) Downloads View citations (6)

    See also Journal Article Do the Rich Get Richer in the Stock Market? Evidence from India, American Economic Review: Insights, American Economic Association (2019) Downloads View citations (32) (2019)
  3. Macroeconomic Drivers of Bond and Equity Risks
    Harvard Business School Working Papers, Harvard Business School Downloads View citations (9)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (16)

    See also Journal Article Macroeconomic Drivers of Bond and Equity Risks, Journal of Political Economy, University of Chicago Press (2020) Downloads View citations (47) (2020)

2016

  1. International Comparative Household Finance
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (86)
    Also in Scholarly Articles, Harvard University Department of Economics (2016) Downloads View citations (86)

    See also Journal Article International Comparative Household Finance, Annual Review of Economics, Annual Reviews (2016) Downloads View citations (86) (2016)
  2. Restoring Rational Choice: The Challenge of Consumer Financial Regulation
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (107)
    Also in Working Paper Series, European Central Bank (2016) Downloads View citations (92)
    NBER Working Papers, National Bureau of Economic Research, Inc (2016) Downloads View citations (94)

    See also Journal Article Restoring Rational Choice: The Challenge of Consumer Financial Regulation, American Economic Review, American Economic Association (2016) Downloads View citations (106) (2016)

2015

  1. A Model of Mortgage Default
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (133)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (36)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads View citations (9)

    See also Journal Article A Model of Mortgage Default, Journal of Finance, American Finance Association (2015) Downloads View citations (132) (2015)
  2. Inattention and Inertia in Household Finance: Evidence from the Danish Mortgage Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (59)
    Also in Scholarly Articles, Harvard University Department of Economics (2014) Downloads View citations (14)
  3. Rethinking Mortgage Design
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  4. Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
    See also Journal Article Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market, American Economic Review, American Economic Association (2020) Downloads View citations (49) (2020)
  5. The Impact of Regulation on Mortgage Risk: Evidence from India
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (20)
    See also Journal Article The Impact of Regulation on Mortgage Risk: Evidence from India, American Economic Journal: Economic Policy, American Economic Association (2015) Downloads View citations (20) (2015)

2014

  1. Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (28)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (29)
  2. Monetary Policy Drivers of Bond and Equity Risks
    2014 Meeting Papers, Society for Economic Dynamics Downloads View citations (67)
  3. What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable Rate Mortgages
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (11)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (11)

    See also Journal Article What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable-Rate Mortgages, Management Science, INFORMS (2018) Downloads View citations (30) (2018)

2013

  1. Hard Times
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (2)

    See also Journal Article Hard Times, The Review of Asset Pricing Studies, Society for Financial Studies (2013) Downloads View citations (7) (2013)

2012

  1. Down or Out: Assessing The Welfare Costs of Household Investment Mistakes
    Working Papers, HAL
    Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2006) Downloads View citations (30)
    Working Papers, HAL (2012)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2006) Downloads View citations (22)
    Post-Print, HAL (2007) View citations (455)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (30)
    Scholarly Articles, Harvard University Department of Economics (2007) Downloads View citations (462)
    HEC Research Papers Series, HEC Paris (2006) Downloads View citations (47)

    See also Journal Article Down or Out: Assessing the Welfare Costs of Household Investment Mistakes, Journal of Political Economy, University of Chicago Press (2007) Downloads View citations (463) (2007)
  2. How Do Regulators Influence Mortgage Risk: Evidence from an Emerging Market
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (9)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (9)
    NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (9)
  3. Mortgage Market Design
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (41)
    Also in Scholarly Articles, Harvard University Department of Economics (2012) Downloads View citations (42)

    See also Journal Article Mortgage Market Design*, Review of Finance, European Finance Association (2013) Downloads View citations (66) (2013)
  4. The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (185)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (47)

    See also Journal Article The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment, Critical Finance Review, now publishers (2012) Downloads View citations (175) (2012)

2011

  1. Consumer Financial Protection
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (113)
    See also Journal Article Consumer Financial Protection, Journal of Economic Perspectives, American Economic Association (2011) Downloads View citations (111) (2011)
  2. Forced Sales and House Prices
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (367)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (55)

    See also Journal Article Forced Sales and House Prices, American Economic Review, American Economic Association (2011) Downloads View citations (385) (2011)
  3. Investing and Spending: The Twin Challenges of University Endowment Management
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (3)
  4. Predicting Financial Distress and the Performance of Distressed Stocks
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (44)

2010

  1. Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (119)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (17)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) Downloads View citations (7)

    See also Journal Article Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns, The Review of Financial Studies, Society for Financial Studies (2010) Downloads View citations (120) (2010)
  2. The Regulation of Consumer Financial Products: An Introductory Essay with Four Case Studies
    Working Paper Series, Harvard University, John F. Kennedy School of Government Downloads View citations (19)

2009

  1. Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (107)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) Downloads View citations (8)

    See also Journal Article Caught on tape: Institutional trading, stock returns, and earnings announcements, Journal of Financial Economics, Elsevier (2009) Downloads View citations (107) (2009)
  2. Down and Out: Assessing the Welfare Costs of Household investment Mistakes
    Post-Print, HAL View citations (5)
  3. Fight Or Flight? Portfolio Rebalancing by Individual Investors
    Post-Print, HAL View citations (254)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (32)
    Scholarly Articles, Harvard University Department of Economics (2009) Downloads View citations (268)
    Post-Print, HAL (2009) View citations (255)

    See also Journal Article Fight or Flight? Portfolio Rebalancing by Individual Investors, The Quarterly Journal of Economics, President and Fellows of Harvard College (2009) Downloads View citations (271) (2009)
  4. Global Currency Hedging
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (17)

    See also Journal Article Global Currency Hedging, Journal of Finance, American Finance Association (2010) Downloads View citations (102) (2010)
  5. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (48)
    Also in 2008 Meeting Papers, Society for Economic Dynamics (2008) Downloads View citations (2)

    See also Journal Article Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds, Critical Finance Review, now publishers (2017) Downloads View citations (68) (2017)
  6. Measuring the Financial Sophistication of Households
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (189)
    Also in Scholarly Articles, Harvard University Department of Economics (2009) Downloads View citations (186)
    Post-Print, HAL (2009) View citations (180)

    See also Journal Article Measuring the Financial Sophistication of Households, American Economic Review, American Economic Association (2009) Downloads View citations (192) (2009)
  7. The Changing Role of Nominal Government Bonds in Asset Allocation
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (2)
  8. Understanding Inflation-Indexed Bond Markets
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (44)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (64)
    Scholarly Articles, Harvard University Department of Economics (2009) Downloads View citations (64)
    Yale School of Management Working Papers, Yale School of Management (2009) Downloads View citations (5)

    See also Journal Article Understanding Inflation-Indexed Bond Markets, Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution (2009) Downloads View citations (67) (2009)

2008

  1. Estimating the Equity Premium
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (156)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (5)
  2. In Search of Distress Risk
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (608)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (35)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) Downloads
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2005) Downloads View citations (38)

    See also Journal Article In Search of Distress Risk, Journal of Finance, American Finance Association (2008) Downloads View citations (607) (2008)
  3. Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (1121)
    See also Journal Article Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?, The Review of Financial Studies, Society for Financial Studies (2008) Downloads View citations (1134) (2008)

2007

  1. How Do House Prices Affect Consumption? Evidence from Micro Data
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (603)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) Downloads View citations (20)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2004) Downloads View citations (6)
    2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (21)
    2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (17)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (50)

    See also Journal Article How do house prices affect consumption? Evidence from micro data, Journal of Monetary Economics, Elsevier (2007) Downloads View citations (623) (2007)
  2. Intergenerational Risksharing and Equilibrium Asset Prices
    FMG Discussion Papers, Financial Markets Group Downloads View citations (14)
    Also in Scholarly Articles, Harvard University Department of Economics (2007) Downloads View citations (15)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (3)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (12)

    See also Journal Article Intergenerational risksharing and equilibrium asset prices, Journal of Monetary Economics, Elsevier (2007) Downloads View citations (16) (2007)

2006

  1. Efficient tests of stock return predictability
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (398)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (38)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) Downloads View citations (13)

    See also Journal Article Efficient tests of stock return predictability, Journal of Financial Economics, Elsevier (2006) Downloads View citations (441) (2006)
  2. Household Finance
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (465)
    Also in Scholarly Articles, Harvard University Department of Economics (2006) Downloads View citations (481)

    See also Journal Article Household Finance, Journal of Finance, American Finance Association (2006) Downloads View citations (468) (2006)

2005

  1. Caught On Tape: Institutional Order Flow and Stock Returns
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (8)
  2. Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (45)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) Downloads View citations (34)
  3. The Term Structure of the Risk-Return Tradeoff
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (66)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (71)
  4. The Term Structure of the Risk–Return Trade-Off
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (17)

2004

  1. Bad Beta, Good Beta
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (368)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) Downloads View citations (2)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (29)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2003) Downloads View citations (5)

    See also Journal Article Bad Beta, Good Beta, American Economic Review, American Economic Association (2004) Downloads View citations (392) (2004)
  2. Caught On Tape: Predicting Institutional Ownership With Order Flow
    Finance, University Library of Munich, Germany Downloads View citations (7)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2004) Downloads View citations (4)
  3. Household Risk Management and Optimal Mortgage Choice
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (1)
    Also in Scholarly Articles, Harvard University Department of Economics (2003) Downloads View citations (334)
    Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations (4)
    Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) Downloads View citations (1)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) Downloads View citations (4)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (328)

    See also Journal Article Household Risk Management and Optimal Mortgage Choice, The Quarterly Journal of Economics, President and Fellows of Harvard College (2003) Downloads View citations (330) (2003)
  4. Inflation Illusion and Stock Prices
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (175)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (177)

    See also Journal Article Inflation Illusion and Stock Prices, American Economic Review, American Economic Association (2004) Downloads View citations (176) (2004)
  5. Strategic Asset Allocation in a Continuous-Time VAR Model
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (39)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (3)

    See also Journal Article Strategic asset allocation in a continuous-time VAR model, Journal of Economic Dynamics and Control, Elsevier (2004) Downloads View citations (41) (2004)

2003

  1. A Multivariate Model of Strategic Asset Allocation
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (222)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (19)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (30)

    See also Journal Article A multivariate model of strategic asset allocation, Journal of Financial Economics, Elsevier (2003) Downloads View citations (228) (2003)
    Chapter A multivariate model of strategic asset allocation, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2013) Downloads (2013)
  2. Equity Volatility and Corporate Bond Yields
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (517)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2002) Downloads View citations (20)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) Downloads View citations (17)

    See also Journal Article Equity Volatility and Corporate Bond Yields, Journal of Finance, American Finance Association (2003) Downloads View citations (517) (2003)
  3. Foreign Currency for Long-Term Investors
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (20)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) Downloads View citations (3)

    See also Journal Article Foreign Currency for Long-Term Investors, Economic Journal, Royal Economic Society (2003) View citations (25) (2003)

2002

  1. Consumption-Based Asset Pricing
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads View citations (44)
    See also Chapter Consumption-based asset pricing, Handbook of the Economics of Finance, Elsevier (2003) Downloads View citations (440) (2003)

2001

  1. Elasticities of Substitution in Real Business Cycle Models with Home Production
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (57)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) Downloads View citations (7)
    NBER Working Papers, National Bureau of Economic Research, Inc (1998) Downloads View citations (2)
    Research Paper, Federal Reserve Bank of New York (1997) Downloads View citations (2)

    See also Journal Article Elasticities of Substitution in Real Business Cycle Models with Home Protection, Journal of Money, Credit and Banking, Blackwell Publishing (2001) View citations (57) (2001)
  2. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (992)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) Downloads View citations (138)

    See also Journal Article Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk, Journal of Finance, American Finance Association (2001) Downloads View citations (1005) (2001)
  3. Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (27)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations (13)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) Downloads

    See also Journal Article Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor, Review of Finance, European Finance Association (2001) Downloads View citations (26) (2001)
  4. Valuation Ratios and the Long-Run Stock Market Outlook: An Update
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (162)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2001) Downloads View citations (149)
  5. Who Should Buy Long-Term Bonds?
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (241)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) Downloads View citations (45)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) Downloads View citations (5)
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (1998) Downloads View citations (14)

    See also Journal Article Who Should Buy Long-Term Bonds?, American Economic Review, American Economic Association (2001) Downloads View citations (257) (2001)
  6. Why Long Horizons? A Study of Power Against Persistent Alternatives
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (64)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1993) Downloads View citations (8)

    See also Journal Article Why long horizons? A study of power against persistent alternatives, Journal of Empirical Finance, Elsevier (2001) Downloads View citations (65) (2001)

2000

  1. Asset Pricing at the Millennium
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (277)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) Downloads View citations (283)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) Downloads View citations (256)

    See also Journal Article Asset Pricing at the Millennium, Journal of Finance, American Finance Association (2000) Downloads View citations (280) (2000)
  2. Explaining the Poor Performance of Consumption-Based Asset Pricing Models
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (121)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) Downloads View citations (16)

    See also Journal Article Explaining the Poor Performance of Consumption‐based Asset Pricing Models, Journal of Finance, American Finance Association (2000) Downloads View citations (94) (2000)
  3. Investing Retirement Wealth? A Life-Cycle Model
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads View citations (9)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) Downloads View citations (46)

    See also Chapter Investing Retirement Wealth: A Life-Cycle Model, NBER Chapters, National Bureau of Economic Research, Inc (2001) Downloads View citations (114) (2001)

1999

  1. By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (2367)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1994) Downloads View citations (211)
    Working Papers, Federal Reserve Bank of Philadelphia (1994) View citations (21)
    NBER Working Papers, National Bureau of Economic Research, Inc (1995) Downloads View citations (113)

    See also Journal Article Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior, Journal of Political Economy, University of Chicago Press (1999) Downloads View citations (2414) (1999)
  2. Consumption and Portfolio Decisions When Expected Returns are Time Varying
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (446)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1998) View citations (24)
    NBER Working Papers, National Bureau of Economic Research, Inc (1996) Downloads View citations (15)

    See also Journal Article Consumption and Portfolio Decisions when Expected Returns are Time Varying, The Quarterly Journal of Economics, President and Fellows of Harvard College (1999) Downloads View citations (451) (1999)
  3. Dispersion and Volatility in Stock Returns: An Empirical Investigation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) Downloads View citations (6)

1998

  1. Asset Prices, Consumption, and the Business Cycle
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (39)
    See also Chapter Asset prices, consumption, and the business cycle, Handbook of Macroeconomics, Elsevier (1999) Downloads View citations (357) (1999)

1997

  1. Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (89)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) Downloads View citations (36)
    CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University

1996

  1. A Scorecard for Indexed Government Data
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (22)
  2. A Scorecard for Indexed Government Debt
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (87)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1996) Downloads View citations (87)

    See also Chapter A Scorecard for Indexed Government Debt, NBER Chapters, National Bureau of Economic Research, Inc (1996) Downloads View citations (85) (1996)
  3. Consumption and the Stock Market: Interpreting International Experience
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (28)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) Downloads View citations (33)
  4. Understanding Risk and Return
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (773)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1995) View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (1993) Downloads View citations (15)

    See also Journal Article Understanding Risk and Return, Journal of Political Economy, University of Chicago Press (1996) Downloads View citations (770) (1996)

1995

  1. 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 (2)
  2. Some Lessons from the Yield Curve
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (197)
    Also in Scholarly Articles, Harvard University Department of Economics (1995) Downloads View citations (199)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1995) View citations (190)

    See also Journal Article Some Lessons from the Yield Curve, Journal of Economic Perspectives, American Economic Association (1995) Downloads View citations (197) (1995)

1994

  1. Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (228)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) Downloads View citations (1)

    See also Journal Article Inspecting the mechanism: An analytical approach to the stochastic growth model, Journal of Monetary Economics, Elsevier (1994) Downloads View citations (228) (1994)
  2. Models of the term structure of interest rates
    Working Papers, Federal Reserve Bank of Philadelphia View citations (5)

1993

  1. International Experiences with Securities Transaction Taxes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (18)
    See also Chapter International Experiences with Securities Transaction Taxes, NBER Chapters, National Bureau of Economic Research, Inc (1994) Downloads View citations (34) (1994)
  2. Intertemporal Asset Pricing Without Consumption Data
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (447)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) Downloads View citations (5)

    See also Journal Article Intertemporal Asset Pricing without Consumption Data, American Economic Review, American Economic Association (1993) Downloads View citations (452) (1993)
  3. Smart Money, Noise Trading and Stock Price Behaviour
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (186)
    Also in Working Papers, Princeton, Department of Economics - Financial Research Center (1988) View citations (38)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1988) Downloads View citations (18)

    See also Journal Article Smart Money, Noise Trading and Stock Price Behaviour, The Review of Economic Studies, Review of Economic Studies Ltd (1993) Downloads View citations (187) (1993)
  4. Trading Volume and Serial Correlation in Stock Returns
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (609)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) Downloads View citations (13)

    See also Journal Article Trading Volume and Serial Correlation in Stock Returns, The Quarterly Journal of Economics, President and Fellows of Harvard College (1993) Downloads View citations (614) (1993)
  5. What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (533)
    Also in Working Papers, Princeton, Department of Economics - Financial Research Center (1991) View citations (6)
    NBER Working Papers, National Bureau of Economic Research, Inc (1991) Downloads View citations (6)

    See also Journal Article What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns, Journal of Finance, American Finance Association (1993) Downloads View citations (525) (1993)
  6. Where Do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (75)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) Downloads View citations (74)

1992

  1. No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (850)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1991) Downloads View citations (34)

    See also Journal Article No news is good news *1: An asymmetric model of changing volatility in stock returns, Journal of Financial Economics, Elsevier (1992) Downloads View citations (810) (1992)
  2. Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (247)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) Downloads View citations (10)

    See also Journal Article Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration, Journal of Finance, American Finance Association (1992) Downloads View citations (239) (1992)

1991

  1. A Variance Decomposition for Stock Returns
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (805)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1990) Downloads View citations (328)

    See also Journal Article A Variance Decomposition for Stock Returns, Economic Journal, Royal Economic Society (1991) Downloads View citations (801) (1991)
  2. Pitfalls and Opportunities: What Macroeconomics should know about unit roots
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (338)
    Also in Scholarly Articles, Harvard University Department of Economics (1991) Downloads View citations (1074)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1991) Downloads View citations (1039)

    See also Chapter Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots, NBER Chapters, National Bureau of Economic Research, Inc (1991) Downloads View citations (1034) (1991)
  3. Yield Spreads and Interest Rate Movements: A Bird's Eye View
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (870)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) Downloads View citations (296)

    See also Journal Article Yield Spreads and Interest Rate Movements: A Bird's Eye View, The Review of Economic Studies, Review of Economic Studies Ltd (1991) Downloads View citations (862) (1991)

1990

  1. AN ASYMMETRIC MODEL OF CHANGING VOLATILITY IN STOCK RETURNS
    Working Papers, Princeton, Department of Economics - Financial Research Center View citations (3)
  2. Measuring the Persistence of Expected Returns
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (27)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1990) Downloads View citations (26)

    See also Journal Article Measuring the Persistence of Expected Returns, American Economic Review, American Economic Association (1990) Downloads View citations (27) (1990)
  3. Permanent Income, Current Income, and Consumption
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (416)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) Downloads View citations (33)

    See also Journal Article Permanent Income, Current Income, and Consumption, Journal of Business & Economic Statistics, American Statistical Association (1990) View citations (415) (1990)
  4. 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 (9)
    See also Journal Article U.S. Corporate Leverage: Developments in 1987 and 1988, Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution (1990) Downloads View citations (6) (1990)

1989

  1. Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1234)
    See also Chapter Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence, NBER Chapters, National Bureau of Economic Research, Inc (1989) Downloads View citations (1208) (1989)
  2. International Evidence on the Persistence of Economic Fluctuations
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (105)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1988) Downloads View citations (59)

    See also Journal Article International evidence on the persistence of economic fluctuations, Journal of Monetary Economics, Elsevier (1989) Downloads View citations (105) (1989)
  3. Why Is Consumption So Smooth?
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (356)
    See also Journal Article Why is Consumption So Smooth?, The Review of Economic Studies, Review of Economic Studies Ltd (1989) Downloads View citations (360) (1989)

1988

  1. Interpreting Cointegrated Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (71)
    Also in Scholarly Articles, Harvard University Department of Economics (1988) Downloads View citations (79)

    See also Journal Article Interpreting cointegrated models, Journal of Economic Dynamics and Control, Elsevier (1988) Downloads View citations (80) (1988)
  2. 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 (7)
  3. STOCK PRICES, EARNINGS AND EXPECTED DIVIDENDS
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (884)
    Also in Scholarly Articles, Harvard University Department of Economics (1988) Downloads View citations (947)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1988) Downloads View citations (928)
    NBER Working Papers, National Bureau of Economic Research, Inc (1988) Downloads View citations (869)
  4. The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article The dividend ratio model and small sample bias: A Monte Carlo study, Economics Letters, Elsevier (1989) Downloads View citations (14) (1989)

1987

  1. Are Output Fluctuations Transitory?
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (368)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1986) Downloads View citations (12)

    See also Journal Article Are Output Fluctuations Transitory?, The Quarterly Journal of Economics, President and Fellows of Harvard College (1987) Downloads View citations (388) (1987)
  2. Cointegration and Tests of Present Value Models
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (1197)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1986) Downloads View citations (6)
    NBER Working Papers, National Bureau of Economic Research, Inc (1986) Downloads View citations (14)

    See also Journal Article Cointegration and Tests of Present Value Models, Journal of Political Economy, University of Chicago Press (1987) Downloads View citations (1195) (1987)
  3. Household Saving and Permanent Income in Canada and the United Kingdom
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
  4. Is Consumption Too Smooth?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
  5. Money Announcements, The Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (56)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1986) Downloads View citations (36)

    See also Journal Article 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, Blackwell Publishing (1987) Downloads View citations (59) (1987)
  6. Permanent and Transitory Components in Macroeconomic Fluctuations
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (95)
    Also in Scholarly Articles, Harvard University Department of Economics (1987) Downloads View citations (92)

    See also Journal Article Permanent and Transitory Components in Macroeconomic Fluctuations, American Economic Review, American Economic Association (1987) Downloads View citations (98) (1987)
  7. Stock Returns and the Term Structure
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (971)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1985) Downloads View citations (10)

    See also Journal Article Stock returns and the term structure, Journal of Financial Economics, Elsevier (1987) Downloads View citations (956) (1987)
  8. The Dollar and Real Interest Rates
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (103)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) Downloads View citations (105)

    See also Journal Article The dollar and real interest rates, Carnegie-Rochester Conference Series on Public Policy, Elsevier (1987) Downloads View citations (103) (1987)
  9. The Term Structure of Euromarket Interest Rates: An Empirical Investigation
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (43)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1986) Downloads View citations (26)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1986) Downloads View citations (4)

    See also Journal Article The term structure of euromarket interest rates: An empirical investigation, Journal of Monetary Economics, Elsevier (1987) Downloads View citations (45) (1987)

1986

  1. A Defense of Traditional Hypotheses about the Term Structure of Interest Rates
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (60)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1984) Downloads View citations (25)

    See also Journal Article A Defense of Traditional Hypotheses about the Term Structure of Interest Rates, Journal of Finance, American Finance Association (1986) Downloads View citations (57) (1986)
  2. Bond and Stock Returns in a Simple Exchange Model
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (113)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1984) Downloads View citations (3)

    See also Journal Article Bond and Stock Returns in a Simple Exchange Model, The Quarterly Journal of Economics, President and Fellows of Harvard College (1986) Downloads View citations (117) (1986)
  3. Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis, Econometrica, Econometric Society (1987) Downloads View citations (427) (1987)
  4. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1986) Downloads View citations (55)

    See also Journal Article The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors, The Review of Financial Studies, Society for Financial Studies (1988) Downloads View citations (1834) (1988)

1984

  1. A Simple Account of the Behavior of Long-Term Interest Rates
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (49)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1983) Downloads View citations (5)

    See also Journal Article A Simple Account of the Behavior of Long-Term Interest Rates, American Economic Review, American Economic Association (1984) Downloads View citations (45) (1984)

1983

  1. Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (305)
    See also Journal Article Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates, Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution (1983) Downloads View citations (332) (1983)

Journal Articles

2023

  1. Idiosyncratic Equity Risk Two Decades Later
    Critical Finance Review, 2023, 12, (1-4), 203-223 Downloads
    See also Working Paper Idiosyncratic Equity Risk Two Decades Later, NBER Working Papers (2022) Downloads View citations (2) (2022)
  2. Who Owns What? A Factor Model for Direct Stockholding
    Journal of Finance, 2023, 78, (3), 1545-1591 Downloads View citations (2)
    See also Working Paper Who Owns What? A Factor Model for Direct Stock Holding, NBER Working Papers (2021) Downloads View citations (3) (2021)

2022

  1. Portfolio choice with sustainable spending: A model of reaching for yield
    Journal of Financial Economics, 2022, 143, (1), 188-206 Downloads View citations (10)
    See also Working Paper Portfolio Choice with Sustainable Spending: A Model of Reaching for Yield, NBER Working Papers (2020) Downloads View citations (5) (2020)

2021

  1. Structuring Mortgages for Macroeconomic Stability
    Journal of Finance, 2021, 76, (5), 2525-2576 Downloads View citations (9)
    See also Working Paper Structuring Mortgages for Macroeconomic Stability, NBER Working Papers (2020) Downloads View citations (6) (2020)

2020

  1. Macroeconomic Drivers of Bond and Equity Risks
    Journal of Political Economy, 2020, 128, (8), 3148 - 3185 Downloads View citations (47)
    See also Working Paper Macroeconomic Drivers of Bond and Equity Risks, Harvard Business School Working Papers (2018) Downloads View citations (9) (2018)
  2. Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market
    American Economic Review, 2020, 110, (10), 3184-3230 Downloads View citations (49)
    See also Working Paper Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market, NBER Working Papers (2015) Downloads View citations (22) (2015)

2019

  1. Do the Rich Get Richer in the Stock Market? Evidence from India
    American Economic Review: Insights, 2019, 1, (2), 225-40 Downloads View citations (32)
    See also Working Paper Do the Rich Get Richer in the Stock Market? Evidence from India, CEPR Discussion Papers (2018) Downloads View citations (4) (2018)

2018

  1. An intertemporal CAPM with stochastic volatility
    Journal of Financial Economics, 2018, 128, (2), 207-233 Downloads View citations (75)
    See also Working Paper An Intertemporal CAPM with stochastic volatility, LSE Research Online Documents on Economics (2018) Downloads View citations (75) (2018)
  2. What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable-Rate Mortgages
    Management Science, 2018, 64, (5), 2275-2288 Downloads View citations (30)
    See also Working Paper What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable Rate Mortgages, CEPR Discussion Papers (2014) Downloads View citations (11) (2014)

2017

  1. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
    Critical Finance Review, 2017, 6, (2), 263-301 Downloads View citations (68)
    See also Working Paper Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds, NBER Working Papers (2009) Downloads View citations (48) (2009)

2016

  1. International Comparative Household Finance
    Annual Review of Economics, 2016, 8, (1), 111-144 Downloads View citations (86)
    See also Working Paper International Comparative Household Finance, NBER Working Papers (2016) Downloads View citations (86) (2016)
  2. Restoring Rational Choice: The Challenge of Consumer Financial Regulation
    American Economic Review, 2016, 106, (5), 1-30 Downloads View citations (106)
    See also Working Paper Restoring Rational Choice: The Challenge of Consumer Financial Regulation, Scholarly Articles (2016) Downloads View citations (107) (2016)

2015

  1. A Model of Mortgage Default
    Journal of Finance, 2015, 70, (4), 1495-1554 Downloads View citations (132)
    See also Working Paper A Model of Mortgage Default, Scholarly Articles (2015) Downloads View citations (133) (2015)
  2. The Fragile Benefits of Endowment Destruction
    Journal of Political Economy, 2015, 123, (5), 1214 - 1226 Downloads
  3. The Impact of Regulation on Mortgage Risk: Evidence from India
    American Economic Journal: Economic Policy, 2015, 7, (4), 71-102 Downloads View citations (20)
    See also Working Paper The Impact of Regulation on Mortgage Risk: Evidence from India, Scholarly Articles (2015) Downloads View citations (20) (2015)

2014

  1. Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller
    Scandinavian Journal of Economics, 2014, 116, (3), 593-634 Downloads View citations (33)

2013

  1. Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group
    Journal of Applied Corporate Finance, 2013, 25, (4), 37-40 Downloads View citations (6)
  2. Hard Times
    The Review of Asset Pricing Studies, 2013, 3, (1), 95-132 Downloads View citations (7)
    See also Working Paper Hard Times, Scholarly Articles (2013) Downloads View citations (15) (2013)
  3. Mortgage Market Design*
    Review of Finance, 2013, 17, (1), 1-33 Downloads View citations (66)
    See also Working Paper Mortgage Market Design, NBER Working Papers (2012) Downloads View citations (41) (2012)
  4. Predicting asset prices
    Nature, 2013, 504, (7478), 97-97 Downloads

2012

  1. The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
    Critical Finance Review, 2012, 1, (1), 141-182 Downloads View citations (175)
    See also Working Paper The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment, Scholarly Articles (2012) Downloads View citations (185) (2012)

2011

  1. Consumer Financial Protection
    Journal of Economic Perspectives, 2011, 25, (1), 91-114 Downloads View citations (111)
    See also Working Paper Consumer Financial Protection, Scholarly Articles (2011) Downloads View citations (113) (2011)
  2. Forced Sales and House Prices
    American Economic Review, 2011, 101, (5), 2108-31 Downloads View citations (385)
    See also Working Paper Forced Sales and House Prices, Scholarly Articles (2011) Downloads View citations (367) (2011)

2010

  1. Global Currency Hedging
    Journal of Finance, 2010, 65, (1), 87-121 Downloads View citations (102)
    See also Working Paper Global Currency Hedging, Scholarly Articles (2009) Downloads View citations (1) (2009)
  2. Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
    The Review of Financial Studies, 2010, 23, (1), 305-344 Downloads View citations (120)
    Also in Proceedings, 2005 (2005) Downloads View citations (6)

    See also Working Paper Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns, Scholarly Articles (2010) Downloads View citations (119) (2010)
  3. The Squam Lake Report: Fixing the Financial System
    Journal of Applied Corporate Finance, 2010, 22, (3), 8-21 Downloads View citations (119)
    See also Book The Squam Lake Report: Fixing the Financial System, Economics Books, 2010 (2010) View citations (109) (2010)

2009

  1. Caught on tape: Institutional trading, stock returns, and earnings announcements
    Journal of Financial Economics, 2009, 92, (1), 66-91 Downloads View citations (107)
    See also Working Paper Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements, Scholarly Articles (2009) Downloads View citations (107) (2009)
  2. Fight or Flight? Portfolio Rebalancing by Individual Investors
    The Quarterly Journal of Economics, 2009, 124, (1), 301-348 Downloads View citations (271)
    See also Working Paper Fight Or Flight? Portfolio Rebalancing by Individual Investors, Post-Print (2009) View citations (254) (2009)
  3. Measuring the Financial Sophistication of Households
    American Economic Review, 2009, 99, (2), 393-98 Downloads View citations (192)
    See also Working Paper Measuring the Financial Sophistication of Households, NBER Working Papers (2009) Downloads View citations (189) (2009)
  4. The Changing Role of Nominal Government Bonds in Asset Allocation&ast
    The Geneva Risk and Insurance Review, 2009, 34, (2), 89-104 Downloads View citations (1)
  5. Understanding Inflation-Indexed Bond Markets
    Brookings Papers on Economic Activity, 2009, 40, (1 (Spring)), 79-138 Downloads View citations (67)
    See also Working Paper Understanding Inflation-Indexed Bond Markets, Cowles Foundation Discussion Papers (2009) Downloads View citations (44) (2009)

2008

  1. In Search of Distress Risk
    Journal of Finance, 2008, 63, (6), 2899-2939 Downloads View citations (607)
    See also Working Paper In Search of Distress Risk, Scholarly Articles (2008) Downloads View citations (608) (2008)
  2. Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
    The Review of Financial Studies, 2008, 21, (4), 1509-1531 Downloads View citations (1134)
    See also Working Paper Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?, Scholarly Articles (2008) Downloads View citations (1121) (2008)
  3. Viewpoint: Estimating the equity premium
    Canadian Journal of Economics/Revue canadienne d'économique, 2008, 41, (1), 1-21 Downloads View citations (141)
    Also in Canadian Journal of Economics, 2008, 41, (1), 1-21 (2008) View citations (157)

2007

  1. Down or Out: Assessing the Welfare Costs of Household Investment Mistakes
    Journal of Political Economy, 2007, 115, (5), 707-747 Downloads View citations (463)
    See also Working Paper Down or Out: Assessing The Welfare Costs of Household Investment Mistakes, Working Papers (2012) (2012)
  2. How do house prices affect consumption? Evidence from micro data
    Journal of Monetary Economics, 2007, 54, (3), 591-621 Downloads View citations (623)
    See also Working Paper How Do House Prices Affect Consumption? Evidence from Micro Data, Scholarly Articles (2007) Downloads View citations (603) (2007)
  3. Intergenerational risksharing and equilibrium asset prices
    Journal of Monetary Economics, 2007, 54, (8), 2251-2268 Downloads View citations (16)
    See also Working Paper Intergenerational Risksharing and Equilibrium Asset Prices, FMG Discussion Papers (2007) Downloads View citations (14) (2007)

2006

  1. Efficient tests of stock return predictability
    Journal of Financial Economics, 2006, 81, (1), 27-60 Downloads View citations (441)
    See also Working Paper Efficient tests of stock return predictability, Scholarly Articles (2006) Downloads View citations (398) (2006)
  2. Household Finance
    Journal of Finance, 2006, 61, (4), 1553-1604 Downloads View citations (468)
    See also Working Paper Household Finance, NBER Working Papers (2006) Downloads View citations (465) (2006)

2004

  1. Bad Beta, Good Beta
    American Economic Review, 2004, 94, (5), 1249-1275 Downloads View citations (392)
    See also Working Paper Bad Beta, Good Beta, Scholarly Articles (2004) Downloads View citations (368) (2004)
  2. Inflation Illusion and Stock Prices
    American Economic Review, 2004, 94, (2), 19-23 Downloads View citations (176)
    See also Working Paper Inflation Illusion and Stock Prices, Scholarly Articles (2004) Downloads View citations (175) (2004)
  3. Strategic asset allocation in a continuous-time VAR model
    Journal of Economic Dynamics and Control, 2004, 28, (11), 2195-2214 Downloads View citations (41)
    See also Working Paper Strategic Asset Allocation in a Continuous-Time VAR Model, Scholarly Articles (2004) Downloads View citations (39) (2004)

2003

  1. A multivariate model of strategic asset allocation
    Journal of Financial Economics, 2003, 67, (1), 41-80 Downloads View citations (228)
    See also Working Paper A Multivariate Model of Strategic Asset Allocation, Scholarly Articles (2003) Downloads View citations (222) (2003)
    Chapter A multivariate model of strategic asset allocation, World Scientific Book Chapters, 2013, 809-848 (2013) Downloads (2013)
  2. Equity Volatility and Corporate Bond Yields
    Journal of Finance, 2003, 58, (6), 2321-2350 Downloads View citations (517)
    See also Working Paper Equity Volatility and Corporate Bond Yields, Scholarly Articles (2003) Downloads View citations (517) (2003)
  3. Foreign Currency for Long-Term Investors
    Economic Journal, 2003, 113, (486), C1-C25 View citations (25)
    See also Working Paper Foreign Currency for Long-Term Investors, Scholarly Articles (2003) Downloads View citations (20) (2003)
  4. Household Risk Management and Optimal Mortgage Choice
    The Quarterly Journal of Economics, 2003, 118, (4), 1449-1494 Downloads View citations (330)
    See also Working Paper Household Risk Management and Optimal Mortgage Choice, Econometric Society 2004 North American Winter Meetings (2004) Downloads View citations (1) (2004)
  5. Two Puzzles of Asset Pricing and Their Implications for Investors
    The American Economist, 2003, 47, (1), 48-74 Downloads View citations (2)

2001

  1. A Comment On James M. Poterba'S "Demographic Structure And Asset Returns"
    The Review of Economics and Statistics, 2001, 83, (4), 585-588 Downloads View citations (7)
  2. Elasticities of Substitution in Real Business Cycle Models with Home Protection
    Journal of Money, Credit and Banking, 2001, 33, (4), 847-75 View citations (57)
    See also Working Paper Elasticities of Substitution in Real Business Cycle Models with Home Production, Scholarly Articles (2001) Downloads View citations (57) (2001)
  3. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
    Journal of Finance, 2001, 56, (1), 1-43 Downloads View citations (1005)
    See also Working Paper Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk, Scholarly Articles (2001) Downloads View citations (992) (2001)
  4. Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
    Review of Finance, 2001, 5, (3), 269-292 Downloads View citations (26)
    See also Working Paper Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor, Scholarly Articles (2001) Downloads View citations (27) (2001)
  5. Who Should Buy Long-Term Bonds?
    American Economic Review, 2001, 91, (1), 99-127 Downloads View citations (257)
    See also Working Paper Who Should Buy Long-Term Bonds?, Scholarly Articles (2001) Downloads View citations (241) (2001)
  6. Why long horizons? A study of power against persistent alternatives
    Journal of Empirical Finance, 2001, 8, (5), 459-491 Downloads View citations (65)
    See also Working Paper Why Long Horizons? A Study of Power Against Persistent Alternatives, Scholarly Articles (2001) Downloads View citations (64) (2001)

2000

  1. Asset Pricing at the Millennium
    Journal of Finance, 2000, 55, (4), 1515-1567 Downloads View citations (280)
    See also Working Paper Asset Pricing at the Millennium, Scholarly Articles (2000) Downloads View citations (277) (2000)
  2. Comment on Low Inflation: The Behavior of Financial Markets and Institutions
    Journal of Money, Credit and Banking, 2000, 32, (4), 1088-92 View citations (1)
  3. Explaining the Poor Performance of Consumption‐based Asset Pricing Models
    Journal of Finance, 2000, 55, (6), 2863-2878 Downloads View citations (94)
    See also Working Paper Explaining the Poor Performance of Consumption-Based Asset Pricing Models, Scholarly Articles (2000) Downloads View citations (121) (2000)

1999

  1. Consumption and Portfolio Decisions when Expected Returns are Time Varying
    The Quarterly Journal of Economics, 1999, 114, (2), 433-495 Downloads View citations (451)
    See also Working Paper Consumption and Portfolio Decisions When Expected Returns are Time Varying, Scholarly Articles (1999) Downloads View citations (446) (1999)
  2. Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    Journal of Political Economy, 1999, 107, (2), 205-251 Downloads View citations (2414)
    See also Working Paper By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior, Scholarly Articles (1999) Downloads View citations (2367) (1999)

1998

  1. THE ECONOMETRICS OF FINANCIAL MARKETS
    Macroeconomic Dynamics, 1998, 2, (4), 559-562 Downloads View citations (50)

1997

  1. 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 Downloads View citations (28)

1996

  1. Understanding Risk and Return
    Journal of Political Economy, 1996, 104, (2), 298-345 Downloads View citations (770)
    See also Working Paper Understanding Risk and Return, Scholarly Articles (1996) Downloads View citations (773) (1996)

1995

  1. Remarks: some thoughts on systemic risk
    Proceedings, 1995, 557-561
  2. Some Lessons from the Yield Curve
    Journal of Economic Perspectives, 1995, 9, (3), 129-152 Downloads View citations (197)
    See also Working Paper Some Lessons from the Yield Curve, NBER Working Papers (1995) Downloads View citations (197) (1995)

1994

  1. Inspecting the mechanism: An analytical approach to the stochastic growth model
    Journal of Monetary Economics, 1994, 33, (3), 463-506 Downloads View citations (228)
    See also Working Paper Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model, Scholarly Articles (1994) Downloads View citations (228) (1994)
  2. The New Palgrave Dictionary of Money and Finance
    Journal of Economic Literature, 1994, 32, (2), 667-73 Downloads View citations (5)

1993

  1. A Note on Johansen's Cointegration Procedure When Trends Are Present
    Empirical Economics, 1993, 18, (4), 777-89 View citations (39)
  2. Intertemporal Asset Pricing without Consumption Data
    American Economic Review, 1993, 83, (3), 487-512 Downloads View citations (452)
    See also Working Paper Intertemporal Asset Pricing Without Consumption Data, Scholarly Articles (1993) Downloads View citations (447) (1993)
  3. Smart Money, Noise Trading and Stock Price Behaviour
    The Review of Economic Studies, 1993, 60, (1), 1-34 Downloads View citations (187)
    See also Working Paper Smart Money, Noise Trading and Stock Price Behaviour, Scholarly Articles (1993) Downloads View citations (186) (1993)
  4. Trading Volume and Serial Correlation in Stock Returns
    The Quarterly Journal of Economics, 1993, 108, (4), 905-939 Downloads View citations (614)
    See also Working Paper Trading Volume and Serial Correlation in Stock Returns, Scholarly Articles (1993) Downloads View citations (609) (1993)
  5. What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
    Journal of Finance, 1993, 48, (1), 3-37 Downloads View citations (525)
    See also Working Paper What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns, Scholarly Articles (1993) Downloads View citations (533) (1993)
  6. Where Do Betas Come From? Asset Price Dynamics and the
    The Review of Financial Studies, 1993, 6, (3), 567-92 Downloads View citations (75)

1992

  1. No news is good news *1: An asymmetric model of changing volatility in stock returns
    Journal of Financial Economics, 1992, 31, (3), 281-318 Downloads View citations (810)
    See also Working Paper No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns, Scholarly Articles (1992) Downloads View citations (850) (1992)
  2. 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 Downloads View citations (239)
    See also Working Paper Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration, Scholarly Articles (1992) Downloads View citations (247) (1992)
  3. Racines unitaires en macroéconomie: le cas multidimensionnel
    Annals of Economics and Statistics, 1992, (27), 1-50 Downloads View citations (7)

1991

  1. A Variance Decomposition for Stock Returns
    Economic Journal, 1991, 101, (405), 157-79 Downloads View citations (801)
    See also Working Paper A Variance Decomposition for Stock Returns, Scholarly Articles (1991) Downloads View citations (805) (1991)
  2. 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 Downloads
  3. The response of consumption to income: A cross-country investigation
    European Economic Review, 1991, 35, (4), 723-756 Downloads View citations (296)
  4. Yield Spreads and Interest Rate Movements: A Bird's Eye View
    The Review of Economic Studies, 1991, 58, (3), 495-514 Downloads View citations (862)
    See also Working Paper Yield Spreads and Interest Rate Movements: A Bird's Eye View, Scholarly Articles (1991) Downloads View citations (870) (1991)

1990

  1. Editors' introduction
    Journal of Econometrics, 1990, 45, (1-2), 1-5 Downloads
  2. Measuring the Persistence of Expected Returns
    American Economic Review, 1990, 80, (2), 43-47 Downloads View citations (27)
    See also Working Paper Measuring the Persistence of Expected Returns, Scholarly Articles (1990) Downloads View citations (27) (1990)
  3. Permanent Income, Current Income, and Consumption
    Journal of Business & Economic Statistics, 1990, 8, (3), 265-79 View citations (415)
    See also Working Paper Permanent Income, Current Income, and Consumption, Scholarly Articles (1990) Downloads View citations (416) (1990)
  4. U.S. Corporate Leverage: Developments in 1987 and 1988
    Brookings Papers on Economic Activity, 1990, 21, (1), 255-286 Downloads View citations (6)
    See also Working Paper U.S. corporate leverage: developments in 1987 and 1988, Finance and Economics Discussion Series (1990) View citations (9) (1990)

1989

  1. Finance theory and the term structure a comment
    Carnegie-Rochester Conference Series on Public Policy, 1989, 31, (1), 177-184 Downloads
  2. International evidence on the persistence of economic fluctuations
    Journal of Monetary Economics, 1989, 23, (2), 319-333 Downloads View citations (105)
    See also Working Paper International Evidence on the Persistence of Economic Fluctuations, Scholarly Articles (1989) Downloads View citations (105) (1989)
  3. The dividend ratio model and small sample bias: A Monte Carlo study
    Economics Letters, 1989, 29, (4), 325-331 Downloads View citations (14)
    See also Working Paper The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study, NBER Technical Working Papers (1988) Downloads View citations (3) (1988)
  4. Why is Consumption So Smooth?
    The Review of Economic Studies, 1989, 56, (3), 357-373 Downloads View citations (360)
    See also Working Paper Why Is Consumption So Smooth?, Scholarly Articles (1989) Downloads View citations (356) (1989)

1988

  1. Interpreting cointegrated models
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 505-522 Downloads View citations (80)
    See also Working Paper Interpreting Cointegrated Models, NBER Working Papers (1988) Downloads View citations (71) (1988)
  2. Is There a Corporate Debt Crisis?
    Brookings Papers on Economic Activity, 1988, 19, (1), 83-140 Downloads View citations (83)
  3. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
    The Review of Financial Studies, 1988, 1, (3), 195-228 Downloads View citations (1834)
    See also Working Paper The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors, Cowles Foundation Discussion Papers (1986) Downloads View citations (5) (1986)

1987

  1. Are Output Fluctuations Transitory?
    The Quarterly Journal of Economics, 1987, 102, (4), 857-880 Downloads View citations (388)
    See also Working Paper Are Output Fluctuations Transitory?, Scholarly Articles (1987) Downloads View citations (368) (1987)
  2. Cointegration and Tests of Present Value Models
    Journal of Political Economy, 1987, 95, (5), 1062-88 Downloads View citations (1195)
    See also Working Paper Cointegration and Tests of Present Value Models, Scholarly Articles (1987) Downloads View citations (1197) (1987)
  3. Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis
    Econometrica, 1987, 55, (6), 1249-73 Downloads View citations (427)
    See also Working Paper Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis, NBER Working Papers (1986) Downloads View citations (6) (1986)
  4. Macroeconomic lessons from Britain: A review essay
    Journal of Monetary Economics, 1987, 19, (2), 315-324 Downloads
  5. 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 Downloads View citations (59)
    See also Working Paper Money Announcements, The Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week, Scholarly Articles (1987) Downloads View citations (56) (1987)
  6. Permanent and Transitory Components in Macroeconomic Fluctuations
    American Economic Review, 1987, 77, (2), 111-17 Downloads View citations (98)
    See also Working Paper Permanent and Transitory Components in Macroeconomic Fluctuations, NBER Working Papers (1987) Downloads View citations (95) (1987)
  7. Stock returns and the term structure
    Journal of Financial Economics, 1987, 18, (2), 373-399 Downloads View citations (956)
    See also Working Paper Stock Returns and the Term Structure, Scholarly Articles (1987) Downloads View citations (971) (1987)
  8. The dollar and real interest rates
    Carnegie-Rochester Conference Series on Public Policy, 1987, 27, (1), 103-139 Downloads View citations (103)
    See also Working Paper The Dollar and Real Interest Rates, Scholarly Articles (1987) Downloads View citations (103) (1987)
  9. The term structure of euromarket interest rates: An empirical investigation
    Journal of Monetary Economics, 1987, 19, (1), 25-44 Downloads View citations (45)
    See also Working Paper The Term Structure of Euromarket Interest Rates: An Empirical Investigation, Scholarly Articles (1987) Downloads View citations (43) (1987)

1986

  1. A Defense of Traditional Hypotheses about the Term Structure of Interest Rates
    Journal of Finance, 1986, 41, (1), 183-93 Downloads View citations (57)
    See also Working Paper A Defense of Traditional Hypotheses about the Term Structure of Interest Rates, Scholarly Articles (1986) Downloads View citations (60) (1986)
  2. Bond and Stock Returns in a Simple Exchange Model
    The Quarterly Journal of Economics, 1986, 101, (4), 785-803 Downloads View citations (117)
    See also Working Paper Bond and Stock Returns in a Simple Exchange Model, Scholarly Articles (1986) Downloads View citations (113) (1986)

1984

  1. A Simple Account of the Behavior of Long-Term Interest Rates
    American Economic Review, 1984, 74, (2), 44-48 Downloads View citations (45)
    See also Working Paper A Simple Account of the Behavior of Long-Term Interest Rates, Scholarly Articles (1984) Downloads View citations (49) (1984)

1983

  1. Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates
    Brookings Papers on Economic Activity, 1983, 14, (1), 173-224 Downloads View citations (332)
    See also Working Paper Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates, Cowles Foundation Discussion Papers (1983) Downloads View citations (305) (1983)

Books

2010

  1. The Squam Lake Report: Fixing the Financial System
    Economics Books, Princeton University Press View citations (109)
    See also Journal Article The Squam Lake Report: Fixing the Financial System, Journal of Applied Corporate Finance, Morgan Stanley (2010) Downloads View citations (119) (2010)

2008

  1. Asset Prices and Monetary Policy
    NBER Books, National Bureau of Economic Research, Inc View citations (49)

2002

  1. Strategic Asset Allocation: Portfolio Choice for Long-Term Investors
    OUP Catalogue, Oxford University Press View citations (719)

2001

  1. Risk Aspects of Investment-Based Social Security Reform
    NBER Books, National Bureau of Economic Research, Inc View citations (81)

1990

  1. Econometric Methods and Financial Time Series
    NBER Books, National Bureau of Economic Research, Inc

Edited books

2008

  1. Asset Prices and Monetary Policy
    National Bureau of Economic Research Books, University of Chicago Press View citations (350)

2000

  1. Risk Aspects of Investment-Based Social Security Reform
    National Bureau of Economic Research Books, University of Chicago Press View citations (16)

Chapters

2024

  1. Economic Budgeting for Endowment-Dependent Universities
    A chapter in Financing Institutions of Higher Education, 2024 Downloads
  2. Introduction to "Financing Institutions of Higher Education"
    A chapter in Financing Institutions of Higher Education, 2024

2013

  1. A multivariate model of strategic asset allocation
    Chapter 39 in HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, 2013, pp 809-848 Downloads
    See also Working Paper A Multivariate Model of Strategic Asset Allocation, Harvard University Department of Economics (2003) Downloads View citations (222) (2003)
    Journal Article A multivariate model of strategic asset allocation, Elsevier (2003) Downloads View citations (228) (2003)
  2. Comment on "Shocks and Crashes"
    A chapter in NBER Macroeconomics Annual 2013, Volume 28, 2013, pp 355-366 Downloads

2010

  1. Introduction
    A chapter in The Squam Lake Report: Fixing the Financial System, 2010 Downloads

2008

  1. Introduction to "Asset Prices and Monetary Policy"
    A chapter in Asset Prices and Monetary Policy, 2008, pp 1-7 Downloads View citations (5)

2003

  1. Consumption-based asset pricing
    Chapter 13 in Handbook of the Economics of Finance, 2003, vol. 1, Part 2, pp 803-887 Downloads View citations (440)
    See also Working Paper Consumption-Based Asset Pricing, Harvard - Institute of Economic Research (2002) Downloads View citations (44) (2002)

2001

  1. Introduction to "Risk Aspects of Investment-Based Social Security Reform"
    A chapter in Risk Aspects of Investment-Based Social Security Reform, 2001, pp 1-10 Downloads View citations (50)
  2. Investing Retirement Wealth: A Life-Cycle Model
    A chapter in Risk Aspects of Investment-Based Social Security Reform, 2001, pp 439-482 Downloads View citations (114)
    See also Working Paper Investing Retirement Wealth? A Life-Cycle Model, Harvard - Institute of Economic Research (2000) Downloads View citations (9) (2000)

1999

  1. Asset prices, consumption, and the business cycle
    Chapter 19 in Handbook of Macroeconomics, 1999, vol. 1, Part C, pp 1231-1303 Downloads View citations (357)
    See also Working Paper Asset Prices, Consumption, and the Business Cycle, National Bureau of Economic Research, Inc (1998) Downloads View citations (39) (1998)

1996

  1. A Scorecard for Indexed Government Debt
    A chapter in NBER Macroeconomics Annual 1996, Volume 11, 1996, pp 155-208 Downloads View citations (85)
    See also Working Paper A Scorecard for Indexed Government Debt, National Bureau of Economic Research, Inc (1996) Downloads View citations (87) (1996)

1995

  1. Accounting for Stock Price Movements
    Palgrave Macmillan

1994

  1. International Experiences with Securities Transaction Taxes
    A chapter in The Internationalization of Equity Markets, 1994, pp 277-308 Downloads View citations (34)
    See also Working Paper International Experiences with Securities Transaction Taxes, National Bureau of Economic Research, Inc (1993) Downloads View citations (18) (1993)

1993

  1. The Interest Rate Process and the Term Structure of Interest Rates in Japan
    A chapter in Japanese Monetary Policy, 1993, pp 95-120 Downloads View citations (8)

1991

  1. Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots
    A chapter in NBER Macroeconomics Annual 1991, Volume 6, 1991, pp 141-220 Downloads View citations (1034)
    See also Working Paper Pitfalls and Opportunities: What Macroeconomics should know about unit roots, Princeton, Department of Economics - Econometric Research Program (1991) View citations (338) (1991)

1989

  1. Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence
    A chapter in NBER Macroeconomics Annual 1989, Volume 4, 1989, pp 185-246 Downloads View citations (1208)
    See also Working Paper Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence, National Bureau of Economic Research, Inc (1989) Downloads View citations (1234) (1989)
 
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