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 2025-06-08. Update your information in the RePEc Author Service.

Short-id: pca54

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Working Papers

2024

1. Economic Budgeting for Endowment-Dependent Universities
   NBER Working Papers, National Bureau of Economic Research, Inc
   See also Chapter Economic Budgeting for Endowment-Dependent Universities, NBER Chapters, National Bureau of Economic Research, Inc (2024) (2024)

2023

2. Debt and Deficits: Fiscal Analysis with Stationary Ratios
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2023) View citations (2)
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2023) View citations (3)
3. What Drives Booms and Busts in Value?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2022

4. Idiosyncratic Equity Risk Two Decades Later
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
   See also Journal Article Idiosyncratic Equity Risk Two Decades Later, Critical Finance Review, now publishers (2023) (2023)
5. Sustainability in a Risky World
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2021)
   See also Journal Article Sustainability in a Risky World, American Economic Review: Insights, American Economic Association (2025) (2025)

2021

6. The Cross-Section of Household Preferences
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (21)
7. Who Owns What? A Factor Model for Direct Stock Holding
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
   See also Journal Article Who Owns What? A Factor Model for Direct Stockholding, Journal of Finance, American Finance Association (2023) View citations (4) (2023)

2020

8. Portfolio Choice with Sustainable Spending: A Model of Reaching for Yield
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   See also Journal Article Portfolio choice with sustainable spending: A model of reaching for yield, Journal of Financial Economics, Elsevier (2022) View citations (14) (2022)
9. Structuring Mortgages for Macroeconomic Stability
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   See also Journal Article Structuring Mortgages for Macroeconomic Stability, Journal of Finance, American Finance Association (2021) View citations (14) (2021)

2018

10. An Intertemporal CAPM with stochastic volatility
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (91)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (55)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (14)
    See also Journal Article An intertemporal CAPM with stochastic volatility, Journal of Financial Economics, Elsevier (2018) View citations (91) (2018)
11. Do the Rich Get Richer in the Stock Market? Evidence from India
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) 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) View citations (39) (2019)
12. Macroeconomic Drivers of Bond and Equity Risks
    Harvard Business School Working Papers, Harvard Business School View citations (9)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (17)
    See also Journal Article Macroeconomic Drivers of Bond and Equity Risks, Journal of Political Economy, University of Chicago Press (2020) View citations (65) (2020)

2016

13. International Comparative Household Finance
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (100)
    Also in Scholarly Articles, Harvard University Department of Economics (2016) View citations (95)
    See also Journal Article International Comparative Household Finance, Annual Review of Economics, Annual Reviews (2016) View citations (100) (2016)
14. Restoring Rational Choice: The Challenge of Consumer Financial Regulation
    Scholarly Articles, Harvard University Department of Economics View citations (127)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (116)
    Working Paper Series, European Central Bank (2016) View citations (114)
    See also Journal Article Restoring Rational Choice: The Challenge of Consumer Financial Regulation, American Economic Review, American Economic Association (2016) View citations (128) (2016)

2015

15. A Model of Mortgage Default
    Scholarly Articles, Harvard University Department of Economics View citations (145)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (37)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2014) View citations (9)
    See also Journal Article A Model of Mortgage Default, Journal of Finance, American Finance Association (2015) View citations (150) (2015)
16. Inattention and Inertia in Household Finance: Evidence from the Danish Mortgage Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (62)
    Also in Scholarly Articles, Harvard University Department of Economics (2014) View citations (14)
17. Rethinking Mortgage Design
    Liberty Street Economics, Federal Reserve Bank of New York
18. Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market
    NBER Working Papers, National Bureau of Economic Research, Inc 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) View citations (66) (2020)
19. The Impact of Regulation on Mortgage Risk: Evidence from India
    Scholarly Articles, Harvard University Department of Economics View citations (22)
    See also Journal Article The Impact of Regulation on Mortgage Risk: Evidence from India, American Economic Journal: Economic Policy, American Economic Association (2015) View citations (22) (2015)

2014

20. Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (33)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (32)
21. Monetary Policy Drivers of Bond and Equity Risks
    2014 Meeting Papers, Society for Economic Dynamics View citations (68)
22. 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 View citations (11)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) 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) View citations (37) (2018)

2013

23. Hard Times
    Scholarly Articles, Harvard University Department of Economics View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (2)
    See also Journal Article Hard Times, The Review of Asset Pricing Studies, Society for Financial Studies (2013) View citations (7) (2013)

2012

24. Down or Out: Assessing The Welfare Costs of Household Investment Mistakes
    Working Papers, HAL
    Also in Scholarly Articles, Harvard University Department of Economics (2007) View citations (498)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (31)
    Working Papers, HAL (2012)
    Post-Print, HAL (2007) View citations (469)
    HEC Research Papers Series, HEC Paris (2006) View citations (48)
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2006) View citations (31)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2006) View citations (33)
    See also Journal Article Down or Out: Assessing the Welfare Costs of Household Investment Mistakes, Journal of Political Economy, University of Chicago Press (2007) View citations (499) (2007)
25. How Do Regulators Influence Mortgage Risk: Evidence from an Emerging Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (9)
    Scholarly Articles, Harvard University Department of Economics (2012) View citations (9)
26. Mortgage Market Design
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (43)
    Also in Scholarly Articles, Harvard University Department of Economics (2012) View citations (43)
    See also Journal Article Mortgage Market Design*, Review of Finance, European Finance Association (2013) View citations (76) (2013)
27. The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
    Scholarly Articles, Harvard University Department of Economics View citations (195)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) 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) View citations (187) (2012)

2011

28. Consumer Financial Protection
    Scholarly Articles, Harvard University Department of Economics View citations (123)
    See also Journal Article Consumer Financial Protection, Journal of Economic Perspectives, American Economic Association (2011) View citations (128) (2011)
29. Forced Sales and House Prices
    Scholarly Articles, Harvard University Department of Economics View citations (377)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (56)
    See also Journal Article Forced Sales and House Prices, American Economic Review, American Economic Association (2011) View citations (412) (2011)
30. Investing and Spending: The Twin Challenges of University Endowment Management
    Scholarly Articles, Harvard University Department of Economics View citations (3)
31. Predicting Financial Distress and the Performance of Distressed Stocks
    Scholarly Articles, Harvard University Department of Economics View citations (48)

2010

32. Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
    Scholarly Articles, Harvard University Department of Economics View citations (123)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) View citations (9)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (17)
    See also Journal Article Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns, The Review of Financial Studies, Society for Financial Studies (2010) View citations (125) (2010)
33. The Regulation of Consumer Financial Products: An Introductory Essay with Four Case Studies
    Working Paper Series, Harvard University, John F. Kennedy School of Government View citations (19)

2009

34. Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements
    Scholarly Articles, Harvard University Department of Economics View citations (118)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (8)
    See also Journal Article Caught on tape: Institutional trading, stock returns, and earnings announcements, Journal of Financial Economics, Elsevier (2009) View citations (124) (2009)
35. Down and Out: Assessing the Welfare Costs of Household investment Mistakes
    Post-Print, HAL View citations (5)
36. Fight Or Flight? Portfolio Rebalancing by Individual Investors
    Post-Print, HAL View citations (262)
    Also in Post-Print, HAL (2009) View citations (263)
    NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (32)
    Scholarly Articles, Harvard University Department of Economics (2009) View citations (286)
    See also Journal Article Fight or Flight? Portfolio Rebalancing by Individual Investors, The Quarterly Journal of Economics, President and Fellows of Harvard College (2009) View citations (299) (2009)
37. Global Currency Hedging
    Scholarly Articles, Harvard University Department of Economics View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (17)
    See also Journal Article Global Currency Hedging, Journal of Finance, American Finance Association (2010) View citations (111) (2010)
38. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (49)
    Also in 2008 Meeting Papers, Society for Economic Dynamics (2008) View citations (2)
    See also Journal Article Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds, Critical Finance Review, now publishers (2017) View citations (78) (2017)
39. Measuring the Financial Sophistication of Households
    Scholarly Articles, Harvard University Department of Economics View citations (207)
    Also in Post-Print, HAL (2009) View citations (194)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (217)
    See also Journal Article Measuring the Financial Sophistication of Households, American Economic Review, American Economic Association (2009) View citations (220) (2009)
40. The Changing Role of Nominal Government Bonds in Asset Allocation
    Scholarly Articles, Harvard University Department of Economics View citations (2)
41. Understanding Inflation-Indexed Bond Markets
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (50)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (70)
    Scholarly Articles, Harvard University Department of Economics (2009) View citations (69)
    Yale School of Management Working Papers, Yale School of Management (2009) View citations (11)
    See also Journal Article Understanding Inflation-Indexed Bond Markets, Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution (2009) View citations (74) (2009)

2008

42. Estimating the Equity Premium
    Scholarly Articles, Harvard University Department of Economics View citations (156)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (5)
43. In Search of Distress Risk
    Scholarly Articles, Harvard University Department of Economics View citations (651)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2005) View citations (39)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (36)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005)
    See also Journal Article In Search of Distress Risk, Journal of Finance, American Finance Association (2008) View citations (681) (2008)
44. Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
    Scholarly Articles, Harvard University Department of Economics View citations (1295)
    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) View citations (1326) (2008)

2007

45. How Do House Prices Affect Consumption? Evidence from Micro Data
    Scholarly Articles, Harvard University Department of Economics View citations (650)
    Also in 2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (21)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (51)
    2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (17)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) View citations (20)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2004) View citations (6)
    See also Journal Article How do house prices affect consumption? Evidence from micro data, Journal of Monetary Economics, Elsevier (2007) View citations (659) (2007)
46. Intergenerational Risksharing and Equilibrium Asset Prices
    Scholarly Articles, Harvard University Department of Economics View citations (14)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (2)
    FMG Discussion Papers, Financial Markets Group (2007) View citations (13)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (11)
    See also Journal Article Intergenerational risksharing and equilibrium asset prices, Journal of Monetary Economics, Elsevier (2007) View citations (15) (2007)

2006

47. Efficient tests of stock return predictability
    Scholarly Articles, Harvard University Department of Economics View citations (431)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations (14)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (38)
    See also Journal Article Efficient tests of stock return predictability, Journal of Financial Economics, Elsevier (2006) View citations (480) (2006)
48. Household Finance
    Scholarly Articles, Harvard University Department of Economics View citations (483)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (469)
    See also Journal Article Household Finance, Journal of Finance, American Finance Association (2006) View citations (472) (2006)

2005

49. Caught On Tape: Institutional Order Flow and Stock Returns
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (8)
50. Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (45)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) View citations (44)
51. The Term Structure of the Risk-Return Tradeoff
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (71)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (66)
    See also Journal Article The Term Structure of the Risk–Return Trade-Off, Financial Analysts Journal, Taylor & Francis Journals (2005) (2005)
52. The Term Structure of the Risk–Return Trade-Off
    Scholarly Articles, Harvard University Department of Economics View citations (18)

2004

53. Bad Beta, Good Beta
    Scholarly Articles, Harvard University Department of Economics View citations (382)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2003) View citations (5)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations (3)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (29)
    See also Journal Article Bad Beta, Good Beta, American Economic Review, American Economic Association (2004) View citations (410) (2004)
54. Caught On Tape: Predicting Institutional Ownership With Order Flow
    Finance, University Library of Munich, Germany View citations (8)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2004) View citations (7)
55. Household Risk Management and Optimal Mortgage Choice
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (2)
    Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) View citations (2)
    Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations (3)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations (3)
    Scholarly Articles, Harvard University Department of Economics (2003) View citations (347)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (348)
    See also Journal Article Household Risk Management and Optimal Mortgage Choice, The Quarterly Journal of Economics, President and Fellows of Harvard College (2003) View citations (350) (2003)
56. Inflation Illusion and Stock Prices
    Scholarly Articles, Harvard University Department of Economics View citations (184)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (187)
    See also Journal Article Inflation Illusion and Stock Prices, American Economic Review, American Economic Association (2004) View citations (186) (2004)
57. Strategic Asset Allocation in a Continuous-Time VAR Model
    Scholarly Articles, Harvard University Department of Economics View citations (40)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations (3)
    See also Journal Article Strategic asset allocation in a continuous-time VAR model, Journal of Economic Dynamics and Control, Elsevier (2004) View citations (42) (2004)

2003

58. A Multivariate Model of Strategic Asset Allocation
    Scholarly Articles, Harvard University Department of Economics View citations (231)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (31)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (20)
    See also Journal Article A multivariate model of strategic asset allocation, Journal of Financial Economics, Elsevier (2003) View citations (234) (2003)
    Chapter A multivariate model of strategic asset allocation, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2013) (2013)
59. Equity Volatility and Corporate Bond Yields
    Scholarly Articles, Harvard University Department of Economics View citations (539)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations (19)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (20)
    See also Journal Article Equity Volatility and Corporate Bond Yields, Journal of Finance, American Finance Association (2003) View citations (550) (2003)
60. Foreign Currency for Long-Term Investors
    Scholarly Articles, Harvard University Department of Economics View citations (20)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (3)
    See also Journal Article Foreign Currency for Long-Term Investors, Economic Journal, Royal Economic Society (2003) View citations (25) (2003)

2002

61. Consumption-Based Asset Pricing
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (60)
    See also Chapter Consumption-based asset pricing, Handbook of the Economics of Finance, Elsevier (2003) View citations (440) (2003)

2001

62. Elasticities of Substitution in Real Business Cycle Models with Home Production
    Scholarly Articles, Harvard University Department of Economics View citations (56)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (2)
    Research Paper, Federal Reserve Bank of New York (1997) View citations (2)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) View citations (7)
    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 (56) (2001)
63. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
    Scholarly Articles, Harvard University Department of Economics View citations (1033)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) 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) View citations (1046) (2001)
64. Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
    Scholarly Articles, Harvard University Department of Economics 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)
    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) View citations (26) (2001)
65. Valuation Ratios and the Long-Run Stock Market Outlook: An Update
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (164)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2001) View citations (151)
66. Who Should Buy Long-Term Bonds?
    Scholarly Articles, Harvard University Department of Economics View citations (249)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (45)
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (1998) View citations (14)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) View citations (6)
    See also Journal Article Who Should Buy Long-Term Bonds?, American Economic Review, American Economic Association (2001) View citations (264) (2001)
67. Why Long Horizons? A Study of Power Against Persistent Alternatives
    Scholarly Articles, Harvard University Department of Economics View citations (66)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1993) View citations (7)
    See also Journal Article Why long horizons? A study of power against persistent alternatives, Journal of Empirical Finance, Elsevier (2001) View citations (68) (2001)

2000

68. Asset Pricing at the Millennium
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (279)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (294)
    Scholarly Articles, Harvard University Department of Economics (2000) View citations (286)
    See also Journal Article Asset Pricing at the Millennium, Journal of Finance, American Finance Association (2000) View citations (291) (2000)
69. Explaining the Poor Performance of Consumption-Based Asset Pricing Models
    Scholarly Articles, Harvard University Department of Economics View citations (121)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (16)
    See also Journal Article Explaining the Poor Performance of Consumption‐based Asset Pricing Models, Journal of Finance, American Finance Association (2000) View citations (95) (2000)
70. Investing Retirement Wealth? A Life-Cycle Model
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (10)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (47)
    See also Chapter Investing Retirement Wealth: A Life-Cycle Model, NBER Chapters, National Bureau of Economic Research, Inc (2001) View citations (115) (2001)

1999

71. By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    Scholarly Articles, Harvard University Department of Economics View citations (2473)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1994) View citations (21)
    NBER Working Papers, National Bureau of Economic Research, Inc (1995) View citations (113)
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1994) View citations (211)
    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) View citations (2520) (1999)
72. Consumption and Portfolio Decisions When Expected Returns are Time Varying
    Scholarly Articles, Harvard University Department of Economics View citations (461)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (15)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1998) View citations (23)
    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) View citations (473) (1999)
73. Dispersion and Volatility in Stock Returns: An Empirical Investigation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) View citations (6)

1998

74. Asset Prices, Consumption, and the Business Cycle
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (39)
    See also Chapter Asset prices, consumption, and the business cycle, Handbook of Macroeconomics, Elsevier (1999) View citations (364) (1999)

1997

75. 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 View citations (92)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (36)
    CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University

1996

76. A Scorecard for Indexed Government Data
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (22)
77. A Scorecard for Indexed Government Debt
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (91)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1996) View citations (91)
    See also Chapter A Scorecard for Indexed Government Debt, NBER Chapters, National Bureau of Economic Research, Inc (1996) View citations (89) (1996)
78. 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) View citations (32)
79. Understanding Risk and Return
    Scholarly Articles, Harvard University Department of Economics View citations (794)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations (15)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1995) View citations (5)
    See also Journal Article Understanding Risk and Return, Journal of Political Economy, University of Chicago Press (1996) View citations (797) (1996)

1995

80. 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 (5)
81. Some Lessons from the Yield Curve
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (202)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1995) View citations (199)
    Scholarly Articles, Harvard University Department of Economics (1995) View citations (201)
    See also Journal Article Some Lessons from the Yield Curve, Journal of Economic Perspectives, American Economic Association (1995) View citations (202) (1995)

1994

82. Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model
    Scholarly Articles, Harvard University Department of Economics View citations (232)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) View citations (1)
    See also Journal Article Inspecting the mechanism: An analytical approach to the stochastic growth model, Journal of Monetary Economics, Elsevier (1994) View citations (233) (1994)
83. Models of the term structure of interest rates
    Working Papers, Federal Reserve Bank of Philadelphia View citations (5)

1993

84. International Experiences with Securities Transaction Taxes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    See also Chapter International Experiences with Securities Transaction Taxes, NBER Chapters, National Bureau of Economic Research, Inc (1994) View citations (34) (1994)
85. Intertemporal Asset Pricing Without Consumption Data
    Scholarly Articles, Harvard University Department of Economics View citations (459)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) View citations (6)
    See also Journal Article Intertemporal Asset Pricing without Consumption Data, American Economic Review, American Economic Association (1993) View citations (465) (1993)
86. Smart Money, Noise Trading and Stock Price Behaviour
    Scholarly Articles, Harvard University Department of Economics View citations (190)
    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) 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) View citations (191) (1993)
87. Trading Volume and Serial Correlation in Stock Returns
    Scholarly Articles, Harvard University Department of Economics View citations (626)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) View citations (14)
    See also Journal Article Trading Volume and Serial Correlation in Stock Returns, The Quarterly Journal of Economics, President and Fellows of Harvard College (1993) View citations (645) (1993)
88. What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
    Scholarly Articles, Harvard University Department of Economics View citations (544)
    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) 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) View citations (543) (1993)
89. Where Do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
    Scholarly Articles, Harvard University Department of Economics View citations (76)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations (76)

1992

90. No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
    Scholarly Articles, Harvard University Department of Economics View citations (899)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1991) View citations (35)
    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) View citations (829) (1992)
91. Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
    Scholarly Articles, Harvard University Department of Economics View citations (249)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) 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) View citations (241) (1992)

1991

92. A Variance Decomposition for Stock Returns
    Scholarly Articles, Harvard University Department of Economics View citations (826)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1990) View citations (325)
    See also Journal Article A Variance Decomposition for Stock Returns, Economic Journal, Royal Economic Society (1991) View citations (833) (1991)
93. Pitfalls and Opportunities: What Macroeconomics should know about unit roots
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (339)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1991) View citations (1049)
    Scholarly Articles, Harvard University Department of Economics (1991) View citations (1078)
    See also Chapter Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots, NBER Chapters, National Bureau of Economic Research, Inc (1991) View citations (1045) (1991)
94. Yield Spreads and Interest Rate Movements: A Bird's Eye View
    Scholarly Articles, Harvard University Department of Economics View citations (897)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) 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) View citations (889) (1991)

1990

95. AN ASYMMETRIC MODEL OF CHANGING VOLATILITY IN STOCK RETURNS
    Working Papers, Princeton, Department of Economics - Financial Research Center View citations (2)
96. Measuring the Persistence of Expected Returns
    Scholarly Articles, Harvard University Department of Economics View citations (27)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1990) View citations (26)
    See also Journal Article Measuring the Persistence of Expected Returns, American Economic Review, American Economic Association (1990) View citations (27) (1990)
97. Permanent Income, Current Income, and Consumption
    Scholarly Articles, Harvard University Department of Economics View citations (422)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) View citations (33)
    See also Journal Article Permanent Income, Current Income, and Consumption, Journal of Business & Economic Statistics, American Statistical Association (1990) View citations (426) (1990)
98. 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) View citations (7) (1990)

1989

99. Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1277)
    See also Chapter Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence, NBER Chapters, National Bureau of Economic Research, Inc (1989) View citations (1251) (1989)
100. International Evidence on the Persistence of Economic Fluctuations
     Scholarly Articles, Harvard University Department of Economics View citations (107)
     Also in NBER Working Papers, National Bureau of Economic Research, Inc (1988) View citations (59)
     See also Journal Article International evidence on the persistence of economic fluctuations, Journal of Monetary Economics, Elsevier (1989) View citations (107) (1989)
101. Why Is Consumption So Smooth?
     Scholarly Articles, Harvard University Department of Economics View citations (364)
     See also Journal Article Why is Consumption So Smooth?, The Review of Economic Studies, Review of Economic Studies Ltd (1989) View citations (371) (1989)

1988

102. Interpreting Cointegrated Models
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (71)
     Also in Scholarly Articles, Harvard University Department of Economics (1988) View citations (79)
     See also Journal Article Interpreting cointegrated models, Journal of Economic Dynamics and Control, Elsevier (1988) View citations (79) (1988)
103. 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)
104. STOCK PRICES, EARNINGS AND EXPECTED DIVIDENDS
     Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (930)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1988) View citations (973)
     Scholarly Articles, Harvard University Department of Economics (1988) View citations (977)
     NBER Working Papers, National Bureau of Economic Research, Inc (1988) View citations (916)
105. The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study
     NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (3)
     See also Journal Article The dividend ratio model and small sample bias: A Monte Carlo study, Economics Letters, Elsevier (1989) View citations (16) (1989)

1987

106. Are Output Fluctuations Transitory?
     Scholarly Articles, Harvard University Department of Economics View citations (368)
     Also in NBER Working Papers, National Bureau of Economic Research, Inc (1986) View citations (12)
     See also Journal Article Are Output Fluctuations Transitory?, The Quarterly Journal of Economics, President and Fellows of Harvard College (1987) View citations (391) (1987)
107. Cointegration and Tests of Present Value Models
     Scholarly Articles, Harvard University Department of Economics View citations (1216)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1986) View citations (6)
     NBER Working Papers, National Bureau of Economic Research, Inc (1986) View citations (14)
     See also Journal Article Cointegration and Tests of Present Value Models, Journal of Political Economy, University of Chicago Press (1987) View citations (1230) (1987)
108. Household Saving and Permanent Income in Canada and the United Kingdom
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
109. Is Consumption Too Smooth?
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
110. 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 View citations (55)
     Also in NBER Working Papers, National Bureau of Economic Research, Inc (1986) View citations (34)
     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) View citations (56) (1987)
111. Permanent and Transitory Components in Macroeconomic Fluctuations
     Scholarly Articles, Harvard University Department of Economics View citations (94)
     Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) View citations (99)
     See also Journal Article Permanent and Transitory Components in Macroeconomic Fluctuations, American Economic Review, American Economic Association (1987) View citations (102) (1987)
112. Stock Returns and the Term Structure
     Scholarly Articles, Harvard University Department of Economics View citations (1004)
     Also in NBER Working Papers, National Bureau of Economic Research, Inc (1985) View citations (10)
     See also Journal Article Stock returns and the term structure, Journal of Financial Economics, Elsevier (1987) View citations (993) (1987)
113. The Dollar and Real Interest Rates
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (105)
     Also in Scholarly Articles, Harvard University Department of Economics (1987) View citations (104)
     See also Journal Article The dollar and real interest rates, Carnegie-Rochester Conference Series on Public Policy, Elsevier (1987) View citations (104) (1987)
114. The Term Structure of Euromarket Interest Rates: An Empirical Investigation
     Scholarly Articles, Harvard University Department of Economics View citations (43)
     Also in NBER Working Papers, National Bureau of Economic Research, Inc (1986) View citations (26)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1986) View citations (4)
     See also Journal Article The term structure of euromarket interest rates: An empirical investigation, Journal of Monetary Economics, Elsevier (1987) View citations (45) (1987)

1986

115. A Defense of Traditional Hypotheses about the Term Structure of Interest Rates
     Scholarly Articles, Harvard University Department of Economics View citations (60)
     Also in NBER Working Papers, National Bureau of Economic Research, Inc (1984) 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) View citations (58) (1986)
116. Bond and Stock Returns in a Simple Exchange Model
     Scholarly Articles, Harvard University Department of Economics View citations (115)
     Also in NBER Working Papers, National Bureau of Economic Research, Inc (1984) 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) View citations (120) (1986)
117. Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis
     NBER Working Papers, National Bureau of Economic Research, Inc 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) View citations (432) (1987)
118. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (56)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1986) View citations (6)
     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) View citations (1939) (1988)

1984

119. A Simple Account of the Behavior of Long-Term Interest Rates
     Scholarly Articles, Harvard University Department of Economics View citations (49)
     Also in NBER Working Papers, National Bureau of Economic Research, Inc (1983) 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) View citations (45) (1984)

1983

120. Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (307)
     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) View citations (337) (1983)

Journal Articles

2025

1. Sustainability in a Risky World
   American Economic Review: Insights, 2025, 7, (2), 196-212
   See also Working Paper Sustainability in a Risky World, CEPR Discussion Papers (2022) (2022)

2023

2. Idiosyncratic Equity Risk Two Decades Later
   Critical Finance Review, 2023, 12, (1-4), 203-223
   See also Working Paper Idiosyncratic Equity Risk Two Decades Later, NBER Working Papers (2022) View citations (5) (2022)
3. Who Owns What? A Factor Model for Direct Stockholding
   Journal of Finance, 2023, 78, (3), 1545-1591 View citations (4)
   See also Working Paper Who Owns What? A Factor Model for Direct Stock Holding, NBER Working Papers (2021) View citations (5) (2021)

2022

4. Portfolio choice with sustainable spending: A model of reaching for yield
   Journal of Financial Economics, 2022, 143, (1), 188-206 View citations (14)
   See also Working Paper Portfolio Choice with Sustainable Spending: A Model of Reaching for Yield, NBER Working Papers (2020) View citations (6) (2020)

2021

5. Structuring Mortgages for Macroeconomic Stability
   Journal of Finance, 2021, 76, (5), 2525-2576 View citations (14)
   See also Working Paper Structuring Mortgages for Macroeconomic Stability, NBER Working Papers (2020) View citations (6) (2020)

2020

6. Macroeconomic Drivers of Bond and Equity Risks
   Journal of Political Economy, 2020, 128, (8), 3148 - 3185 View citations (65)
   See also Working Paper Macroeconomic Drivers of Bond and Equity Risks, Harvard Business School Working Papers (2018) View citations (9) (2018)
7. Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market
   American Economic Review, 2020, 110, (10), 3184-3230 View citations (66)
   See also Working Paper Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market, NBER Working Papers (2015) View citations (22) (2015)

2019

8. Do the Rich Get Richer in the Stock Market? Evidence from India
   American Economic Review: Insights, 2019, 1, (2), 225-40 View citations (39)
   See also Working Paper Do the Rich Get Richer in the Stock Market? Evidence from India, CEPR Discussion Papers (2018) View citations (4) (2018)

2018

9. An intertemporal CAPM with stochastic volatility
   Journal of Financial Economics, 2018, 128, (2), 207-233 View citations (91)
   See also Working Paper An Intertemporal CAPM with stochastic volatility, LSE Research Online Documents on Economics (2018) View citations (91) (2018)
10. What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable-Rate Mortgages
    Management Science, 2018, 64, (5), 2275-2288 View citations (37)
    See also Working Paper What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable Rate Mortgages, CEPR Discussion Papers (2014) View citations (11) (2014)

2017

11. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
    Critical Finance Review, 2017, 6, (2), 263-301 View citations (78)
    See also Working Paper Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds, NBER Working Papers (2009) View citations (49) (2009)

2016

12. International Comparative Household Finance
    Annual Review of Economics, 2016, 8, (1), 111-144 View citations (100)
    See also Working Paper International Comparative Household Finance, NBER Working Papers (2016) View citations (100) (2016)
13. Restoring Rational Choice: The Challenge of Consumer Financial Regulation
    American Economic Review, 2016, 106, (5), 1-30 View citations (128)
    See also Working Paper Restoring Rational Choice: The Challenge of Consumer Financial Regulation, Scholarly Articles (2016) View citations (127) (2016)

2015

14. A Model of Mortgage Default
    Journal of Finance, 2015, 70, (4), 1495-1554 View citations (150)
    See also Working Paper A Model of Mortgage Default, Scholarly Articles (2015) View citations (145) (2015)
15. The Fragile Benefits of Endowment Destruction
    Journal of Political Economy, 2015, 123, (5), 1214 - 1226
16. The Impact of Regulation on Mortgage Risk: Evidence from India
    American Economic Journal: Economic Policy, 2015, 7, (4), 71-102 View citations (22)
    See also Working Paper The Impact of Regulation on Mortgage Risk: Evidence from India, Scholarly Articles (2015) View citations (22) (2015)

2014

17. Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller
    Scandinavian Journal of Economics, 2014, 116, (3), 593-634 View citations (34)

2013

18. Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group
    Journal of Applied Corporate Finance, 2013, 25, (4), 37-40 View citations (6)
19. Hard Times
    The Review of Asset Pricing Studies, 2013, 3, (1), 95-132 View citations (7)
    See also Working Paper Hard Times, Scholarly Articles (2013) View citations (15) (2013)
20. Mortgage Market Design*
    Review of Finance, 2013, 17, (1), 1-33 View citations (76)
    See also Working Paper Mortgage Market Design, NBER Working Papers (2012) View citations (43) (2012)
21. Predicting asset prices
    Nature, 2013, 504, (7478), 97-97

2012

22. The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
    Critical Finance Review, 2012, 1, (1), 141-182 View citations (187)
    See also Working Paper The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment, Scholarly Articles (2012) View citations (195) (2012)

2011

23. Consumer Financial Protection
    Journal of Economic Perspectives, 2011, 25, (1), 91-114 View citations (128)
    See also Working Paper Consumer Financial Protection, Scholarly Articles (2011) View citations (123) (2011)
24. Forced Sales and House Prices
    American Economic Review, 2011, 101, (5), 2108-31 View citations (412)
    See also Working Paper Forced Sales and House Prices, Scholarly Articles (2011) View citations (377) (2011)

2010

25. Global Currency Hedging
    Journal of Finance, 2010, 65, (1), 87-121 View citations (111)
    See also Working Paper Global Currency Hedging, Scholarly Articles (2009) View citations (1) (2009)
26. Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
    The Review of Financial Studies, 2010, 23, (1), 305-344 View citations (125)
    Also in Proceedings, 2005 (2005) View citations (6)
    See also Working Paper Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns, Scholarly Articles (2010) View citations (123) (2010)
27. The Squam Lake Report: Fixing the Financial System
    Journal of Applied Corporate Finance, 2010, 22, (3), 8-21 View citations (121)
    See also Book The Squam Lake Report: Fixing the Financial System, Economics Books, 2010 (2010) View citations (111) (2010)

2009

28. Caught on tape: Institutional trading, stock returns, and earnings announcements
    Journal of Financial Economics, 2009, 92, (1), 66-91 View citations (124)
    See also Working Paper Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements, Scholarly Articles (2009) View citations (118) (2009)
29. Fight or Flight? Portfolio Rebalancing by Individual Investors
    The Quarterly Journal of Economics, 2009, 124, (1), 301-348 View citations (299)
    See also Working Paper Fight Or Flight? Portfolio Rebalancing by Individual Investors, Post-Print (2009) View citations (262) (2009)
30. Measuring the Financial Sophistication of Households
    American Economic Review, 2009, 99, (2), 393-98 View citations (220)
    See also Working Paper Measuring the Financial Sophistication of Households, Scholarly Articles (2009) View citations (207) (2009)
31. The Changing Role of Nominal Government Bonds in Asset Allocation&ast
    The Geneva Risk and Insurance Review, 2009, 34, (2), 89-104 View citations (1)
32. Understanding Inflation-Indexed Bond Markets
    Brookings Papers on Economic Activity, 2009, 40, (1 (Spring)), 79-138 View citations (74)
    See also Working Paper Understanding Inflation-Indexed Bond Markets, Cowles Foundation Discussion Papers (2009) View citations (50) (2009)

2008

33. In Search of Distress Risk
    Journal of Finance, 2008, 63, (6), 2899-2939 View citations (681)
    See also Working Paper In Search of Distress Risk, Scholarly Articles (2008) View citations (651) (2008)
34. Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
    The Review of Financial Studies, 2008, 21, (4), 1509-1531 View citations (1326)
    See also Working Paper Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?, Scholarly Articles (2008) View citations (1295) (2008)
35. Viewpoint: Estimating the equity premium
    Canadian Journal of Economics/Revue canadienne d'économique, 2008, 41, (1), 1-21 View citations (155)
    Also in Canadian Journal of Economics, 2008, 41, (1), 1-21 (2008) View citations (171)

2007

36. Down or Out: Assessing the Welfare Costs of Household Investment Mistakes
    Journal of Political Economy, 2007, 115, (5), 707-747 View citations (499)
    See also Working Paper Down or Out: Assessing The Welfare Costs of Household Investment Mistakes, Working Papers (2012) (2012)
37. How do house prices affect consumption? Evidence from micro data
    Journal of Monetary Economics, 2007, 54, (3), 591-621 View citations (659)
    See also Working Paper How Do House Prices Affect Consumption? Evidence from Micro Data, Scholarly Articles (2007) View citations (650) (2007)
38. Intergenerational risksharing and equilibrium asset prices
    Journal of Monetary Economics, 2007, 54, (8), 2251-2268 View citations (15)
    See also Working Paper Intergenerational Risksharing and Equilibrium Asset Prices, Scholarly Articles (2007) View citations (14) (2007)

2006

39. Efficient tests of stock return predictability
    Journal of Financial Economics, 2006, 81, (1), 27-60 View citations (480)
    See also Working Paper Efficient tests of stock return predictability, Scholarly Articles (2006) View citations (431) (2006)
40. Household Finance
    Journal of Finance, 2006, 61, (4), 1553-1604 View citations (472)
    See also Working Paper Household Finance, Scholarly Articles (2006) View citations (483) (2006)

2005

41. The Term Structure of the Risk–Return Trade-Off
    Financial Analysts Journal, 2005, 61, (1), 34-44
    See also Working Paper The Term Structure of the Risk-Return Tradeoff, NBER Working Papers (2005) View citations (71) (2005)

2004

42. Bad Beta, Good Beta
    American Economic Review, 2004, 94, (5), 1249-1275 View citations (410)
    See also Working Paper Bad Beta, Good Beta, Scholarly Articles (2004) View citations (382) (2004)
43. Inflation Illusion and Stock Prices
    American Economic Review, 2004, 94, (2), 19-23 View citations (186)
    See also Working Paper Inflation Illusion and Stock Prices, Scholarly Articles (2004) View citations (184) (2004)
44. Strategic asset allocation in a continuous-time VAR model
    Journal of Economic Dynamics and Control, 2004, 28, (11), 2195-2214 View citations (42)
    See also Working Paper Strategic Asset Allocation in a Continuous-Time VAR Model, Scholarly Articles (2004) View citations (40) (2004)

2003

45. A multivariate model of strategic asset allocation
    Journal of Financial Economics, 2003, 67, (1), 41-80 View citations (234)
    See also Working Paper A Multivariate Model of Strategic Asset Allocation, Scholarly Articles (2003) View citations (231) (2003)
    Chapter A multivariate model of strategic asset allocation, World Scientific Book Chapters, 2013, 809-848 (2013) (2013)
46. Equity Volatility and Corporate Bond Yields
    Journal of Finance, 2003, 58, (6), 2321-2350 View citations (550)
    See also Working Paper Equity Volatility and Corporate Bond Yields, Scholarly Articles (2003) View citations (539) (2003)
47. 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) View citations (20) (2003)
48. Household Risk Management and Optimal Mortgage Choice
    The Quarterly Journal of Economics, 2003, 118, (4), 1449-1494 View citations (350)
    See also Working Paper Household Risk Management and Optimal Mortgage Choice, Econometric Society 2004 North American Winter Meetings (2004) View citations (2) (2004)
49. Two Puzzles of Asset Pricing and Their Implications for Investors
    The American Economist, 2003, 47, (1), 48-74 View citations (2)

2001

50. 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 (7)
51. Elasticities of Substitution in Real Business Cycle Models with Home Protection
    Journal of Money, Credit and Banking, 2001, 33, (4), 847-75 View citations (56)
    See also Working Paper Elasticities of Substitution in Real Business Cycle Models with Home Production, Scholarly Articles (2001) View citations (56) (2001)
52. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
    Journal of Finance, 2001, 56, (1), 1-43 View citations (1046)
    See also Working Paper Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk, Scholarly Articles (2001) View citations (1033) (2001)
53. Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
    Review of Finance, 2001, 5, (3), 269-292 View citations (26)
    See also Working Paper Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor, Scholarly Articles (2001) View citations (27) (2001)
54. Who Should Buy Long-Term Bonds?
    American Economic Review, 2001, 91, (1), 99-127 View citations (264)
    See also Working Paper Who Should Buy Long-Term Bonds?, Scholarly Articles (2001) View citations (249) (2001)
55. Why long horizons? A study of power against persistent alternatives
    Journal of Empirical Finance, 2001, 8, (5), 459-491 View citations (68)
    See also Working Paper Why Long Horizons? A Study of Power Against Persistent Alternatives, Scholarly Articles (2001) View citations (66) (2001)

2000

56. Asset Pricing at the Millennium
    Journal of Finance, 2000, 55, (4), 1515-1567 View citations (291)
    See also Working Paper Asset Pricing at the Millennium, Harvard Institute of Economic Research Working Papers (2000) View citations (279) (2000)
57. 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)
58. Explaining the Poor Performance of Consumption‐based Asset Pricing Models
    Journal of Finance, 2000, 55, (6), 2863-2878 View citations (95)
    See also Working Paper Explaining the Poor Performance of Consumption-Based Asset Pricing Models, Scholarly Articles (2000) View citations (121) (2000)

1999

59. Consumption and Portfolio Decisions when Expected Returns are Time Varying
    The Quarterly Journal of Economics, 1999, 114, (2), 433-495 View citations (473)
    See also Working Paper Consumption and Portfolio Decisions When Expected Returns are Time Varying, Scholarly Articles (1999) View citations (461) (1999)
60. Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    Journal of Political Economy, 1999, 107, (2), 205-251 View citations (2520)
    See also Working Paper By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior, Scholarly Articles (1999) View citations (2473) (1999)

1998

61. THE ECONOMETRICS OF FINANCIAL MARKETS
    Macroeconomic Dynamics, 1998, 2, (4), 559-562 View citations (69)

1997

62. 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 (28)

1996

63. Understanding Risk and Return
    Journal of Political Economy, 1996, 104, (2), 298-345 View citations (797)
    See also Working Paper Understanding Risk and Return, Scholarly Articles (1996) View citations (794) (1996)

1995

64. Remarks: some thoughts on systemic risk
    Proceedings, 1995, 557-561
65. Some Lessons from the Yield Curve
    Journal of Economic Perspectives, 1995, 9, (3), 129-152 View citations (202)
    See also Working Paper Some Lessons from the Yield Curve, NBER Working Papers (1995) View citations (202) (1995)

1994

66. Inspecting the mechanism: An analytical approach to the stochastic growth model
    Journal of Monetary Economics, 1994, 33, (3), 463-506 View citations (233)
    See also Working Paper Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model, Scholarly Articles (1994) View citations (232) (1994)
67. The New Palgrave Dictionary of Money and Finance
    Journal of Economic Literature, 1994, 32, (2), 667-73 View citations (5)

1993

68. A Note on Johansen's Cointegration Procedure When Trends Are Present
    Empirical Economics, 1993, 18, (4), 777-89 View citations (39)
69. Intertemporal Asset Pricing without Consumption Data
    American Economic Review, 1993, 83, (3), 487-512 View citations (465)
    See also Working Paper Intertemporal Asset Pricing Without Consumption Data, Scholarly Articles (1993) View citations (459) (1993)
70. Smart Money, Noise Trading and Stock Price Behaviour
    The Review of Economic Studies, 1993, 60, (1), 1-34 View citations (191)
    See also Working Paper Smart Money, Noise Trading and Stock Price Behaviour, Scholarly Articles (1993) View citations (190) (1993)
71. Trading Volume and Serial Correlation in Stock Returns
    The Quarterly Journal of Economics, 1993, 108, (4), 905-939 View citations (645)
    See also Working Paper Trading Volume and Serial Correlation in Stock Returns, Scholarly Articles (1993) View citations (626) (1993)
72. 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 (543)
    See also Working Paper What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns, Scholarly Articles (1993) View citations (544) (1993)
73. Where Do Betas Come From? Asset Price Dynamics and the
    The Review of Financial Studies, 1993, 6, (3), 567-92 View citations (77)

1992

74. 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 (829)
    See also Working Paper No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns, Scholarly Articles (1992) View citations (899) (1992)
75. 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 (241)
    See also Working Paper Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration, Scholarly Articles (1992) View citations (249) (1992)
76. Racines unitaires en macroéconomie: le cas multidimensionnel
    Annals of Economics and Statistics, 1992, (27), 1-50 View citations (7)

1991

77. A Variance Decomposition for Stock Returns
    Economic Journal, 1991, 101, (405), 157-79 View citations (833)
    See also Working Paper A Variance Decomposition for Stock Returns, Scholarly Articles (1991) View citations (826) (1991)
78. 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
79. The response of consumption to income: A cross-country investigation
    European Economic Review, 1991, 35, (4), 723-756 View citations (308)
80. Yield Spreads and Interest Rate Movements: A Bird's Eye View
    The Review of Economic Studies, 1991, 58, (3), 495-514 View citations (889)
    See also Working Paper Yield Spreads and Interest Rate Movements: A Bird's Eye View, Scholarly Articles (1991) View citations (897) (1991)

1990

81. Editors' introduction
    Journal of Econometrics, 1990, 45, (1-2), 1-5
82. Measuring the Persistence of Expected Returns
    American Economic Review, 1990, 80, (2), 43-47 View citations (27)
    See also Working Paper Measuring the Persistence of Expected Returns, Scholarly Articles (1990) View citations (27) (1990)
83. Permanent Income, Current Income, and Consumption
    Journal of Business & Economic Statistics, 1990, 8, (3), 265-79 View citations (426)
    See also Working Paper Permanent Income, Current Income, and Consumption, Scholarly Articles (1990) View citations (422) (1990)
84. U.S. Corporate Leverage: Developments in 1987 and 1988
    Brookings Papers on Economic Activity, 1990, 21, (1), 255-286 View citations (7)
    See also Working Paper U.S. corporate leverage: developments in 1987 and 1988, Finance and Economics Discussion Series (1990) View citations (9) (1990)

1989

85. Finance theory and the term structure a comment
    Carnegie-Rochester Conference Series on Public Policy, 1989, 31, (1), 177-184
86. International evidence on the persistence of economic fluctuations
    Journal of Monetary Economics, 1989, 23, (2), 319-333 View citations (107)
    See also Working Paper International Evidence on the Persistence of Economic Fluctuations, Scholarly Articles (1989) View citations (107) (1989)
87. The dividend ratio model and small sample bias: A Monte Carlo study
    Economics Letters, 1989, 29, (4), 325-331 View citations (16)
    See also Working Paper The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study, NBER Technical Working Papers (1988) View citations (3) (1988)
88. Why is Consumption So Smooth?
    The Review of Economic Studies, 1989, 56, (3), 357-373 View citations (371)
    See also Working Paper Why Is Consumption So Smooth?, Scholarly Articles (1989) View citations (364) (1989)

1988

89. Interpreting cointegrated models
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 505-522 View citations (79)
    See also Working Paper Interpreting Cointegrated Models, NBER Working Papers (1988) View citations (71) (1988)
90. Is There a Corporate Debt Crisis?
    Brookings Papers on Economic Activity, 1988, 19, (1), 83-140 View citations (85)
91. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
    The Review of Financial Studies, 1988, 1, (3), 195-228 View citations (1939)
    See also Working Paper The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors, NBER Working Papers (1986) View citations (56) (1986)

1987

92. Are Output Fluctuations Transitory?
    The Quarterly Journal of Economics, 1987, 102, (4), 857-880 View citations (391)
    See also Working Paper Are Output Fluctuations Transitory?, Scholarly Articles (1987) View citations (368) (1987)
93. Cointegration and Tests of Present Value Models
    Journal of Political Economy, 1987, 95, (5), 1062-88 View citations (1230)
    See also Working Paper Cointegration and Tests of Present Value Models, Scholarly Articles (1987) View citations (1216) (1987)
94. Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis
    Econometrica, 1987, 55, (6), 1249-73 View citations (432)
    See also Working Paper Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis, NBER Working Papers (1986) View citations (6) (1986)
95. Macroeconomic lessons from Britain: A review essay
    Journal of Monetary Economics, 1987, 19, (2), 315-324
96. 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 (56)
    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) View citations (55) (1987)
97. Permanent and Transitory Components in Macroeconomic Fluctuations
    American Economic Review, 1987, 77, (2), 111-17 View citations (102)
    See also Working Paper Permanent and Transitory Components in Macroeconomic Fluctuations, Scholarly Articles (1987) View citations (94) (1987)
98. Stock returns and the term structure
    Journal of Financial Economics, 1987, 18, (2), 373-399 View citations (993)
    See also Working Paper Stock Returns and the Term Structure, Scholarly Articles (1987) View citations (1004) (1987)
99. The dollar and real interest rates
    Carnegie-Rochester Conference Series on Public Policy, 1987, 27, (1), 103-139 View citations (104)
    See also Working Paper The Dollar and Real Interest Rates, NBER Working Papers (1987) View citations (105) (1987)
100. The term structure of euromarket interest rates: An empirical investigation
     Journal of Monetary Economics, 1987, 19, (1), 25-44 View citations (45)
     See also Working Paper The Term Structure of Euromarket Interest Rates: An Empirical Investigation, Scholarly Articles (1987) View citations (43) (1987)

1986

101. A Defense of Traditional Hypotheses about the Term Structure of Interest Rates
     Journal of Finance, 1986, 41, (1), 183-93 View citations (58)
     See also Working Paper A Defense of Traditional Hypotheses about the Term Structure of Interest Rates, Scholarly Articles (1986) View citations (60) (1986)
102. Bond and Stock Returns in a Simple Exchange Model
     The Quarterly Journal of Economics, 1986, 101, (4), 785-803 View citations (120)
     See also Working Paper Bond and Stock Returns in a Simple Exchange Model, Scholarly Articles (1986) View citations (115) (1986)

1984

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

1983

104. Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates
     Brookings Papers on Economic Activity, 1983, 14, (1), 173-224 View citations (337)
     See also Working Paper Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates, Cowles Foundation Discussion Papers (1983) View citations (307) (1983)

Books

2010

1. The Squam Lake Report: Fixing the Financial System
   Economics Books, Princeton University Press View citations (111)
   See also Journal Article The Squam Lake Report: Fixing the Financial System, Journal of Applied Corporate Finance, Morgan Stanley (2010) View citations (121) (2010)

2008

2. Asset Prices and Monetary Policy
   NBER Books, National Bureau of Economic Research, Inc View citations (48)

2002

3. Strategic Asset Allocation: Portfolio Choice for Long-Term Investors
   OUP Catalogue, Oxford University Press View citations (753)

2001

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

1990

5. 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 (349)

2000

2. 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
   See also Working Paper Economic Budgeting for Endowment-Dependent Universities, National Bureau of Economic Research, Inc (2024) (2024)
2. Introduction to "Financing Institutions of Higher Education"
   A chapter in Financing Institutions of Higher Education, 2024

2013

3. A multivariate model of strategic asset allocation
   Chapter 39 in HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, 2013, pp 809-848
   See also Journal Article A multivariate model of strategic asset allocation, Elsevier (2003) View citations (234) (2003)
   Working Paper A Multivariate Model of Strategic Asset Allocation, Harvard University Department of Economics (2003) View citations (231) (2003)
4. Comment on "Shocks and Crashes"
   A chapter in NBER Macroeconomics Annual 2013, Volume 28, 2013, pp 355-366

2010

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

2008

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

2003

7. Consumption-based asset pricing
   Chapter 13 in Handbook of the Economics of Finance, 2003, vol. 1, Part 2, pp 803-887 View citations (440)
   See also Working Paper Consumption-Based Asset Pricing, Harvard - Institute of Economic Research (2002) View citations (60) (2002)

2001

8. 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 View citations (52)
9. Investing Retirement Wealth: A Life-Cycle Model
   A chapter in Risk Aspects of Investment-Based Social Security Reform, 2001, pp 439-482 View citations (115)
   See also Working Paper Investing Retirement Wealth? A Life-Cycle Model, Harvard - Institute of Economic Research (2000) View citations (10) (2000)

1999

10. Asset prices, consumption, and the business cycle
    Chapter 19 in Handbook of Macroeconomics, 1999, vol. 1, Part C, pp 1231-1303 View citations (364)
    See also Working Paper Asset Prices, Consumption, and the Business Cycle, National Bureau of Economic Research, Inc (1998) View citations (39) (1998)

1996

11. A Scorecard for Indexed Government Debt
    A chapter in NBER Macroeconomics Annual 1996, Volume 11, 1996, pp 155-208 View citations (89)
    See also Working Paper A Scorecard for Indexed Government Debt, National Bureau of Economic Research, Inc (1996) View citations (91) (1996)

1995

12. Accounting for Stock Price Movements
    Palgrave Macmillan

1994

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

1993

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

1991

15. Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots
    A chapter in NBER Macroeconomics Annual 1991, Volume 6, 1991, pp 141-220 View citations (1045)
    See also Working Paper Pitfalls and Opportunities: What Macroeconomics should know about unit roots, Princeton, Department of Economics - Econometric Research Program (1991) View citations (339) (1991)

1989

16. Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence
    A chapter in NBER Macroeconomics Annual 1989, Volume 4, 1989, pp 185-246 View citations (1251)
    See also Working Paper Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence, National Bureau of Economic Research, Inc (1989) View citations (1277) (1989)