Consumption and the Stock Market: Interpreting International Experience
John Campbell ()
No 5610, NBER Working Papers from National Bureau of Economic Research, Inc
This paper reviews the behavior of stock prices in relation to consumption. The paper lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features of the US experience apply more generally. The paper argues that to make sense of stock market behavior one needs a model in which investors' risk aversion is both high and varying, such as the external habit-formation model of Campbell and Cochrane (1995).
JEL-codes: G2 (search for similar items in EconPapers)
Note: AP EFG ME
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Published as Swedish Economic Policy Review, Vol.3 (1996): 251-299.
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Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:5610
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