John Y. Campbell - Publications

Affiliations: 
Economics Harvard University, Cambridge, MA, United States 

122 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Campbell JY, Sigalov R. Portfolio Choice with Sustainable Spending: A Model of Reaching for Yield National Bureau of Economic Research. DOI: 10.2139/Ssrn.3527179  0.435
2020 Campbell JY, Clara N, Cocco JF. Structuring Mortgages for Macroeconomic Stability National Bureau of Economic Research. DOI: 10.2139/Ssrn.3135366  0.436
2020 Campbell JY, Pflueger C, Viceira LM. Monetary Policy Drivers of Bond and Equity Risks Journal of Political Economy. 128: 3148-3185. DOI: 10.2139/Ssrn.2332106  0.781
2019 Campbell JY, Ramadorai T, Ranish B. Do the Rich Get Richer in the Stock Market? Evidence from India American Economic Review: Insights. 1: 225-240. DOI: 10.1257/aeri.20180158  0.32
2018 Campbell JY. The Influence of Stephen A. Ross: Reflections of an Empirical Finance Economist The Journal of Portfolio Management. 44: 27-34. DOI: 10.3905/Jpm.2018.44.6.027  0.417
2018 Badarinza C, Campbell JY, Ramadorai T. What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable-Rate Mortgages Management Science. 64: 2275-2288. DOI: 10.2139/Ssrn.2273430  0.729
2018 Campbell JY, Giglio S, Polk C, Turley RS. An Intertemporal CAPM with Stochastic Volatility Journal of Financial Economics. 128: 207-233. DOI: 10.2139/Ssrn.2021846  0.519
2016 Campbell JY. Restoring Rational Choice: The Challenge of Consumer Financial Regulation American Economic Review. 106: 1-30. DOI: 10.1257/Aer.P20161127  0.462
2016 Badarinza C, Campbell JY, Ramadorai T. International Comparative Household Finance Annual Review of Economics. 8: 111-144. DOI: 10.1146/Annurev-Economics-080315-015425  0.711
2015 Andersen S, Campbell JY, Nielsen KM, Ramadorai T. Inattention and Inertia in Household Finance: Evidence from the Danish Mortgage Market National Bureau of Economic Research. DOI: 10.2139/Ssrn.2463575  0.745
2015 Campbell JY, Ramadorai T, Ranish B. The impact of regulation on mortgage risk: Evidence from India American Economic Journal: Economic Policy. 7: 71-102. DOI: 10.1257/Pol.20130220  0.714
2015 Campbell JY, Cocco JF. A Model of Mortgage Default Journal of Finance. 70: 1495-1554. DOI: 10.1111/Jofi.12252  0.43
2015 Campbell JY, Cochrane JH. The fragile benefits of endowment destruction Journal of Political Economy. 123: 1214-1226. DOI: 10.1086/681640  0.369
2014 Campbell JY. Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller Scandinavian Journal of Economics. 116: 593-634. DOI: 10.2139/Ssrn.2417875  0.488
2014 Campbell JY, Ramadorai T, Ranish B. Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience National Bureau of Economic Research. DOI: 10.2139/Ssrn.2176222  0.778
2014 Campbell JY. Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller: Empirical asset pricing The Scandinavian Journal of Economics. 116: 593-634. DOI: 10.1111/Sjoe.12070  0.464
2013 Polk C, Campbell JY. Nobel 2013 Economics: Predicting asset prices. Nature. 504: 97. PMID 24305157 DOI: 10.1038/504097A  0.383
2013 Campbell JY, Sunderam A, Viceira LM. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds National Bureau of Economic Research. DOI: 10.2139/Ssrn.1108301  0.783
2013 Baily MN, Campbell JY, Cochrane JH, Diamond DW, Duffie D, French KR, Kashyap AK, Mishkin FS, Rajan R, Scharfstein DS, Shiller RJ, Slaughter MJ, Shin HS, Stein J, Stulz RM. Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group Journal of Applied Corporate Finance. 25: 37-40. DOI: 10.1111/Jacf.12040  0.644
2013 Campbell JY. Mortgage market design Review of Finance. 17: 1-33. DOI: 10.1093/Rof/Rfs030  0.468
2012 Campbell JY, Ramadorai T, Ranish BM. How Do Regulators Influence Mortgage Risk: Evidence from an Emerging Market National Bureau of Economic Research. DOI: 10.3386/W18394  0.741
2012 Campbell JY, Lo AW, MacKinlay AC. The econometrics of financial markets The Econometrics of Financial Markets. 1-611.  0.348
2011 Campbell JY, Jackson HE, Madrian BC, Tufano P. Consumer Financial Protection. The Journal of Economic Perspectives : a Journal of the American Economic Association. 25: 91-114. PMID 24991083 DOI: 10.1257/Jep.25.1.91  0.436
2011 Campbell JY, Giglio S, Pathak P. Forced sales and house prices American Economic Review. 101: 2108-2131. DOI: 10.1257/Aer.101.5.2108  0.454
2011 Campbell JY, Jackson HE, Madrian BC, Tufano P. Making financial markets work for consumers Harvard Business Review. 89: 1.  0.31
2010 Campbell JY, Serfaty-De Medeiros K, Viceira LM. Global currency hedging Journal of Finance. 65: 87-121. DOI: 10.2139/Ssrn.970847  0.789
2010 Campbell JY, Polk C, Vuolteenaho T. Growth or glamour? Fundamentals and systematic risk in stock returns Review of Financial Studies. 23: 305-344. DOI: 10.1093/Rfs/Hhp029  0.443
2010 French KR, Baily MN, Campbell JY, Cochrane JH, Diamond DW, Duffie D, Kashyap AK, Mishkin FS, Rajan RG, Scharfstein DS, Shiller RJ, Shin HS, Slaughter MJ, Stein JC, Stulz RM. The Squam Lake report: Fixing the financial system The Squam Lake Report: Fixing the Financial System. 1-167.  0.356
2010 French KR, Baily MN, Campbell JY, Cochrane JH, Diamond DW, Duffie D, Kashyap AK, Mishkin FS, Rajan RG, Scharfstein DS, Shiller RJ, Shin HS, Slaughter MJ, Stein JC, Stulz RM. The Squam Lake report: Fixing the financial system The Squam Lake Report: Fixing the Financial System. 1-167.  0.629
2009 Calvet LE, Campbell JY, Sodini P. Fight or flight? portfolio rebalancing by individual investors Quarterly Journal of Economics. 124: 301-348. DOI: 10.3386/W14177  0.435
2009 Campbell JY, Shiller RJ, Viceira LM. Understanding Inflation-Indexed Bond Markets National Bureau of Economic Research. 40: 79-138. DOI: 10.2139/Ssrn.1408247  0.821
2009 Calvet LE, Campbell JY, Sodini P. Measuring the financial sophistication of households American Economic Review. 99: 393-398. DOI: 10.1257/Aer.99.2.393  0.418
2009 Campbell JY. The changing role of nominal government bonds in asset allocation Geneva Risk and Insurance Review. 34: 89-104. DOI: 10.1057/Grir.2009.7  0.454
2009 Campbell JY, Ramadorai T, Schwartz A. Caught on tape: Institutional trading, stock returns, and earnings announcements Journal of Financial Economics. 92: 66-91. DOI: 10.1016/J.Jfineco.2008.03.006  0.757
2009 Campbell JY, Shiller R, Viceira LM. Understanding inflation-indexed bond markets Brookings Papers On Economic Activity. 79-120.  0.789
2008 Campbell JY, Hilscher J, Szilagyi J. In search of distress risk Journal of Finance. 63: 2899-2939. DOI: 10.1111/J.1540-6261.2008.01416.X  0.462
2008 Campbell JY. Viewpoint: Estimating the equity premium Canadian Journal of Economics. 41: 1-21. DOI: 10.1111/J.1365-2966.2008.00453.X  0.442
2008 Campbell JY, Thompson SB. Predicting excess stock returns out of sample: Can anything beat the historical average? Review of Financial Studies. 21: 1509-1531. DOI: 10.1093/Rfs/Hhm055  0.426
2007 Campbell JY. Estimating the Equity Premium Canadian Journal of Economics. DOI: 10.3386/W13423  0.453
2007 Calvet LE, Campbell JY, Sodini P. Down or out: Assessing the welfare costs of household investment mistakes Journal of Political Economy. 115: 707-747. DOI: 10.1086/524204  0.434
2007 Campbell JY, Nosbusch Y. Intergenerational risksharing and equilibrium asset prices Journal of Monetary Economics. 54: 2251-2268. DOI: 10.1016/J.Jmoneco.2007.07.002  0.418
2007 Campbell JY, Cocco JF. How do house prices affect consumption? Evidence from micro data Journal of Monetary Economics. 54: 591-621. DOI: 10.1016/J.Jmoneco.2005.10.016  0.471
2006 Campbell JY, Viceira LM. Strategic Asset Allocation for Pension Plans The Oxford Handbook of Pensions and Retirement Income. DOI: 10.1093/oxfordhb/9780199272464.003.0022  0.691
2006 Piazzesi M, Schneider M, Benigno P, Campbell JY. Equilibrium Yield Curves [with Comments and Discussion] Nber Macroeconomics Annual. 21: 389-472. DOI: 10.1086/Ma.21.25554958  0.446
2006 Campbell JY, Yogo M. Efficient tests of stock return predictability Journal of Financial Economics. 81: 27-60. DOI: 10.1016/J.Jfineco.2005.05.008  0.714
2005 Campbell JY, Shiller RJ. Valuation ratios and the long-run stock market outlook: An update Advances in Behavioral Finance. 2: 173-201. DOI: 10.3386/W8221  0.679
2005 Campbell JY, Viceira LM. The term structure of the risk-return trade-off Financial Analysts Journal. 61: 34-44. DOI: 10.2469/Faj.V61.N1.2682  0.806
2005 Campbell JY, Thompson SB. Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average? National Bureau of Economic Research. DOI: 10.2139/Ssrn.770953  0.411
2005 Campbell JY, Ramadorai T, Vuolteenaho TO. Caught On Tape: Institutional Order Flow and Stock Returns National Bureau of Economic Research. DOI: 10.2139/Ssrn.770764  0.724
2004 Campbell JY, Vuolteenaho T, Ramadorai T. Caught on Tape: Predicting Institutional Ownership With Order Flow The Finance. DOI: 10.2139/Ssrn.519882  0.715
2004 Campbell JY, Vuolteenaho T. Bad beta, good beta American Economic Review. 94: 1249-1275. DOI: 10.1257/0002828043052240  0.389
2004 Campbell JY, Vuolteenaho T. Inflation illusion and stock prices American Economic Review. 94: 19-23. DOI: 10.1257/0002828041301533  0.492
2004 Campbell JY. An interview with Robert J. Shiller Macroeconomic Dynamics. 8: 649-683. DOI: 10.1017/S1365100504040027  0.479
2004 Campbell JY. Two puzzles of asset pricing and their implications for investors New Frontiers in Economics. 128-170. DOI: 10.1017/CBO9780511754357.007  0.47
2004 Campbell JY, Chacko G, Rodriguez J, Viceira LM. Strategic asset allocation in a continuous-time VAR model Journal of Economic Dynamics and Control. 28: 2195-2214. DOI: 10.1016/J.Jedc.2003.09.005  0.748
2003 Campbell JY, Cocco JF. Household risk management and optimal mortgage choice Quarterly Journal of Economics. 118: 1449-1494. DOI: 10.1162/003355303322552847  0.464
2003 Campbell JY, Viceira LM, White JS. Foreign currency for long-term investors Economic Journal. 113: C1-C25. DOI: 10.1111/1468-0297.00120  0.81
2003 Campbell JY, Taksler GB. Equity Volatility and Corporate Bond Yields Journal of Finance. 58: 2321-2349. DOI: 10.1046/J.1540-6261.2003.00607.X  0.414
2003 Campbell JY. Chapter 13 Consumption-based asset pricing Handbook of the Economics of Finance. 1: 803-887. DOI: 10.1016/S1574-0102(03)01022-7  0.527
2003 Campbell JY, Chan YL, Viceira LM. A multivariate model of strategic asset allocation Journal of Financial Economics. 67: 41-80. DOI: 10.1016/S0304-405X(02)00231-3  0.8
2002 Campbell JY. Consumption-Based Asset Pricing Handbook of the Economics of Finance. 803-887. DOI: 10.2139/Ssrn.343784  0.532
2001 Campbell JY, Ludvigson S. Elasticities of substitution in real business cycle models with home production Journal of Money, Credit and Banking. 33: X-875. DOI: 10.2307/2673926  0.406
2001 Campbell JY, Viceira LM. Who should buy long-term bonds? American Economic Review. 91: 99-127. DOI: 10.2139/Ssrn.140271  0.788
2001 Campbell JY, Lettau M, Malkiel BG, Xu Y. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk Journal of Finance. 56: 1-43. DOI: 10.1111/0022-1082.00318  0.477
2001 Campbell JY, Cocco J, Gomes F, Maenhout PJ, Viceira LM. Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor Review of Finance. 5: 269-292. DOI: 10.1023/A:1013860504885  0.776
2001 Campbell JY. Why long horizons? A study of power against persistent alternatives Journal of Empirical Finance. 8: 459-491. DOI: 10.1016/S0927-5398(01)00037-8  0.337
2001 Campbell JY, Cocco J, Gomes F, Maenhout PJ, Viceira LM. Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor Review of Finance. 5: 269-292.  0.808
2000 Campbell JY. Comment on Low Inflation: The Behavior of Financial Markets and Institutions Journal of Money, Credit and Banking. 32: 1088. DOI: 10.2307/2601161  0.427
2000 Campbell JY, Cochrane JH. Explaining the poor performance of consumption-based asset pricing models Journal of Finance. 55: 2863-2878. DOI: 10.1111/0022-1082.00310  0.418
2000 Campbell JY. Asset pricing at the millennium Journal of Finance. 55: 1515-1567. DOI: 10.1111/0022-1082.00260  0.477
1999 Campbell JY, Lettau M. Dispersion and Volatility in Stock Returns: an Empirical Investigation National Bureau of Economic Research. DOI: 10.3386/W7144  0.456
1999 Campbell JY, Cocco JF, Gomes FJ, Maenhout PJ. Investing Retirement Wealth: A Life-Cycle Model National Bureau of Economic Research. 439-482. DOI: 10.2139/Ssrn.236444  0.437
1999 Campbell JY, Viceira LM. Consumption and portfolio decisions when expected returns are time varying Quarterly Journal of Economics. 114: 433-495. DOI: 10.1162/003355399556043  0.794
1999 Campbell JY. [Stock Prices and Fundamentals]: Comment Nber Macroeconomics Annual. 14: 253-262. DOI: 10.1086/654389  0.45
1999 Campbell JY, Cochrane JH. By force of habit: A consumption-based explanation of aggregate stock market behavior Journal of Political Economy. 107: 205-251. DOI: 10.1086/250059  0.517
1999 Campbell JY. Chapter 19 Asset prices, consumption, and the business cycle Handbook of Macroeconomics. 1: 1231-1303. DOI: 10.1016/S1574-0048(99)10032-6  0.519
1998 Campbell JY, Shiller RJ. Valuation Ratios and the Long-Run Stock Market Outlook The Journal of Portfolio Management. 24: 11-26. DOI: 10.3905/Jpm.24.2.11  0.678
1998 Campbell JY. Asset Prices, Consumption, and the Business Cycle National Bureau of Economic Research. 1231-1303. DOI: 10.3386/W6485  0.531
1998 Campbell JY, Shiller RJ. Valuation ratios and the long-run stock market outlook: Ratios are extraordinarily bearish Journal of Portfolio Management. 24: 11-26.  0.632
1997 Barr DG, Campbell JY. Inflation, real interest rates, and the bond market: A study of UK nominal and index-linked government bond prices Journal of Monetary Economics. 39: 361-383. DOI: 10.1016/S0304-3932(97)00027-5  0.484
1997 Campbell JY, Koo HK. A comparison of numerical and analytic approximate solutions to an intertemporal consumption choice problem Journal of Economic Dynamics and Control. 21: 273-295. DOI: 10.1016/S0165-1889(96)00932-3  0.32
1996 Campbell JY. Consumption and the Stock Market: Interpreting International Experience National Bureau of Economic Research. DOI: 10.3386/W5610  0.482
1996 Campbell JY, Shiller RJ. A Scorecard for Indexed Government Debt Nber Macroeconomics Annual. 11: X3-197. DOI: 10.1086/654299  0.651
1996 Campbell JY. Understanding risk and return Journal of Political Economy. 104: 298-345. DOI: 10.1086/262026  0.513
1995 Campbell JY. Some Lessons from the Yield Curve Journal of Economic Perspectives. 9: 129-152. DOI: 10.1257/Jep.9.3.129  0.472
1994 Campbell JY. Inspecting the mechanism: An analytical approach to the stochastic growth model Journal of Monetary Economics. 33: 463-506. DOI: 10.1016/0304-3932(94)90040-X  0.302
1993 Campbell JY, Froot KA. International Experiences with Securities Transaction Taxes National Bureau of Economic Research. 277-308. DOI: 10.3386/W4587  0.37
1993 Campbell JY, Ammer J. What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns Journal of Finance. 48: 3-37. DOI: 10.2307/2328880  0.528
1993 Campbell JY, Kyle AS. Smart money noise trading and stock price behaviour Review of Economic Studies. 60: 1-34. DOI: 10.2307/2297810  0.493
1993 Campbell JY, Grossman SJ, Wang J. Trading volume and serial correlation in stock returns Quarterly Journal of Economics. 108: 905-939. DOI: 10.2307/2118454  0.487
1993 Campbell JY, Mei J. Where Do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk Review of Financial Studies. 6: 567-592. DOI: 10.1093/Rfs/5.3.567  0.372
1993 Perron P, Campbell JY. A note on Johansen's cointegration procedure when trends are present Empirical Economics. 18: 777-789. DOI: 10.1007/Bf01205421  0.317
1992 Campbell JY. Intertemporal Asset Pricing Without Consumption Data The American Economic Review. 83: 487-512. DOI: 10.3386/W3989  0.502
1992 CAMPBELL JY, HAMAO Y. Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration The Journal of Finance. 47: 43-69. DOI: 10.1111/J.1540-6261.1992.Tb03978.X  0.517
1992 Campbell JY. [Asset Pricing Explorations for Macroeconomics]: Comment Nber Macroeconomics Annual. 7: 165-169. DOI: 10.1086/654192  0.45
1992 Campbell JY, Hentschel L. No news is good news. An asymmetric model of changing volatility in stock returns Journal of Financial Economics. 31: 281-318. DOI: 10.1016/0304-405X(92)90037-X  0.458
1991 Campbell JY, Shiller RJ. Yield spreads and interest rate movements: A bird’s eye view Review of Economic Studies. 58: 495-514. DOI: 10.2307/2298008  0.634
1991 Campbell JY. A Variance Decomposition for Stock Returns The Economic Journal. 101: 157-179. DOI: 10.2307/2233809  0.453
1991 Campbell JY. Aggregate investment, the stock market and the Q model: Robust results for six OECD countries. by G. Sensenbrenner European Economic Review. 35: 826-830. DOI: 10.1016/0014-2921(91)90037-J  0.402
1991 Campbell JY, Mankiw NG. The response of consumption to income. A cross-country investigation European Economic Review. 35: 723-756. DOI: 10.1016/0014-2921(91)90033-F  0.352
1990 Campbell JY. Measuring the Persistence of Expected Returns The American Economic Review. 80: 43-47. DOI: 10.3386/W3305  0.429
1990 Campbell JY, Mankiw NG. Permanent income, current income, and consumption Journal of Business and Economic Statistics. 8: 265-279. DOI: 10.2307/1391964  0.36
1989 Campbell J, Deaton A. Why is Consumption So Smooth? The Review of Economic Studies. 56: 357. DOI: 10.2307/2297552  0.335
1989 Campbell JY, Mankiw NG. Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence Nber Macroeconomics Annual. 4: 185-216. DOI: 10.1086/654107  0.414
1989 Campbell JY, Mankiw NG. International evidence on the persistence of economic fluctuations Journal of Monetary Economics. 23: 319-333. DOI: 10.1016/0304-3932(89)90054-8  0.36
1989 Campbell JY, Shiller RJ. The dividend ratio model and small sample bias. A Monte Carlo study Economics Letters. 29: 325-331. DOI: 10.1016/0165-1765(89)90211-5  0.544
1988 Campbell JY, Shiller RJ. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors Review of Financial Studies. 1: 195-228. DOI: 10.1093/Rfs/1.3.195  0.651
1988 Campbell JY, Shiller RJ. Interpreting cointegrated models Journal of Economic Dynamics and Control. 12: 505-522. DOI: 10.1016/0165-1889(88)90053-X  0.597
1987 Campbell JY, Clarida RH. Household Saving and Permanent Income in Canada and the United Kingdom National Bureau of Economic Research. DOI: 10.3386/W2223  0.376
1987 Campbell JY, Mankiw NG. Permanent and Transitory Components in Macroeconomic Fluctuations The American Economic Review. 77: 111-117. DOI: 10.3386/W2169  0.333
1987 Campbell JY, Deaton AS. Is Consumption Too Smooth The Review of Economic Studies. 56: 357-373. DOI: 10.3386/W2134  0.399
1987 Campbell JY. 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. 19: 56. DOI: 10.2307/1992245  0.399
1987 Campbell JY. Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis Econometrica. 55: 1249. DOI: 10.2307/1913556  0.344
1987 Campbell JY, Mankiw NG. Are Output Fluctuations Transitory? The Quarterly Journal of Economics. 102: 857. DOI: 10.2307/1884285  0.335
1987 Campbell JY, Shiller RJ. Cointegration and Tests of Present Value Models Journal of Political Economy. 95: 1062-1088. DOI: 10.1086/261502  0.543
1987 Campbell JY. Stock returns and the term structure Journal of Financial Economics. 18: 373-399. DOI: 10.1016/0304-405X(87)90045-6  0.471
1987 Campbell JY, Clarida RH. The term structure of euromarket interest rates. An empirical investigation Journal of Monetary Economics. 19: 25-44. DOI: 10.1016/0304-3932(87)90027-4  0.417
1987 Campbell JY, Clarida RH. The dollar and real interest rates Carnegie-Rochester Confer. Series On Public Policy. 27: 103-139. DOI: 10.1016/0167-2231(87)90005-4  0.4
1986 Campbell JY. Bond and stock returns in a simple exchange model Quarterly Journal of Economics. 101: 785-803. DOI: 10.2307/1884178  0.52
1986 CAMPBELL JY. A Defense of Traditional Hypotheses about the Term Structure of Interest Rates The Journal of Finance. 41: 183-193. DOI: 10.1111/J.1540-6261.1986.Tb04498.X  0.41
1983 Campbell JY, Shiller RJ. A Simple Account of the Behavior of Long-Term Interest Rates The American Economic Review. 74: 44-48. DOI: 10.3386/W1203  0.617
1983 Shiller RJ, Campbell JY, Schoenholtz KL, Weiss L. Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates Brookings Papers On Economic Activity. 1983: 173. DOI: 10.2307/2534355  0.557
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