… [GARCH-M models were estimated in the first version of this paper, Campbell and
Hentschel (1991), and the residuals were, if anything, slightly more skewed.] The evidence for …

This paper surveys the field of asset pricing. The emphasis is on the interplay between theory
and empirical work and on the trade‐off between risk and return. Modern research seeks …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical finance. …

… We argued in Campbell and Shiller 2 that the log dividend-price ratio follows a stationary
stochastic process, so that it has a fixed mean that can be used as the expansion point δ. We …

In monthly US data for 1959–1979 and 1979–1983, the state of the term structure of interest
rates predicts excess stock returns, as well as excess returns on bills and bonds. This paper …

This chapter reviews the behavior of financial asset prices in relation to consumption. The
chapter lists some important stylized facts that characterize US data, and relates them to recent …

… 2 The first version of this paper, following Campbell (1996a), also presented data for Spain.
However Spain, unlike the other countries in the sample, underwent a major political change …

This paper explores the determinants of corporate failure and the pricing of financially
distressed stocks whose failure probability, estimated from a dynamic logit model using …

… The working paper version of this article (Campbell and Cochrane 1995) includes explicit …
To complete the example, we show in the appendix (Campbell and Cochrane 1998a) that …

A dividend-ratio model is introduced here that makes the log of the dividend-price ratio on a
stock linear in optimally forecast future one-period real discount rates and future one-period …