User profiles for John Y. Campbell

John Y. Campbell

Morton L. and Carole S. Olshan Professor of Economics, Harvard University
Verified email at harvard.edu
Cited by 119671

Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk

JY Campbell, M Lettau, BG Malkiel… - The journal of finance, 2001 - Wiley Online Library
This paper uses a disaggregated approach to study the volatility of common stocks at the
market, industry, and firm levels. Over the period from 1962 to 1997 there has been a …

The econometrics of financial markets

JY Campbell, AW Lo, AC MacKinlay… - Macroeconomic …, 1998 - cambridge.org
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. …

Household finance

JY Campbell - The journal of finance, 2006 - Wiley Online Library
The study of household finance is challenging because household behavior is difficult to
measure, and households face constraints not captured by textbook models. Evidence on …

Household risk management and optimal mortgage choice

JY Campbell, JF Cocco - The Quarterly Journal of Economics, 2003 - academic.oup.com
This paper asks how a household should choose between a fixed-rate (FRM) and an
adjustable-rate (ARM) mortgage. In an environment with uncertain inflation a nominal FRM has a …

Fight or flight? Portfolio rebalancing by individual investors

LE Calvet, JY Campbell, P Sodini - The Quarterly journal of …, 2009 - academic.oup.com
This paper investigates the dynamics of individual portfolios in a unique data set containing
the disaggregated wealth of all households in Sweden. Between 1999 and 2002, we …

[BOOK][B] Strategic asset allocation: portfolio choice for long-term investors

JY Campbell, LM Viceira - 2002 - books.google.com
This short volume originates in the need to provide a scientific foundation for the advice
offered by financial planners to long-term investors-individuals saving for retirement, or …

No news is good news: An asymmetric model of changing volatility in stock returns

JY Campbell, L Hentschel - Journal of financial Economics, 1992 - Elsevier
It seems plausible that an increase in stock market volatility raises required stock returns, and
thus lowers stock prices. We develop a formal model of this volatility feedback effect using …

Predicting excess stock returns out of sample: Can anything beat the historical average?

JY Campbell, SB Thompson - The Review of Financial Studies, 2008 - academic.oup.com
Goyal and Welch ( 2007 ) argue that the historical average excess stock return forecasts
future excess stock returns better than regressions of excess returns on predictor variables. In …

Asset pricing at the millennium

JY Campbell - The Journal of Finance, 2000 - Wiley Online Library
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 …

By force of habit: A consumption-based explanation of aggregate stock market behavior

JY Campbell, JH Cochrane - Journal of political Economy, 1999 - journals.uchicago.edu
We present a consumption‐based model that explains a wide variety of dynamic asset
pricing phenomena, including the procyclical variation of stock prices, the long‐horizon …