John Campbell

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John Campbell

Studies: 6

Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk by John Y. Campbell; Lettau Martin; Malkiel Burton ; Xu Yexiao Abstract: This study 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 noticeable increase in firm-level ...	hdl:1902.1/DLNOJSGTIA 3342 downloads + analyses Updated: Apr 7, 2008
Replication data for: Who Should Buy Long-Term Bonds? by John Y. Campbell; Luis Viceira Abstract: According to conventional wisdom, long-term bonds are appropriate for conservative long-term investors. This paper develops a model of optimal consumption and portfolio choice for infinite-lived investors ...	hdl:1902.1/FZLJAXFHBW 967 downloads + analyses Updated: Dec 3, 2007
Replication data for: Consumption-Based Asset Pricing by John Y. Campbell Abstract: This study examines the behavior of financial asset prices in relation to consumption. The study highlights some important stylized facts that characterize U.S. data, and relates them to recent developments ...	hdl:1902.1/UQRPVVDBHI 4269 downloads + analyses Updated: Dec 3, 2007
Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior by John Y. Campbell; John Cochrane Abstract: 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 predictability of excess stock ...	hdl:1902.1/DTIALUVLGM 2378 downloads + analyses Updated: Dec 3, 2007
Replication data for: Asset Prices, Consumption, and the Business Cycle by John Y. Campbell Abstract: 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 developments ...	hdl:1902.1/KSCWRAGNIJ 10415 downloads + analyses Updated: Dec 3, 2007
Replication data for: A Multivariate Model of Strategic Asset Allocation by John Y. Campbell; Yeung L. Chan; and Luis Viceira Abstract: We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely long-lived investor with Epstein-Zin utility who faces a set of asset returns described ...	hdl:1902.1/QBXRSFLBQJ 9345 downloads + analyses Updated: Dec 3, 2007