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John Campbell

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Replication data for: Consumption-Based Asset Pricing
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Citation Information
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John Y. Campbell, 2007, "Replication data for: Consumption-Based Asset Pricing", hdl:1902.1/UQRPVVDBHI UNF:3:wDZfht0d++JDkQXKUkkgng== Murray Research Archive [Distributor]
Study Global Idhdl:1902.1/UQRPVVDBHI
AuthorsJohn Y. Campbell (Harvard University)
ProducerJohn Y. Campbell
Production Date2003
DistributorMurray Research Archive Logo
Distributor Contactmra_support@help.hmdc.harvard.edu
Distribution Date2007
Deposit DateJune, 2007
Replication ForCampbell, John Y., 2003, "Consumption-Based Asset Pricing", Handbook of the Economics of Finance, George Constantinides, Milton Harris, and Rene Stulz eds., North-Holland, Amsterdam: article available here
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Abstract and Scope
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 in equilibrium asset pricing theory. Data from other countries are examined to see which features of the U.S. experience apply more generally. The study argues that to make sense of asset market behavior one needs a model in which the market price of risk is high, time-varying, and correlated with the state of the economy. Models that have this feature, including models with habit-formation in utility, heterogeneous investors, and irrational expectations, are discussed. The main focus is on stock returns and short-term real interest rates, but bond returns are also considered.

KeywordsFinancial asset prices; Consumption; Equilibrium asset pricing theory; Asset market behavior; Habit-formation in utility; Stock returns; Short-term real interest rates; Bond returns
Topic ClassificationContributed; Economics; John Campbell; Economic theory (LCSH); Replication
Related PublicationsJohn Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research. article available here
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