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Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior

Cataloging Information

Documentation, Data and Analysis

Use the check boxes next to the file name to download multiple files. Data files will be downloaded in their default format. You can also download all the files in a category by checking the box next to the category name. You will be prompted to save a single archive file. Study files that have restricted access will not be downloaded.

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1. Documentation

campbellcochrane_jpe1999.pdf
Adobe PDF - 1 MB - 82 downloads

Original Article based on this study

READMEUS.TXT
Plain Text - 2 KB - 89 downloads

Detailed information on the files in this study

2. Data - All Data

HabitsData.ZIP
ZIP Archive - 62 KB - 65 downloads

Data files, zipped format

2a. Data - Annual SBBI

ASBBI.DAT
Plain Text - 4 KB - 62 downloads

Annual sbbi data from 1926-95, ASCII raw numbers and program file

ASBBI.tab
Tab Separated - 3 KB - 55 downloads + analyses

Download

Annual sbbi data from 1926-95

70 Cases

5 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] ASBBI.tab [fileDscr/fileName (DDI)] UNF:3:mAS8rCvpohH1Dr5JY4FHBQ==

2b. Data - Annual CRSP

ASIA.DAT
Plain Text - 3 KB - 66 downloads

Annual crsp data downloaded 8/3/94, ASCII raw numbers and program file

ASIA.tab
Tab Separated - 2 KB - 63 downloads + analyses

Download

Annual crsp data downloaded 8/3/94

70 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] ASIA.tab [fileDscr/fileName (DDI)] UNF:3:wgiczy8M1PtHlF9BIdnceA==

2c. Data - Personal Consumption

CNS2.DAT
Plain Text - 8 KB - 60 downloads

Personal Consumption Expend, ASCII raw numbers and program file

CNS2.tab
Tab Separated - 5 KB - 53 downloads + analyses

Download

Personal Consumption Expend

148 Cases

6 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] CNS2.tab [fileDscr/fileName (DDI)] UNF:3:ahlhdPcWoYruaGhXWC9tBg==

CNS.DAT
Plain Text - 6 KB - 58 downloads

Personal Consumption Expenditures Data File, ASCII raw numbers and program file

CNS.tab
Tab Separated - 3 KB - 50 downloads + analyses

Download

Personal Consumption Expenditures Data File

189 Cases

4 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] CNS.tab [fileDscr/fileName (DDI)] UNF:3:4kCSIxV1LGBvXP7en5bZvg==

2d. Data - Aggregate Nominal Per Capita Consumption

CONSUME.DAT
Plain Text - 3 KB - 73 downloads

This file contains aggregate nominal per capita consumption of nondurables and services and the corresponding consumption deflator, annually 1889-1992. The deflator is 1 in 1987, so it converts to 1987 dollars. The series are updated versions of the ones used in Grossman and Shiller (1981), Campbell and Shiller (RFS 1988), and elsewhere in the equity premium literature. ASCII raw numbers and program file

CONSUME.tab
Tab Separated - 2 KB - 57 downloads + analyses

Download

This file contains aggregate nominal per capita consumption of nondurables and services and the corresponding consumption deflator, annually 1889-1992. The deflator is 1 in 1987, so it converts to 1987 dollars. The series are updated versions of the ones used in Grossman and Shiller (1981), Campbell and Shiller (RFS 1988), and elsewhere in the equity premium literature.

104 Cases

2 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] CONSUME.tab [fileDscr/fileName (DDI)] UNF:3:r4UVgPM6LVE2uFurcMS20Q==

2e. Data - National Income

GDIV.DAT
Plain Text - 3 KB - 57 downloads

National Income Dividends, ASCII raw numbers and program file

GDIV.tab
Tab Separated - 1 KB - 49 downloads + analyses

Download

National income Data File

148 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] GDIV.tab [fileDscr/fileName (DDI)] UNF:3:Myvp3u/PBWi6hE98cfMv5g==

2f. Data - Population

GPOP1.DAT
Plain Text - 4 KB - 51 downloads

Population: Total income armed forces overseas, ASCII raw numbers and program file

GPOP1.tab
Tab Separated - 2 KB - 47 downloads + analyses

Download

Population: Total Income Armed Forces Overseas Data File

201 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] GPOP1.tab [fileDscr/fileName (DDI)] UNF:3:TQ0TrKu5S1AKwZ5A7CixSQ==

GPOP.DAT
Plain Text - 4 KB - 52 downloads

Population: Total Income Armed Forces Data File, ASCII raw numbers and program file

GPOP.tab
Tab Separated - 2 KB - 46 downloads + analyses

Download

Population: Total Income Armed Forces Data File

200 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] GPOP.tab [fileDscr/fileName (DDI)] UNF:3:4C3WodI0xYvc+DACIUvEJw==

2g. Data - Interest Rate, Personal Consumption Expenditures, and Industrial Production

MDAT.DAT
Plain Text - 34 KB - 60 downloads

Interest Rate, Personal Consumption Expenditures, and Industrial Production Data File, ASCII raw numbers and program file

MDAT.tab
Tab Separated - 20 KB - 47 downloads + analyses

Download

Interest Rate, Personal Consumption Expenditures, and Industrial Production Data File

554 Cases

7 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] MDAT.tab [fileDscr/fileName (DDI)] UNF:3:TVU/Bs/LZQiT2WmbgOq5HA==

2h. Data - Monthly NBER

MNBERDAT.DAT
Plain Text - 203 bytes - 52 downloads

Monthly nber dates 1947-93, ASCII raw numbers and program file

MNBERDAT.tab
Tab Separated - 101 bytes - 46 downloads + analyses

Download

Monthly nber dates 1947-93

18 Cases

2 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] MNBERDAT.tab [fileDscr/fileName (DDI)] UNF:3:/5v5EUKG+rJsvqpCLCTv1g==

2i. Data - CRSP

MSIA.DAT
Plain Text - 23 KB - 56 downloads

crsp value weighted return and price appreciation, monthly data, ASCII raw numbers and program file

MSIA.tab
Tab Separated - 2 KB - 56 downloads + analyses

Download

crsp value weighted return and price appreciation, monthly data

201 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] MSIA.tab [fileDscr/fileName (DDI)] UNF:3:TQ0TrKu5S1AKwZ5A7CixSQ==

2j. Data - All Items

PUNEW.DAT
Plain Text - 14 KB - 57 downloads

All Items (82-84=100,SA), ASCII raw numbers and program file

PUNEW.tab
Tab Separated - 7 KB - 46 downloads + analyses

Download

All Items (82-84=100,SA)

591 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] PUNEW.tab [fileDscr/fileName (DDI)] UNF:3:+DYCL6d4uQQh4jtTozL2nA==

2k. Data - Quarterly SBBI

QSBBI.DAT
Plain Text - 19 KB - 49 downloads

Quarterly sbbi data, ASCII raw numbers and program file

QSBBI.tab
Tab Separated - 16 KB - 51 downloads + analyses

Download

Quarterly sbbi data

804 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] QSBBI.tab [fileDscr/fileName (DDI)] UNF:3:HrxJjZIfjejzH0dJEO4lpg==

2l. Data

QSIA.DAT
Plain Text - 13 KB - 54 downloads

Data file, ASCII raw numbers and program file

QSIA.tab
Tab Separated - 8 KB - 49 downloads + analyses

Download

Data file

280 Cases

3 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] QSIA.tab [fileDscr/fileName (DDI)] UNF:3:QQrBjb7QuwRDAJrLChjHPA==

2m. Data - Interest Rate and CPI-U

RATECPI.DAT
Plain Text - 28 KB - 50 downloads

Interest rate and CPI-U data, ASCII raw numbers and program file

RATECPI.tab
Tab Separated - 12 KB - 48 downloads + analyses

Download

Interest rate and CPI-U data

568 Cases

5 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] RATECPI.tab [fileDscr/fileName (DDI)] UNF:3:4OWhALg4iXvF9N5+fbhTWA==

2n. Data - Sangjoon Kim updates of SPV.ASC

SPV90.DAT
Plain Text - 8 KB - 54 downloads

Sangjoon Kim updates of SPV.ASC to 1990, ASCII raw numbers and program file

SPV90.tab
Tab Separated - 3 KB - 47 downloads + analyses

Download

Sangjoon Kim updates of SPV.ASC to 1990

120 Cases

6 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] SPV90.tab [fileDscr/fileName (DDI)] UNF:3:0gT8n/eZye8+LmoGspyqPw==

2o. Data - Annual Data on Equity Markets - US

USAYE.DAT
Plain Text - 7 KB - 62 downloads

This file contains annual data on Equity Markets for the US. It contains data on the S&P 500 Price Index and Dividends. This data is an updated version of that used in Grossman and Shiller (1981) and elsewhere in the equity premium literature. The updating is based on CRSP Indices Files on the S&P 500 Universe. ASCII raw numbers and program file

USAYE.tab
Tab Separated - 3 KB - 54 downloads + analyses

Download

This file contains annual data on Equity Markets for the US. It contains data on the S&P 500 Price Index and Dividends. This data is an updated version of that used in Grossman and Shiller (1981) and elsewhere in the equity premium literature. The updating is based on CRSP Indices Files on the S&P 500 Universe.

124 Cases

4 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] USAYE.tab [fileDscr/fileName (DDI)] UNF:3:kmq8aptHEXAPPZZ/lBoTKg==

2p. Data - Annual Data on Several Macroeconomic Variables - US

USAYM.DAT
Plain Text - 10 KB - 53 downloads

This file contains annual data on several macroeconomic variables for the US. This data is extracted from the Ibbotson Stocks, Bonds, Bills and Inflation CRSP Indices Files and Citibase. The early part of the sample is taken from the USAYE file. ASCII raw numbers and program file

USAYM.tab
Tab Separated - 4 KB - 54 downloads + analyses

Download

This file contains annual data on several macroeconomic variables for the US. This data is extracted from the Ibbotson Stocks, Bonds, Bills and Inflation CRSP Indices Files and Citibase. The early part of the sample is taken from the USAYE data set mentioned above.

125 Cases

6 Variables

Access Subset/Analysis

View Data Citation [+]

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", hdl:1902.1/DTIALUVLGM UNF:3:0awoLDm/Dy6gYy+DQnNXSA== Murray Research Archive [Distributor] USAYM.tab [fileDscr/fileName (DDI)] UNF:3:pqXN4NgyiDOz6J42bsENwA==

3. Supplementary Documentation

GDIV.DOC
Plain Text - 625 bytes - 54 downloads

National Income Dividends, documentation file

GPOP1.DOC
Plain Text - 625 bytes - 53 downloads

Population: Total income armed forces overseas, documentation file

PUNEW.DOC
Plain Text - 625 bytes - 55 downloads

All Items (82-84=100,SA), Documentation file

4. Detailed Usage Terms

John Y. Campbell-Data PASS Deposit Agreement.pdf
Adobe PDF - 169 KB - 36 downloads

Legal agreement between the data depositor and the Murray Archive

Harvard

© 2007 by the President and Fellows of Harvard College

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