John Y. Campbell : Citation Profile

Are you John Y. Campbell?

National Bureau of Economic Research (NBER) (25% share)
Harvard University (75% share)

74

H index

115

i10 index

34975

Citations

RESEARCH PRODUCTION:

106

Articles

257

Papers

5

Books

16

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   41 years (1983 - 2024). See details.
   Cites by year: 853
   Journals where John Y. Campbell has often published
   Relations with other researchers
   Recent citing documents: 1456.    Total self citations: 171 (0.49 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca54
   Updated: 2024-11-08    RAS profile: 2024-10-08    
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Relations with other researchers

Works with:

Ramadorai, Tarun (4)

Martin, Ian (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with John Y. Campbell.

Is cited by:

GUPTA, RANGAN (329)

Guidolin, Massimo (169)

Wohar, Mark (153)

Lettau, Martin (140)

Bekaert, Geert (139)

Pierdzioch, Christian (134)

Wachter, Jessica (124)

Engsted, Tom (120)

Issler, João (114)

Mitchell, Olivia (114)

Van Nieuwerburgh, Stijn (110)

Cites to:

Shiller, Robert (110)

Viceira, Luis (57)

Mankiw, N. Gregory (43)

Calvet, Laurent (41)

Stambaugh, Robert (38)

Cochrane, John (36)

French, Kenneth (35)

merton, robert (35)

Laibson, David (33)

Epstein, Larry (32)

Zin, Stanley (25)

Main data

Where John Y. Campbell has published?

Journals with more than one article published# docs
Journal of Finance14
American Economic Review11
Journal of Financial Economics7
Journal of Monetary Economics6
The Quarterly Journal of Economics6
Journal of Political Economy6
The Review of Financial Studies4
Brookings Papers on Economic Activity4
The Review of Economic Studies3
Journal of Money, Credit and Banking3
Critical Finance Review3
Journal of Economic Dynamics and Control3
Review of Finance2
Journal of Applied Corporate Finance2
European Economic Review2
Economic Journal2
Carnegie-Rochester Conference Series on Public Policy2
Journal of Economic Perspectives2
Proceedings2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc92
Scholarly Articles / Harvard University Department of Economics75
CEPR Discussion Papers / C.E.P.R. Discussion Papers12
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University8
Post-Print / HAL5
Working Papers / HAL2
Econometric Society 2004 North American Winter Meetings / Econometric Society2
2004 Meeting Papers / Society for Economic Dynamics2
Working Papers / Federal Reserve Bank of Philadelphia2

Recent works citing John Y. Campbell (2024 and 2023)

YearTitle of citing document
2023Trend Breaks and the Persistence of Closed-End Mutual Fund Discounts. (2023). Kim, Hyeongwoo ; Durmaz, Nazif ; Sun, Yanfei ; Lee, Hyejin. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-03.

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2023Trend Breaks and the Persistence of Closed-End Fund Discounts. (2023). Kim, Hyeongwoo ; Sun, Yanfei ; Lee, Hyejin ; Durmaz, Nazif. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-08.

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2024Information Acquisition and Individual Investors’ Trading Behavior. (2024). Shen, Kailing ; Luo, Ronghua ; Li, Yaling. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2023-698.

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2023.

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2023Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan Carlos. In: FEEM Working Papers. RePEc:ags:feemwp:330720.

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2023The Effects of New Equity Announcements on Stock Returns: An Examination on BIST. (2023). Ergun, Bahadir ; Unal, Cumali. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:8:y:2023:i:2:p:224-243.

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2023Expectations, self-fulfilling prophecies and the business cycle. (2023). Venditti, Alain ; Nishimura, Kazuo ; Dufourt, Frédéric. In: AMSE Working Papers. RePEc:aim:wpaimx:2234.

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2023Institutional Stock-Bond Portfolios Rebalancing and Financial Stability. (2023). Hasse, Jean-Baptiste ; Siagh, Souhila ; Lecourt, Christelle. In: AMSE Working Papers. RePEc:aim:wpaimx:2322.

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2023Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002.

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2023Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia. (2023). Wauters, Joris ; Iania, Leonardo ; Boeckx, Jef. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023003.

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2023Home Price Expectations and Spending: Evidence from a Field Experiment. (2023). Wohlfart, Johannes ; Roth, Christopher ; Chopra, Felix. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:233.

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2023Dynamics of financial inclusion and capital formation in Nigeria. (2023). Onyele, Kingsley Onyekachi ; Ikwuagwu, Eberechi Bernadine. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202306.

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2023Risk Aversion and Changes in Regime. (2023). Sola, Martin ; Kenc, Turalay ; Driffill, John ; Caravello, Tomas E. In: Working Papers. RePEc:aoz:wpaper:237.

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2024Equilibrium Restrictions and Approximate Models -- With an application to Pricing Macroeconomic Risk. (2019). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:1805.10869.

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2023The Cointegrated VAR without Unit Roots: Representation Theory and Asymptotics. (2020). Simons, Jerome R ; Duffy, James A. In: Papers. RePEc:arx:papers:2002.08092.

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2023New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2024Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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2024Retirement decision and optimal consumption-investment under addictive habit persistence. (2020). Yuan, Fengyi ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2011.10166.

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2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2024Three Remarks On Asset Pricing. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903.

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2024Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum. (2021). Zhang, Qinyi ; Yu, Xiang ; Li, Xun . In: Papers. RePEc:arx:papers:2108.02648.

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2023Buy Now, Pay Later (BNPL)...On Your Credit Card. (2022). Guttman-Kenney, Benedict ; Firth, Christopher ; Gathergood, John. In: Papers. RePEc:arx:papers:2201.01758.

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2024Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430.

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2024Augmented Dynamic Gordon Growth Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012.

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2023Canonical Portfolios: Optimal Asset and Signal Combination. (2022). Tan, Vincent ; Zohren, Stefan ; Firoozye, Nick. In: Papers. RePEc:arx:papers:2202.10817.

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2024Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2024The Market-Based Asset Price Probability. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2205.07256.

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2024The Log Private Company Valuation Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2206.09666.

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2024A mean field game approach to equilibrium consumption under external habit formation. (2022). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Papers. RePEc:arx:papers:2206.13341.

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2023Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623.

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2024Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752.

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2024On the Convergence of Credit Risk in Current Consumer Automobile Loans. (2022). Yan, Jun ; Pozdnyakov, Vladimir ; Lautier, Jackson P. In: Papers. RePEc:arx:papers:2211.09176.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2023Testing for Coefficient Randomness in Local-to-Unity Autoregressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2301.04853.

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2023Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). GAO, Jiti ; Peng, Bin ; Tu, Yundong ; Dong, Chaohua. In: Papers. RePEc:arx:papers:2301.06631.

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2023PRUDEX-Compass: Towards Systematic Evaluation of Reinforcement Learning in Financial Markets. (2023). An, BO ; Wang, Xinrun ; Qin, Molei ; Sun, Shuo. In: Papers. RePEc:arx:papers:2302.00586.

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2023Does higher capital maintenance drive up banks cost of equity? Evidence from Bangladesh. (2023). , Mir ; Naoaj, Md Shah. In: Papers. RePEc:arx:papers:2302.02762.

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2023Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193.

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2023The financial health of a company and the risk of its default: Back to the future. (2023). Fabrizi, Eugenio ; Dainelli, Francesco ; Bet, Gianmarco. In: Papers. RePEc:arx:papers:2302.10140.

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2023Predicting Stock Price Movement as an Image Classification Problem. (2023). Steinbacher, Matej. In: Papers. RePEc:arx:papers:2303.01111.

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2023The Dark Side of Algorithms? The Effect of Recommender Systems on Online Investor Behaviors. (2023). Hu, Yu Jeffrey ; He, Cheng ; Zhu, Ruiqi Rich. In: Papers. RePEc:arx:papers:2303.14263.

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2024The Elasticity of Quantitative Investment. (2023). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

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2023Stock Price Predictability and the Business Cycle via Machine Learning. (2023). Fan, Xiuyi ; Fu, Hsuan ; Wang, Lirong. In: Papers. RePEc:arx:papers:2304.09937.

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2023Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860.

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2024Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

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2024Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568.

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2023Optimal Investment with Stochastic Interest Rates and Ambiguity. (2023). Holzermann, Julian. In: Papers. RePEc:arx:papers:2306.13343.

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2024Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2024Expected Shortfall LASSO. (2023). Barendse, Sander. In: Papers. RePEc:arx:papers:2307.01033.

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2024COVID-19 Demand Shocks Revisited: Did Advertising Technology Help Mitigate Adverse Consequences for Small and Midsize Businesses?. (2023). Schneider, J W ; Gyurak, Anett ; Bart, Yakov ; Yoo, Daniel ; Runge, Julian ; Lee, Shun-Yang. In: Papers. RePEc:arx:papers:2307.09035.

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2023Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151.

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2023To the Moon: Analyzing Collective Trading Events on the Wings of Sentiment Analysis. (2023). Raabe, Jun-Patrick ; Leible, Stephan ; Lohden, Thomas ; Matthies, Tim. In: Papers. RePEc:arx:papers:2308.09968.

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2023New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025.

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2023Default Process Modeling and Credit Valuation Adjustment. (2023). Xiao, David. In: Papers. RePEc:arx:papers:2309.03311.

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2023Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968.

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2024Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2309.04926.

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2023Kernel-Based Stochastic Learning of Large-Scale Semiparametric Monotone Index Models with an Application to Aging and Household Risk Preference. (2023). Yao, Qingsong. In: Papers. RePEc:arx:papers:2309.06693.

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2023Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach. (2023). Kulikov, Gennady ; Kulikova, Maria. In: Papers. RePEc:arx:papers:2310.04125.

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2023Valuation Duration of the Stock Market. (2023). Wang, Chen ; Li, YE. In: Papers. RePEc:arx:papers:2310.07110.

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2023Robust Trading in a Generalized Lattice Market. (2023). Wang, Xin-Yu ; Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2310.11023.

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2023Estimating Systemic Risk within Financial Networks: A Two-Step Nonparametric Method. (2023). Huang, Weihuan. In: Papers. RePEc:arx:papers:2310.18658.

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2023Impact of Investing Characteristics on Financial Performance of Individual Investors: An Exploratory Study. (2023). Rompho, Nopadol ; Kusawat, Poompak. In: Papers. RePEc:arx:papers:2311.00384.

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2023How Does Chinas Household Portfolio Selection Vary with Financial Inclusion?. (2023). Wang, Xiqian ; Bian, Yong ; Zhang, Qin. In: Papers. RePEc:arx:papers:2311.01206.

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2023Developers Leverage, Capital Market Financing, and Fire Sale Externalities Evidence from the Thai Condominium Market. (2023). Saengchote, Kanis. In: Papers. RePEc:arx:papers:2312.05013.

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2024Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions. (2024). Cenesizoglu, Tolga ; Aymard, Cl'Ement ; Ardia, David. In: Papers. RePEc:arx:papers:2403.17095.

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2024Application of Deep Learning for Factor Timing in Asset Management. (2024). Lyu, Haoshu ; Chen, Xilin ; Gharanchaei, Maysam Khodayari ; Panda, Prabhu Prasad. In: Papers. RePEc:arx:papers:2404.18017.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

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2023Long-Term Volatility Shapes the Stock Market’s Sensitivity to News. (2023). Tushteva, Nikoleta ; Schoelkopf, Julius Theodor ; Conrad, Christian. In: Working Papers. RePEc:awi:wpaper:0739.

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2023Climate Policy Uncertainty and Crude Oil Market Volatility. (2023). Salisu, Afees ; Fadiya, Olalekan ; Omoke, Philip. In: Energy RESEARCH LETTERS. RePEc:ayb:jrnerl:72.

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2023Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital. (2023). Guidolin, Massimo ; Magnani, Monia ; Berk, Ian. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23202.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023.

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2023.

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2023Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ferreiro, Javier Ojea ; Reboredo, Juan C. In: Staff Working Papers. RePEc:bca:bocawp:23-38.

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More than 100 citations found, this list is not complete...

John Y. Campbell has edited the books:

YearTitleTypeCited

Works by John Y. Campbell:

YearTitleTypeCited
1992Racines unitaires en macroéconomie : le cas multidimensionnel In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article7
2011Forced Sales and House Prices In: American Economic Review.
[Full Text][Citation analysis]		article435
2011Forced Sales and House Prices.(2011) In: Scholarly Articles.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 435		paper
2009Forced Sales and House Prices.(2009) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 435		paper
2016Restoring Rational Choice: The Challenge of Consumer Financial Regulation In: American Economic Review.
[Full Text][Citation analysis]		article117
2016Restoring rational choice: The challenge of consumer financial regulation.(2016) In: Working Paper Series.
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2016Restoring Rational Choice: The Challenge of Consumer Financial Regulation.(2016) In: Scholarly Articles.
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2016Restoring Rational Choice: The Challenge of Consumer Financial Regulation.(2016) In: NBER Working Papers.
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2020Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market In: American Economic Review.
[Full Text][Citation analysis]		article77
2015Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 77		paper
1984A Simple Account of the Behavior of Long-Term Interest Rates. In: American Economic Review.
[Full Text][Citation analysis]		article42
1984A Simple Account of the Behavior of Long-Term Interest Rates.(1984) In: Scholarly Articles.
[Full Text][Citation analysis]
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1983A Simple Account of the Behavior of Long-Term Interest Rates.(1983) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 42		paper
1987Permanent and Transitory Components in Macroeconomic Fluctuations. In: American Economic Review.
[Full Text][Citation analysis]		article102
1987Permanent and Transitory Components in Macroeconomic Fluctuations.(1987) In: Scholarly Articles.
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1987Permanent and Transitory Components in Macroeconomic Fluctuations.(1987) In: NBER Working Papers.
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1990Measuring the Persistence of Expected Returns. In: American Economic Review.
[Full Text][Citation analysis]		article24
1990Measuring the Persistence of Expected Returns.(1990) In: Scholarly Articles.
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1990Measuring the Persistence of Expected Returns.(1990) In: NBER Working Papers.
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1993Intertemporal Asset Pricing without Consumption Data. In: American Economic Review.
[Full Text][Citation analysis]		article439
1993Intertemporal Asset Pricing Without Consumption Data.(1993) In: Scholarly Articles.
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1992Intertemporal Asset Pricing Without Consumption Data.(1992) In: NBER Working Papers.
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2001Who Should Buy Long-Term Bonds? In: American Economic Review.
[Full Text][Citation analysis]		article250
1998Who Should Buy Long-Term Bonds?.(1998) In: FAME Research Paper Series.
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2000Who Should Buy Long-Term Bonds?.(2000) In: Harvard Institute of Economic Research Working Papers.
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2001Who Should Buy Long-Term Bonds?.(2001) In: Scholarly Articles.
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1998Who Should Buy Long-Term Bonds?.(1998) In: NBER Working Papers.
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2004Inflation Illusion and Stock Prices In: American Economic Review.
[Full Text][Citation analysis]		article180
2004Inflation Illusion and Stock Prices.(2004) In: Scholarly Articles.
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2004Inflation Illusion and Stock Prices.(2004) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 180		paper
2004Bad Beta, Good Beta In: American Economic Review.
[Full Text][Citation analysis]		article417
2002Bad Beta, Good Beta.(2002) In: Harvard Institute of Economic Research Working Papers.
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2003Bad Beta, Good Beta.(2003) In: Harvard Institute of Economic Research Working Papers.
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2004Bad Beta, Good Beta.(2004) In: Scholarly Articles.
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2003Bad Beta, Good Beta.(2003) In: NBER Working Papers.
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2009Measuring the Financial Sophistication of Households In: American Economic Review.
[Full Text][Citation analysis]		article204
2009Measuring the Financial Sophistication of Households.(2009) In: Post-Print.
[Citation analysis]
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2009Measuring the Financial Sophistication of Households.(2009) In: Scholarly Articles.
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2009Measuring the Financial Sophistication of Households.(2009) In: NBER Working Papers.
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2015The Impact of Regulation on Mortgage Risk: Evidence from India In: American Economic Journal: Economic Policy.
[Full Text][Citation analysis]		article18
2015The Impact of Regulation on Mortgage Risk: Evidence from India.(2015) In: Scholarly Articles.
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This paper has nother version. Agregated cites: 18		paper
2019Do the Rich Get Richer in the Stock Market? Evidence from India In: American Economic Review: Insights.
[Full Text][Citation analysis]		article40
2018Do the Rich Get Richer in the Stock Market? Evidence from India.(2018) In: CEPR Discussion Papers.
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2018Do the Rich Get Richer in the Stock Market? Evidence from India.(2018) In: NBER Working Papers.
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1994The New Palgrave Dictionary of Money and Finance. In: Journal of Economic Literature.
[Full Text][Citation analysis]		article5
2011Consumer Financial Protection In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article120
2011Consumer Financial Protection.(2011) In: Scholarly Articles.
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1998Elasticities of Substitution in Real Business Cycle Models with Home Production.(1998) In: NBER Working Papers.
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1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior.(1995) In: NBER Working Papers.
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1999Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior.(1999) In: Journal of Political Economy.
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1996Understanding Risk and Return..(1996) In: Journal of Political Economy.
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1996Consumption and Portfolio Decisions When Expected Returns are Time Varying.(1996) In: NBER Working Papers.
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1999Consumption and Portfolio Decisions when Expected Returns are Time Varying.(1999) In: The Quarterly Journal of Economics.
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2000Investing Retirement Wealth? A Life-Cycle Model In: Harvard Institute of Economic Research Working Papers.
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1999Investing Retirement Wealth: A Life-Cycle Model.(1999) In: NBER Working Papers.
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2000Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor In: Harvard Institute of Economic Research Working Papers.
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1999Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor.(1999) In: Computing in Economics and Finance 1999.
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2005Caught On Tape: Institutional Order Flow and Stock Returns.(2005) In: NBER Working Papers.
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2005Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average? In: Harvard Institute of Economic Research Working Papers.
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2005Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?.(2005) In: NBER Working Papers.
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1988PREDICTABLE BOND AND STOCK RETURNS IN THE UNITED STATES AND JAPAN: A STUDY OF LONG-TERM MARKET INTEGRATION. In: Princeton, Department of Economics - Financial Research Center.
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1990AN ASYMMETRIC MODEL OF CHANGING VOLATILITY IN STOCK RETURNS. In: Princeton, Department of Economics - Financial Research Center.
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1988SMART MONEY, NOISE TRADING AND STOCK PRICE BEHAVIOR In: Princeton, Department of Economics - Financial Research Center.
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1993Smart Money, Noise Trading and Stock Price Behaviour.(1993) In: Scholarly Articles.
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1988Smart Money, Noise Trading and Stock Price Behavior.(1988) In: NBER Technical Working Papers.
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1993Smart Money, Noise Trading and Stock Price Behaviour.(1993) In: The Review of Economic Studies.
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1991Pitfalls and Opportunities: What Macroeconomics should know about unit roots. In: Princeton, Department of Economics - Econometric Research Program.
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1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots.(1991) In: NBER Chapters.
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1991Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots.(1991) In: NBER Technical Working Papers.
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2009Fight Or Flight? Portfolio Rebalancing by Individual Investors In: Post-Print.
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2009Fight or Flight ? Portfolio Rebalancing by Individual Investors.(2009) In: Post-Print.
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2009Fight or Flight? Portfolio Rebalancing by Individual Investors.(2009) In: Scholarly Articles.
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2008Fight or Flight? Portfolio Rebalancing by Individual Investors.(2008) In: NBER Working Papers.
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2009Fight or Flight? Portfolio Rebalancing by Individual Investors.(2009) In: The Quarterly Journal of Economics.
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2009Down and Out : Assessing the Welfare Costs of Household investment Mistakes In: Post-Print.
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2014Macroeconomic Drivers of Bond and Equity Risks.(2014) In: NBER Working Papers.
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2020Macroeconomic Drivers of Bond and Equity Risks.(2020) In: Journal of Political Economy.
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2009The Changing Role of Nominal Government Bonds in Asset Allocation In: Scholarly Articles.
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2013Hard Times.(2013) In: The Review of Asset Pricing Studies.
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2011Investing and Spending: The Twin Challenges of University Endowment Management In: Scholarly Articles.
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1986Bond and Stock Returns in a Simple Exchange Model In: Scholarly Articles.
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1984Bond and Stock Returns in a Simple Exchange Model.(1984) In: NBER Working Papers.
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1986Bond and Stock Returns in a Simple Exchange Model.(1986) In: The Quarterly Journal of Economics.
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1987Are Output Fluctuations Transitory? In: Scholarly Articles.
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1986Are Output Fluctuations Transitory?.(1986) In: NBER Working Papers.
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1987Are Output Fluctuations Transitory?.(1987) In: The Quarterly Journal of Economics.
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1993Trading Volume and Serial Correlation in Stock Returns In: Scholarly Articles.
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1992Trading Volume and Serial Correlation in Stock Returns.(1992) In: NBER Working Papers.
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1993Trading Volume and Serial Correlation in Stock Returns.(1993) In: The Quarterly Journal of Economics.
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1997Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices In: Scholarly Articles.
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1996Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices.(1996) In: NBER Working Papers.
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2007Estimating the Equity Premium.(2007) In: NBER Working Papers.
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1987Money Announcements, The Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week In: Scholarly Articles.
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1987Money Announcements, the Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week..(1987) In: Journal of Money, Credit and Banking.
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1986Money Announcements, the Demand for Bank Reserves and the Behavior of the Federal Funds Rate Within the Statement Week.(1986) In: NBER Working Papers.
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1991Yield Spreads and Interest Rate Movements: A Birds Eye View In: Scholarly Articles.
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1989Yield Spreads and Interest Rate Movements: A Birds Eye View.(1989) In: NBER Working Papers.
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1991Yield Spreads and Interest Rate Movements: A Birds Eye View.(1991) In: The Review of Economic Studies.
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1989Why Is Consumption So Smooth? In: Scholarly Articles.
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1989Why is Consumption So Smooth?.(1989) In: The Review of Economic Studies.
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1993Where Do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk In: Scholarly Articles.
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1993Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk.(1993) In: NBER Working Papers.
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2005The Term Structure of the Risk–Return Trade-Off In: Scholarly Articles.
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2012Mortgage Market Design In: Scholarly Articles.
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2012Mortgage Market Design.(2012) In: NBER Working Papers.
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2013Mortgage Market Design*.(2013) In: Review of Finance.
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2011Predicting Financial Distress and the Performance of Distressed Stocks In: Scholarly Articles.
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2012The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment In: Scholarly Articles.
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2009The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment.(2009) In: NBER Working Papers.
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2012The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment.(2012) In: Critical Finance Review.
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2000Comment on Low Inflation: The Behavior of Financial Markets and Institutions. In: Journal of Money, Credit and Banking.
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2008Asset Prices and Monetary Policy In: NBER Books.
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2001Introduction to Risk Aspects of Investment-Based Social Security Reform In: NBER Chapters.
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1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence In: NBER Chapters.
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1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence.(1989) In: NBER Working Papers.
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2024Economic Budgeting for Endowment-Dependent Universities.(2024) In: NBER Working Papers.
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2008Introduction to Asset Prices and Monetary Policy In: NBER Chapters.
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1994International Experiences with Securities Transaction Taxes In: NBER Chapters.
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1993International Experiences with Securities Transaction Taxes.(1993) In: NBER Working Papers.
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1993The Interest Rate Process and the Term Structure of Interest Rates in Japan In: NBER Chapters.
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2009Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds In: NBER Working Papers.
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2017Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds.(2017) In: Critical Finance Review.
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2008Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds.(2008) In: 2008 Meeting Papers.
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1987Is Consumption Too Smooth? In: NBER Working Papers.
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1987Household Saving and Permanent Income in Canada and the United Kingdom In: NBER Working Papers.
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2022Idiosyncratic Equity Risk Two Decades Later In: NBER Working Papers.
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2023Idiosyncratic Equity Risk Two Decades Later.(2023) In: Critical Finance Review.
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2002Strategic Asset Allocation: Portfolio Choice for Long-Term Investors In: OUP Catalogue.
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2009The Changing Role of Nominal Government Bonds in Asset Allocation* In: The Geneva Risk and Insurance Review.
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2014Monetary Policy Drivers of Bond and Equity Risks In: 2014 Meeting Papers.
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2003Two Puzzles of Asset Pricing and Their Implications for Investors In: The American Economist.
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1993A Note on Johansens Cointegration Procedure When Trends Are Present. In: Empirical Economics.
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2001A Comment On James M. PoterbaS Demographic Structure And Asset Returns In: The Review of Economics and Statistics.
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2015The Fragile Benefits of Endowment Destruction In: Journal of Political Economy.
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