Consumption-Based Asset Pricing

By John Y. Campbell. 2002

800 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1193e25ec3d267f2d05235b43052e19625631928

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Citations in the corpus

Saving Behavior Across the Wealth Distribution: The Importance of Capital Gains (2019, neutral): “Campbell, 2003; Cochrane, 2005). Second, going back to Grossman and Laroque (1990), many authors have pointed out that some assets are subject to indivisibilities and transaction costs, chief among them housing. Recent incarnations of such theories include Kaplan and Violante (2014) and Kaplan, Moll”
VOLATILITY AND CORRELATION FORECASTING (2006, background): “Campbell (1987, 2003), Shanken (1990), Aït-Sahalia and Brandt (2001), Harvey (2001), Lettau and Ludvigsson (2003) and Marquering and Verbeek (2004) find that interest rate spreads and financial ratios help predict volatility at longer horizons.”
Risks for the Long Run and the Real Exchange Rate (2011, positive): “We use the same data set of Campbell (2003). Data are quarterly observations on private consumption of nondurables and services obtained from NIPA for the US and from IMF’s ‘International Financial Statistics’ (henceforth IFS).”
Overborrowing, Financial Crises and ‘Macro-Prudential’ Policy? (2011, neutral): “3 (Campbell (2003)).”
Tail-Hedge Discounting and the Social Cost of Carbon (2013, background): “8 Some relevant thoughts on this general subject are expressed in Ewijk and Tang (2003).”
Dynamic Quantile Models of Rational Behavior (2019, neutral): “(4)See, among others, Hansen and Singleton (1982), Campbell (2003), Cochrane (2005), and Ljungqvist and Sargent (2012), and references therein.”
Asset pricing tests with long run risks in consumption growth (2011, neutral): “[9] Campbell, J.”
Predictability of Returns and Cash Flows (2011, neutral): “Studies by Ferson and Harvey (1993), Harvey (1995), Campbell (2003), Paye and Timmermann (2006), Ang and Bekaert (2007), 11In addition, there is a large literature predicting the stock returns of individual firms using firm-level variables such as the market-value to replacement cost (Q) or…”
A Robust Test for Weak Instruments in Stata (2015, positive): “The example in this section implements weakivtest as a postestimation command for ivreg2 using the data set of Campbell (2003) and Yogo (2004).”