Chapter 13 Consumption-based asset pricing

126 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

A Robust Test for Weak Instruments (2013, methodology): “Its magnitude is important for understanding the dynamics of consumption and asset returns (Epstein and Zin 1989, 1991; Campbell 2003).”
The dividend-price ratio does predict dividend growth: International evidence (2009, unknown): “Up to 4The UK and Swedish data correspond to those used by Campbell (2003), with the exception of 4 1996 the stock index is a value-weighted portfolio of stocks from the Copenhagen Stock Exchange.”
Do Credit Shocks Matter? A Global Perspective (2010, background): “…which are simply reflected by movements in asset prices, can influence consumption through their impact on household wealth, and can affect investment by altering a firm’s net worth and the market value of the capital stock relative to its replacement value (see Campbell, 2003; Cochrane, 2006).”
How Do Business and Financial Cycles Interact? (2011, unknown): “These findings are consistent with many studies documenting that asset prices are more volatile than economic fundamentals (see Shiller, 2003; Campbell, 2003).”
The Declining Equity Premium: What Role Does Macroeconomic Risk Play? (2008, unknown): “The price-dividend ratio is that of the CRSP value-weighted index, constructed as in Campbell (2003).”
A Robust Test for Weak Instruments in Stata (2015, unknown): “The example in this section implements weakivtest as a postestimation command for ivreg2 using the data set of Campbell (2003) and Yogo (2004).”