Campbell, John Y.
Most widely held works by
John Y Campbell
The econometrics of financial markets by John Y Campbell (
Book
)
24
editions published
between
1997
and
2011
in
English and Japanese
and held by
880
libraries
worldwide
This graduatelevel textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including the predictability of asset returns, tests of the random walk hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory
Strategic asset allocation : portfolio choice for longterm investors by John Y Campbell (
Book
)
80
editions published
between
2001
and
2005
in
4
languages
and held by
636
libraries
worldwide
This volume offers a scientific foundation for the advice offered by financial planners to longterm investors. It gives statistical evidence on asset return behaviour, and, based on assumed investor objectives, derives optimal portfolio rules
Risk aspects of investmentbased social security reform
(
Book
)
17
editions published
between
2000
and
2009
in
English
and held by
345
libraries
worldwide
Our current social security system operates on a payasyougo basis; benefits are paid almost entirely out of current revenues. As the ratio of retirees to taxpayers increases, concern about the high costs of providing benefits in a payasyougo system has led economists to explore other options. One involves "prefunding," in which a person's withholdings are invested in financial instruments, such as stocks and bonds, the eventual returns from which would fund his or her retirement. The risks such a system would introducesuch as the volatility in the market prices of investment a
Asset prices and monetary policy
(
Book
)
14
editions published
in
2008
in
English
and held by
281
libraries
worldwide
"Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these aims. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions in an uncertain and even chaotic environment marked by fluctuating housing markets, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy."Jacket
Dispersion and volatility in stock returns : an empirical investigation by John Y Campbell (
Book
)
19
editions published
between
1998
and
1999
in
English
and held by
95
libraries
worldwide
This paper studies three different measures of monthly stock market volatility: the timeseries volatility of daily market returns within the month; the crosssectional volatility or 'dispersion' of daily returns on industry portfolios, relative to the market, within the month; and the dispersion of daily returns on individual firms, relative to their industries, within the month. Over the period 196297 there has been a noticeable increase in firmlevel volatility relative to market volatility. All the volatility measures move together in a countercyclical fashion. While market volatility tends to lead the other volatility series, industrylevel volatility is a particularly important leading indicator for the business cycle
Who should buy longterm bonds? by John Y Campbell (
Book
)
22
editions published
between
1998
and
2000
in
English
and held by
81
libraries
worldwide
According to conventional wisdom, longterm bonds are appropriate for conservative longterm investors. This paper develops a model of optimal consumption and portfolio choice for infinitelived investors with recursive utility who face stochastic interest rates, solves the model using an approximate analytical method, and evaluates the conventional wisdom. As risk aversion increases, the myopic component of risky asset demand disappears but the intertemporal hedging component does not. Conservative investors hold assets to hedge the risk that real interest rates will decline. Longterm inflationindexed bonds are most suitable for this purpose, but nominal bonds may also be used if inflation risk is low
Asset prices, consumption, and the business cycle by John Y Campbell (
Book
)
12
editions published
in
1998
in
English
and held by
75
libraries
worldwide
This paper reviews the behavior of financial asset prices in relation to consumption. The paper lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features of the US experience apply more generally. The paper argues that to make sense of asset market behavior one needs a model in which the market price of risk is high, timevarying, and correlated with the state of the economy. Models that have this feature, including models with habitformation in utility, heterogeneous investors, and irrational expectations, are discussed. The main focus is on stock returns and shortterm real interest rates, but bond returns are also considered
A scorecard for indexed government debt by John Y Campbell (
Book
)
17
editions published
in
1996
in
English
and held by
74
libraries
worldwide
Within the last five years, Canada, Sweden and New Zealand have joined the ranks of the United Kingdom and other countries in issuing government bonds that are indexed to inflation. Some observers of the experience in these countries have argued that the United States should follow suit. This paper provides an overview of the issues surrounding debt indexation, and it tries to answer three empirical questions about indexed debt. First, how different would the returns on indexed bonds be from the returns on existing US debt instruments? Second, how would indexed bonds affect the government's average financing costs? Third, how might the Federal Reserve be able to use the information contained in the prices of indexed bonds to help formulate monetary policy? The paper concludes with a more speculative discussion of the possible consequences of increased use of indexed debt contracts by the private sector
By force of habit : a consumptionbased explanation of aggregate stock market behavior by John Y Campbell (
Book
)
22
editions published
between
1994
and
1998
in
English
and held by
73
libraries
worldwide
We present a consumptionbased model that explains the procyclical variation of stock prices, the longhorizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. Our model has an i.i.d. consumption growth driving process, and adds a slowmoving external habit to the standard power utility function. The latter feature produces cyclical variation in risk aversion, and hence in the prices of risky assets. Our model also predicts many of the difficulties that beset the standard power utility model, including Euler equation rejections, no correlation between mean consumption growth and interest rates, very high estimates of risk aversion, and pricing errors that are larger than those of the static CAPM. Our model captures much of the history of stock prices, given only consumption data. Since our model captures the equity premium, it implies that fluctuations have important welfare costs. Unlike many habitpersistence models, our model does not necessarily produce cyclical variation in the risk free interest rate, nor does it produce an extremely skewed distribution or negative realizations of the marginal rate of substitution
Inflation, real interest rates, and the bond market : a study of UK nominal and indexlinked government bond prices by David G Barr (
Book
)
21
editions published
between
1995
and
1996
in
English and Undetermined
and held by
73
libraries
worldwide
This paper estimates expected future real interest rates and inflation rates from observed prices of UK government nominal and indexlinked bonds. The estimation method takes account of imperfections in the indexation of UK indexlinked bonds. It assumes that expected log returns on all bonds are equal, and that expected real interest rates and inflation follow simple timeseries processes whose parameters can be estimated from the crosssection of bond prices. The extracted inflation expectations forecast actual future inflation more accurately than nominal yields do. The estimated real interest rate is highly variable at short horizons, but comparatively stable at long horizons. Changes in real rates and expected inflation are strongly negatively correlated at short horizons, but not at long horizons
Investing retirement wealth : a lifecycle model by John Y Campbell (
Book
)
18
editions published
between
1999
and
2000
in
English
and held by
73
libraries
worldwide
If household portfolios are constrained by borrowing and shortsales restrictions asset markets, then alternative retirement savings systems may affect household welfare by relaxing these constraints. This paper uses a calibrated partialequilibrium model of optimal lifecycle portfolio choice to explore the empirical relevance of these issues. In a benchmark case, we find exante welfare gains equivalent to a 3.7% increase in consumption from the investment of half of retirement wealth in the equity market. The main channel through which these gains are realized is that the higher average return on equities permits a lower Social Security tax rate on younger households, which helps households smooth their consumption over the life cycle. There is a smaller welfare gain of 0.5% of consumption when Social Security tax rates are held constant. We also find that realistic heterogeneity of risk aversion and labor income risk can strongly affect optimal portfolio choice over the life cycle, which provides one argument for a privatized Social Security system with an element of personal portfolio choice
Foreign currency for longterm investors by John Y Campbell (
Book
)
18
editions published
in
2002
in
English
and held by
69
libraries
worldwide
Conventional wisdom holds that conservative investors should avoid exposure to foreign currency risk. Even if they hold foreign equities, they should hedge the currency exposure of these positions and should hold only domestic Treasury bills. This paper argues that the conventional wisdom may be wrong for longterm investors. Domestic bills are risky for longterm investors, because real interest rates vary over time and bills must be rolled over at uncertain future interest rates. This risk can be hedged by holding foreign currency if the domestic currency tends to depreciate when the domestic real interest rate falls, as implied by the theory of uncovered interest parity. Empirically this effect is important and can lead conservative longterm investors to hold more than half their wealth in foreign currency
Consumption and portfolio decisions when expected returns are time varying by John Y Campbell (
Book
)
18
editions published
between
1996
and
1998
in
English
and held by
69
libraries
worldwide
This paper proposes and implements a new approach to a classic unsolved problem in financial economics: the optimal consumption and portfolio choice problem of a longlived investor facing timevarying investment opportunities. The investor is assumed to be infinitelylived, to have recursive EpsteinZinWeil utility, and to choose in discrete time between a riskless asset with a constant return, and a risky asset with constant return variance whose expected log return follows and AR(1) process. The paper approximates the choice problem by loglinearizing the budget constraint and Euler equations, and derives an analytical solution to the approximate problem. When the model is calibrated to US stock market data it implies that intertemporal hedging motives greatly increase, and may even double, the average demand for stocks by investors whose riskaversion coefficients exceed one
Some lessons from the yield curve by John Y Campbell (
Book
)
16
editions published
in
1995
in
English
and held by
66
libraries
worldwide
This paper reviews the literature on the relation between short and longterm interest rates. It summarizes the mixed evidence on the expectations hypothesis of the term structure: when long rates are high relative to short rates, short rates tend to rise as implied by the expectations hypothesis, but long rates tend to fall which is contrary to the expectations hypothesis. The paper discusses the response of the U.S. bond market to shifts in monetary policy in the spring of 1994, and reviews the debate over the optimal maturity structure of the U.S. government debt
Consumption and the stock market : interpreting international experience by John Y Campbell (
Book
)
14
editions published
in
1996
in
English
and held by
66
libraries
worldwide
This paper reviews the behavior of stock prices in relation to consumption. The paper lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features of the US experience apply more generally. The paper argues that to make sense of stock market behavior one needs a model in which investors' risk aversion is both high and varying, such as the external habitformation model of Campbell and Cochrane (1995)
Asset pricing at the millennium by John Y Campbell (
Book
)
18
editions published
in
2000
in
English
and held by
64
libraries
worldwide
This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and on the tradeoff between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor (SDF) that prices all assets in the economy. The behavior of the term structure of real interest rates restricts the conditional mean of the SDF, while patterns of risk premia restrict its conditional volatility and factor structure. Stylized facts about interest rates, aggregate stock prices, and crosssectional patterns in stock returns have stimulated new research on optimal portfolio choice, intertemporal equilibrium models, and behavioral finance
Have individual stocks become more volatile? : an empirical exploration of idiosyncratic risk by John Y Campbell (
Book
)
13
editions published
in
2000
in
English
and held by
61
libraries
worldwide
This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 196297 there has been a noticeable increase in firmlevel volatility relative to market volatility. Accordingly correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures move together countercyclically and help to predict GDP growth. Market volatility tends to lead the other volatility series. Factors that may be responsible for these findings are suggested
Explaining the poor performance of consumptionbased asset pricing models by John Y Campbell (
Book
)
13
editions published
in
1999
in
English
and held by
59
libraries
worldwide
The poor performance of consumptionbased asset pricing models relative to traditional portfoliobased asset pricing models is one of the great disappointments of the empirical asset pricing literature. We show that the external habitformation model economy of Campbell and Cochrane (1999) can explain this puzzle. Though artificial data from that economy conform to a consumptionbased model by construction, the CAPM and its extensions are much better approximate models than is the standard power utility specification of the consumptionbased model. Conditioning information is the central reason for this result. The model economy has one shock, so when returns are measured at sufficiently high frequency the consumptionbased model and the CAPM are equivalent and perfect conditional asset pricing models. However, the model economy also produces timevarying expected returns, tracked by the dividendprice ratio. Portfoliobased models capture some of this variation in state variables, which a stateindependent function of consumption cannot capture, and so portfoliobased models are better approximate unconditional asset pricing models
International experiences with securities transaction taxes by John Y Campbell (
Book
)
12
editions published
between
1993
and
1994
in
English
and held by
59
libraries
worldwide
"This paper studies the international experience with securities transaction taxes (STTs), using the Swedish and British systems as case studies. We argue that STTs are best thought of as taxes on different resources used in transactions: domestic brokerage services in the case of Sweden, and registration services in the British case. STTs give investors incentives to economize on the taxed resources by shifting trading to foreign markets or untaxed assets, or by reducing the volume of trade. We show that these effects can be important. Estimated revenues from an STT will be correspondingly overstated if they ignore such behavioral effects."Abstract
The term structure of the riskreturn tradeoff by John Y Campbell (
Book
)
16
editions published
in
2005
in
English
and held by
45
libraries
worldwide
Recent research in empirical finance has documented that expected excess returns on bonds and stocks, real interest rates, and risk shift over time in predictable ways. Furthermore, these shifts tend to persist over long periods of time. In this paper we propose an empirical model that is able to capture these complex dynamics, yet is simple to apply in practice, and we explore its implications for asset allocation. Changes in investment opportunities can alter the riskreturn tradeoff of bonds, stocks, and cash across investment horizons, thus creating a term structure of the riskreturn tradeoff.'' We show how to extract this term structure from our parsimonious model of return dynamics, and illustrate our approach using data from the U.S. stock and bond markets. We find that asset return predictability has important effects on the variance and correlation structure of returns on stocks, bonds and Tbills across investment horizons
more
fewer

Alternative Names
Campbell, J. 1958 Campbell, J. Y. 1958 Campbell, John Y. 1958 Campbell, John Y. (Young), 1958 Campbell, John Young 1958 John Y. Campbell American economist John Y. Campbell Amerikaans econoom John Y. Campbell amerikansk ekonom John Y. Campbell amerikansk økonom John Y. Campbell britischamerikanischer Ökonom und Hochschullehrer Young Campbell, John 1958 キャンベル, ジョン・Y
Languages
Covers
