John Campbell

• » Contact
• » CV
• » Data Sets
• » Talks and Columns
• » Books
• » Papers
• » Courses

Recent Papers On The Web

This page only has links to unpublished papers, forthcoming papers, papers published in the Journal of Finance and Quarterly Journal of Economics, and unpublished appendices to recent papers. Follow this link for a complete list of books and articles. Unpublished versions of many other papers can be found at John Campbell's author pages on the websites of IDEAS and SSRN.

Papers on this page will appear as pdf files which may be viewed or printed with Adobe Acrobat's free Reader. If you need a copy of the Reader, please follow this link to Adobe's website to download your complimentary copy. If you have problems viewing or printing a paper, first ensure that you have a recent copy of the Reader.



Unpublished papers:

• "Predicting Financial Distress and the Performance of Distressed Stocks" (with Jens Hilscher and Jan Szilagyi), January 2010.

• "Forced Sales and House Prices" (with Stefano Giglio and Parag Pathak), December 2009.

• "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment" (with Jason Beeler), March 2009.

• "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds" (with Adi Sunderam and Luis Viceira), January 2009.

Papers published in the Journal of Finance:

• "Global Currency Hedging" (with Karine Serfaty-de Medeiros and Luis Viceira), Journal of Finance, February 2010.

• "In Search of Distress Risk" (with Jens Hilscher and Jan Szilagyi), Journal of Finance, December 2008.

• "Household Finance", Presidential Address to the American Finance Association, Journal of Finance, August 2006.

• "Equity Volatility and Corporate Bond Yields" (with Glen Taksler), Journal of Finance, December 2003.

• "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk" (with Martin Lettau, Burton Malkiel, and Yexiao Xu), Journal of Finance, February 2001.

• "Explaining the Poor Performance of Consumption-Based Asset Pricing Models" (with John Cochrane), Journal of Finance, December 2000.

• "Asset Pricing at the Millennium", Journal of Finance, August 2000.

• "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns" (with John Ammer), Journal of Finance, March 1993.

• "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration" (with Yasushi Hamao), Journal of Finance, March 1992.

• "Stock Prices, Earnings, and Expected Dividends" (with Robert Shiller), Journal of Finance, July 1988.

• "A Defense of Traditional Hypotheses About the Term Structure of Interest Rates", Journal of Finance, March 1986.

Papers published in the Quarterly Journal of Economics:

• "Fight or Flight? Portfolio Rebalancing by Individual Investors" (with Laurent Calvet and Paolo Sodini), Quarterly Journal of Economics, February 2009.

• "Household Risk Management and Optimal Mortgage Choice" (with Joao Cocco), Quarterly Journal of Economics, November 2003.

• "Consumption and Portfolio Decisions When Expected Returns are Time Varying" (with Luis Viceira), Quarterly Journal of Economics, May 1999.

• "Trading Volume and Serial Correlation in Stock Returns" (with Sanford Grossman and Jiang Wang), Quarterly Journal of Economics, November 1993.

• "Are Output Fluctuations Transitory?" (with N. Gregory Mankiw), Quarterly Journal of Economics, November 1987.

• "Bond and Stock Returns in a Simple Exchange Model", Quarterly Journal of Economics, November 1986.

Erratum and appendices:

• Appendix for "Forced Sales and House Prices" (with Stefano Giglio and Parag Pathak), December 2009.

• Appendix for "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds" (with Adi Sunderam and Luis Viceira), October 2008.

• Appendix for "Global Currency Hedging" (with Karine Serfaty-de Medeiros and Luis Viceira), Journal of Finance, February 2010.

• Appendix for "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns" (with Christopher Polk and Tuomo Vuolteenaho), Review of Financial Studies, January 2010.

• Appendix for "Measuring the Financial Sophistication of Households" (with Laurent Calvet and Paolo Sodini), American Economic Review Papers and Proceedings, May 2009.

• Appendix for "Fight or Flight? Portfolio Rebalancing by Individual Investors" (with Laurent Calvet and Paolo Sodini), Quarterly Journal of Economics, February 2009.

• Appendix for "Intergenerational Risksharing and Equilibrium Asset Prices" (with Yves Nosbusch), Journal of Monetary Economics, November 2007.

• Appendix for "Down or Out: Assessing the Welfare Costs of Household Investment Mistakes" (with Laurent Calvet and Paolo Sodini), Journal of Political Economy, October 2007.

• Appendix for "How Do House Prices Affect Consumption? Evidence from Micro Data" (with Joao Cocco), Journal of Monetary Economics, April 2007.

• "Implementing the Econometric Methods in 'Efficient Tests of Stock Return Predictability' ", Appendix for "Efficient Tests of Stock Return Predictability" (with Motohiro Yogo), Journal of Financial Economics, July 2006.

• "Long-Horizon Mean-Variance Analysis: A User Guide", Appendix for "The Term Structure of the Risk-Return Tradeoff" (with Luis Viceira), Financial Analysts Journal, January/February 2005.

• Appendix for "Bad Beta, Good Beta" (with Tuomo Vuolteenaho), American Economic Review, December 2004.

• Appendix for "A Multivariate Model of Strategic Asset Allocation" (with Yeung Lewis Chan and Luis Viceira), Journal of Financial Economics, January 2003.

• Appendix for Strategic Asset Allocation: Portfolio Choice for Long-Term Investors (with Luis Viceira), Oxford University Press, 2002.

• Appendix for "Who Should Buy Long-Term Bonds?" (with Luis Viceira), American Economic Review, March 2001.

• "Consumption and Portfolio Decisions when Expected Returns are Time Varying: Erratum" (with Luis Viceira), September 2000. This note corrects an error in the paper of the same name published in Quarterly Journal of Economics, May 1999.

• Data Appendix for "Asset Prices, Consumption, and the Business Cycle", Chapter 19 in John Taylor and Michael Woodford eds., Handbook of Macroeconomics, Amsterdam: North-Holland, 1999.

• Solution Manual for exercises in John Campbell, Andrew Lo, and Craig MacKinlay, The Econometrics of Financial Markets, Princeton, NJ: Princeton University Press, 1997.