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Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior

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  • John Y. Campbell
  • John Cochrane

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  • John Y. Campbell & John Cochrane, 1999. "Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
  • Handle: RePEc:ucp:jpolec:v:107:y:1999:i:2:p:205-251
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    References listed on IDEAS

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    1. Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1995. "Asset Pricing Lessons for Modeling Business Cycles," NBER Working Papers 5262, National Bureau of Economic Research, Inc.
    2. Constantinides, George M & Duffie, Darrell, 1996. "Asset Pricing with Heterogeneous Consumers," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 219-240, April.
    3. Anonymous, 1976. "Annual Report on Tobacco Statistics, 1975," Statistical Bulletin 154135, United States Department of Agriculture, Economic Research Service.
    4. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    5. Mankiw, N Gregory & Shapiro, Matthew D, 1986. "Risk and Return: Consumption Beta versus Market Beta," The Review of Economics and Statistics, MIT Press, vol. 68(3), pages 452-459, August.
    6. Kandel, Shmuel & Stambaugh, Robert F, 1990. "Expectations and Volatility of Consumption and Asset Returns," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 207-232.
    7. N/A, 1976. "Statistical Appendix," National Institute Economic Review, National Institute of Economic and Social Research, vol. 75(1), pages 112-124, February.
    8. Mankiw, N. Gregory, 1986. "The equity premium and the concentration of aggregate shocks," Journal of Financial Economics, Elsevier, vol. 17(1), pages 211-219, September.
    9. John Y. Campbell & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    10. Cochrane, John H., 1991. "Volatility tests and efficient markets : A review essay," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 463-485, June.
    11. Anonymous, 1976. "Dairy Market Statistics, 1975," Statistical Bulletin 154143, United States Department of Agriculture, Economic Research Service.
    12. N/A, 1976. "Statistical Appendix," National Institute Economic Review, National Institute of Economic and Social Research, vol. 76(1), pages 58-70, May.
    13. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-1153, December.
    14. Anonymous, 1976. "Farm Income Statistics," Statistical Bulletin 154141, United States Department of Agriculture, Economic Research Service.
    15. Anonymous, 1976. "U.S. Fats and Oils Statistics, 1960-75," Statistical Bulletin 154144, United States Department of Agriculture, Economic Research Service.
    16. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
    17. Deaton,Angus & Muellbauer,John, 1980. "Economics and Consumer Behavior," Cambridge Books, Cambridge University Press, number 9780521296762.
    18. N/A, 1976. "Statistical Appendix," National Institute Economic Review, National Institute of Economic and Social Research, vol. 77(1), pages 90-102, August.
    19. Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
    20. Heaton, John, 1995. "An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications," Econometrica, Econometric Society, vol. 63(3), pages 681-717, May.
    21. N/A, 1976. "Statistical Appendix," National Institute Economic Review, National Institute of Economic and Social Research, vol. 78(1), pages 73-85, November.
    22. Deaton, Angus, 1992. "Understanding Consumption," OUP Catalogue, Oxford University Press, number 9780198288244.
    23. Harvey, Campbell R., 1989. "Time-varying conditional covariances in tests of asset pricing models," Journal of Financial Economics, Elsevier, vol. 24(2), pages 289-317.
    24. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
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