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

Listed author(s):
  • John Y. Campbell
  • John Cochrane

No abstract is available for this item.

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File URL: http://dx.doi.org/10.1086/250059
File Function: main text
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Article provided by University of Chicago Press in its journal Journal of Political Economy.

Volume (Year): 107 (1999)
Issue (Month): 2 (April)
Pages: 205-251

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Handle: RePEc:ucp:jpolec:v:107:y:1999:i:2:p:205-251
Contact details of provider: Web page: http://www.journals.uchicago.edu/JPE/

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  1. 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.
  2. 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.
  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. N/A, 1976. "Statistical Appendix," National Institute Economic Review, National Institute of Economic and Social Research, vol. 77(1), pages 90-102, August.
  6. 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.
  7. 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.
  8. N/A, 1976. "Statistical Appendix," National Institute Economic Review, National Institute of Economic and Social Research, vol. 75(1), pages 112-124, February.
  9. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
  10. Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
  11. Heaton, John, 1995. "An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications," Econometrica, Econometric Society, vol. 63(3), pages 681-717, May.
  12. 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.
  13. 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.
  14. N/A, 1976. "Statistical Appendix," National Institute Economic Review, National Institute of Economic and Social Research, vol. 78(1), pages 73-85, November.
  15. Cochrane, John H., 1991. "Volatility tests and efficient markets : A review essay," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 463-485, June.
  16. Deaton, Angus, 1992. "Understanding Consumption," OUP Catalogue, Oxford University Press, number 9780198288244, April.
  17. Anonymous, 1976. "Dairy Market Statistics, 1975," Statistical Bulletin 154143, United States Department of Agriculture, Economic Research Service.
  18. N/A, 1976. "Statistical Appendix," National Institute Economic Review, National Institute of Economic and Social Research, vol. 76(1), pages 58-70, May.
  19. Anonymous, 1976. "Farm Income Statistics," Statistical Bulletin 154141, United States Department of Agriculture, Economic Research Service.
  20. 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.
  21. Anonymous, 1976. "U.S. Fats and Oils Statistics, 1960-75," Statistical Bulletin 154144, United States Department of Agriculture, Economic Research Service.
  22. 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.
  23. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
  24. Deaton,Angus & Muellbauer,John, 1980. "Economics and Consumer Behavior," Cambridge Books, Cambridge University Press, number 9780521296762, December.
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