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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/

References listed on IDEAS
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  1. G. William Schwert, 1988. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
  2. 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.
  3. Fisher, Jonas D. M. & Christiano, Lawrence J. & Boldrin, Michele, 1995. "Asset pricing lessons for modeling business cycles," UC3M Working papers. Economics 3915, Universidad Carlos III de Madrid. Departamento de Economía.
  4. 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.
  5. Anonymous, 1976. "Dairy Market Statistics, 1975," Statistical Bulletin 154143, United States Department of Agriculture, Economic Research Service.
  6. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
  7. Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
  8. N. Gregory Mankiw, 1986. "The Equity Premium and the Concentration of Aggregate Shocks," NBER Working Papers 1788, National Bureau of Economic Research, Inc.
  9. Cochrane, John H., 1991. "Volatility tests and efficient markets : A review essay," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 463-485, June.
  10. Deaton,Angus & Muellbauer,John, 1980. "Economics and Consumer Behavior," Cambridge Books, Cambridge University Press, number 9780521296762, December.
  11. Anonymous, 1976. "U.S. Fats and Oils Statistics, 1960-75," Statistical Bulletin 154144, 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. 78(1), pages 73-85, November.
  13. Constantinides,George & Duffie,Darrel, 1992. "Asset pricing with heterogeneous consumers," Discussion Paper Serie A 381, University of Bonn, Germany.
  14. N/A, 1976. "Statistical Appendix," National Institute Economic Review, National Institute of Economic and Social Research, vol. 77(1), pages 90-102, August.
  15. Anonymous, 1976. "Farm Income Statistics," Statistical Bulletin 154141, United States Department of Agriculture, Economic Research Service.
  16. Matthew D. Shapiro & N. Gregory Mankiw, 1985. "Risk and Return: Consumption Beta Versus Market Beta," Cowles Foundation Discussion Papers 738, Cowles Foundation for Research in Economics, Yale University.
  17. John Y. Campbell & John H. Cochrane, 1995. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," NBER Working Papers 4995, National Bureau of Economic Research, Inc.
  18. Anonymous, 1976. "Annual Report on Tobacco Statistics, 1975," Statistical Bulletin 154135, United States Department of Agriculture, Economic Research Service.
  19. N/A, 1976. "Statistical Appendix," National Institute Economic Review, National Institute of Economic and Social Research, vol. 75(1), pages 112-124, February.
  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. N/A, 1976. "Statistical Appendix," National Institute Economic Review, National Institute of Economic and Social Research, vol. 76(1), pages 58-70, May.
  22. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
  23. Deaton, Angus, 1992. "Understanding Consumption," OUP Catalogue, Oxford University Press, number 9780198288244.
  24. Heaton, John, 1995. "An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications," Econometrica, Econometric Society, vol. 63(3), pages 681-717, May.
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