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

  • John Y. Campbell
  • John Cochrane

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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. 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.
  2. John H. Cochrane, 1991. "Volatility Tests and Efficient Markets: A Review Essay," NBER Working Papers 3591, National Bureau of Economic Research, Inc.
  3. Deaton, Angus, 1992. "Understanding Consumption," OUP Catalogue, Oxford University Press, number 9780198288244, December.
  4. Deaton,Angus & Muellbauer,John, 1980. "Economics and Consumer Behavior," Cambridge Books, Cambridge University Press, number 9780521296762, October.
  5. 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 207-32.
  6. G. William Schwert, 1988. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
  7. James M. Poterba & Lawrence H. Summers, 1987. "Mean Reversion in Stock Prices: Evidence and Implications," NBER Working Papers 2343, National Bureau of Economic Research, Inc.
  8. Anonymous, 1976. "U.S. Fats and Oils Statistics, 1960-75," Statistical Bulletin 154144, United States Department of Agriculture, Economic Research Service.
  9. 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 452-59, August.
  10. Anonymous, 1976. "Annual Report on Tobacco Statistics, 1975," Statistical Bulletin 154135, United States Department of Agriculture, Economic Research Service.
  11. Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 1995. "Asset pricing lessons for modeling business cycles," Working Papers 560, Federal Reserve Bank of Minneapolis.
  12. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  13. 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.
  14. Anonymous, 1976. "Dairy Market Statistics, 1975," Statistical Bulletin 154143, United States Department of Agriculture, Economic Research Service.
  15. Heaton, John, 1995. "An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications," Econometrica, Econometric Society, vol. 63(3), pages 681-717, May.
  16. Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
  17. N/A, 1976. "Statistical Appendix," National Institute Economic Review, National Institute of Economic and Social Research, vol. 78(1), pages 73-85, November.
  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. N/A, 1976. "Statistical Appendix," National Institute Economic Review, National Institute of Economic and Social Research, vol. 76(1), pages 58-70, May.
  20. Anonymous, 1976. "Farm Income Statistics," Statistical Bulletin 154141, United States Department of Agriculture, Economic Research Service.
  21. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
  22. Constantinides,George & Duffie,Darrel, 1992. "Asset pricing with heterogeneous consumers," Discussion Paper Serie A 381, University of Bonn, Germany.
  23. N/A, 1976. "Statistical Appendix," National Institute Economic Review, National Institute of Economic and Social Research, vol. 75(1), pages 112-124, February.
  24. N. Gregory Mankiw, 1986. "The Equity Premium and the Concentration of Aggregate Shocks," NBER Working Papers 1788, National Bureau of Economic Research, Inc.
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