John Y. Campbell Dataverse

Featured Dataverses

In order to use this feature you must have at least one published or linked dataverse.

Publish Dataverse

Are you sure you want to publish your dataverse? Once you do so it must remain published.

Publish Dataverse

This dataverse cannot be published because the dataverse it is in has not been published.

Delete Dataverse

Are you sure you want to delete your dataverse? You cannot undelete this dataverse.

1 to 10 of 370 Results

Replication data for: Who Should Buy Long-Term Bonds? Oct 2, 2013 John Y. Campbell; Luis Viceira, 2007, "Replication data for: Who Should Buy Long-Term Bonds?", https://doi.org/10.7910/DVN/8KLQPO, Harvard Dataverse, V3, UNF:3:S/WHW96SHNHXv0jyZv+vMA== [fileUNF] According to conventional wisdom, long-term bonds are appropriate for conservative long-term investors. This paper develops a model of optimal consumption and portfolio choice for infinite-lived investors with recursive utility who face stochastic interest rates, solves the model using an approximate analytical method, and evaluates conventional wi...
Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk Oct 2, 2013 John Y. Campbell; Lettau Martin; Malkiel Burton; Xu Yexiao, 2008, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", https://doi.org/10.7910/DVN/YSL0TW, Harvard Dataverse, V3, UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== [fileUNF] This study uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly, correlations among individual stocks and the explanatory power of the market model for...
Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior Oct 2, 2013 John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", https://doi.org/10.7910/DVN/3UHSJR, Harvard Dataverse, V2, UNF:3:0awoLDm/Dy6gYy+DQnNXSA== [fileUNF] We present a consumption-based model that explains a wide variety of dynamic asset pricing phenomena, including the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. The model captures much of the history of stock prices from consumption data...
Replication data for: A Multivariate Model of Strategic Asset Allocation Oct 2, 2013 John Y. Campbell; Yeung L. Chan; and Luis Viceira, 2007, "Replication data for: A Multivariate Model of Strategic Asset Allocation", https://doi.org/10.7910/DVN/8ED29S, Harvard Dataverse, V2, UNF:3:ZnYhHkZe2veTJAWaBDpPKA== [fileUNF] We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely long-lived investor with Epstein-Zin utility who faces a set of asset returns described by a vector autoregression in returns and state variables. Empirical estimates in long-run annual and post-war quarterly U.S. data suggest that th...
Replication data for: Consumption-Based Asset Pricing Oct 2, 2013 John Y. Campbell, 2007, "Replication data for: Consumption-Based Asset Pricing", https://doi.org/10.7910/DVN/CKTV5E, Harvard Dataverse, V2, UNF:3:wDZfht0d++JDkQXKUkkgng== [fileUNF] This study examines the behavior of financial asset prices in relation to consumption. The study highlights some important stylized facts that characterize U.S. data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features of the U.S. experience apply more generally....
Replication data for: Asset Prices, Consumption, and the Business Cycle Oct 2, 2013 John Y. Campbell, 2007, "Replication data for: Asset Prices, Consumption, and the Business Cycle", https://doi.org/10.7910/DVN/44JCWA, Harvard Dataverse, V2, UNF:3:y+1GSnV24fvGv7+S7BcLtw== [fileUNF] This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features of the US experience apply more generally. The ch...
campbelletal_jf2001.pdf Apr 6, 2008 - Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk Adobe PDF - 856.3 KB - MD5: f78e56e70c4ffd01201325d3017ea9b2 1. Documentation The original article for this study, pdf format
disg2nt.tab Apr 6, 2008 - Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk Tabular Data - 8.4 KB - 3 Variables, 426 Observations - UNF:3:3ARxg9245WKgzD4xUjC+wA== 2d. Data - monthly volatility series - value-weighted FIRM volatility based on daily returns
dsig2eit.dat Apr 6, 2008 - Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk Plain Text - 547.5 KB - MD5: 8f4eec99f35f67501fcf5228b714fc9d 2c. Data - monthly volatility series for individual industries IND volatility based on daily returns, ASCII raw numbers file
dsig2eit.tab Apr 6, 2008 - Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk Tabular Data - 466.0 KB - 4 Variables, 20796 Observations - UNF:3:U2GsdS6A/5/0wP9vE+IgAg== 2c. Data - monthly volatility series for individual industries IND volatility based on daily returns

Replication data for: Who Should Buy Long-Term Bonds?

Oct 2, 2013

John Y. Campbell; Luis Viceira, 2007, "Replication data for: Who Should Buy Long-Term Bonds?", https://doi.org/10.7910/DVN/8KLQPO, Harvard Dataverse, V3, UNF:3:S/WHW96SHNHXv0jyZv+vMA== [fileUNF]

According to conventional wisdom, long-term bonds are appropriate for conservative long-term investors. This paper develops a model of optimal consumption and portfolio choice for infinite-lived investors with recursive utility who face stochastic interest rates, solves the model using an approximate analytical method, and evaluates conventional wi...

Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Oct 2, 2013

John Y. Campbell; Lettau Martin; Malkiel Burton; Xu Yexiao, 2008, "Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", https://doi.org/10.7910/DVN/YSL0TW, Harvard Dataverse, V3, UNF:3:Nw2HpVshIW4qJ3vGLEyD1A== [fileUNF]

This study uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly, correlations among individual stocks and the explanatory power of the market model for...

Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior

Oct 2, 2013

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", https://doi.org/10.7910/DVN/3UHSJR, Harvard Dataverse, V2, UNF:3:0awoLDm/Dy6gYy+DQnNXSA== [fileUNF]

We present a consumption-based model that explains a wide variety of dynamic asset pricing phenomena, including the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. The model captures much of the history of stock prices from consumption data...

Replication data for: A Multivariate Model of Strategic Asset Allocation

Oct 2, 2013

John Y. Campbell; Yeung L. Chan; and Luis Viceira, 2007, "Replication data for: A Multivariate Model of Strategic Asset Allocation", https://doi.org/10.7910/DVN/8ED29S, Harvard Dataverse, V2, UNF:3:ZnYhHkZe2veTJAWaBDpPKA== [fileUNF]

We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely long-lived investor with Epstein-Zin utility who faces a set of asset returns described by a vector autoregression in returns and state variables. Empirical estimates in long-run annual and post-war quarterly U.S. data suggest that th...

Replication data for: Consumption-Based Asset Pricing

Oct 2, 2013

John Y. Campbell, 2007, "Replication data for: Consumption-Based Asset Pricing", https://doi.org/10.7910/DVN/CKTV5E, Harvard Dataverse, V2, UNF:3:wDZfht0d++JDkQXKUkkgng== [fileUNF]

This study examines the behavior of financial asset prices in relation to consumption. The study highlights some important stylized facts that characterize U.S. data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features of the U.S. experience apply more generally....

Replication data for: Asset Prices, Consumption, and the Business Cycle

Oct 2, 2013

John Y. Campbell, 2007, "Replication data for: Asset Prices, Consumption, and the Business Cycle", https://doi.org/10.7910/DVN/44JCWA, Harvard Dataverse, V2, UNF:3:y+1GSnV24fvGv7+S7BcLtw== [fileUNF]

This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features of the US experience apply more generally. The ch...

campbelletal_jf2001.pdf

Apr 6, 2008 - Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Adobe PDF - 856.3 KB -

1. Documentation

The original article for this study, pdf format

disg2nt.tab

Apr 6, 2008 - Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Tabular Data - 8.4 KB - 3 Variables, 426 Observations -

2d. Data - monthly volatility series - value-weighted

FIRM volatility based on daily returns

dsig2eit.dat

Apr 6, 2008 - Replication data for: Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk