Year: 1996
Type: report
Abstract: This paper reviews the behavior of stock prices in relation to consumption.The paper 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 paper argues that to make sense of stock market behavior one needs a model in which investors' risk aversion is both high and varying, such as the external habit-formation model of Campbell and Cochrane (1995).
DOI: 10.3386/w5610
Author: John Campbell
Institutions: National Bureau of Economic Research, Harvard University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2130048640