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Cointegration and tests of present value models

Campbell, John Y.; Shiller, Robert J. - 1986

Persistent link: https://www.econbiz.de/10000694815

Cointegration and Tests of Present Value Models

Campbell, John Y. - 1986

In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce...

Persistent link: https://www.econbiz.de/10012477190

Cointegration and Tests of Present Value Models

Campbell, John Y. - 2010

In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the quot;spreadquot; S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to...

Persistent link: https://www.econbiz.de/10012763269

No news is good news : an asyymmetric model of changing volatility in stock returns

Campbell, John Y.; Hentschel, Ludger - 1991

Persistent link: https://www.econbiz.de/10000817377

Dispersion and volatility in stock returns : an empirical investigation

Campbell, John Y.; Lettau, Martin - 1999

Persistent link: https://www.econbiz.de/10001390215

Have individual stocks become more volatile? : An empirical exploration of idiosyncratic risk

Campbell, John Y. (contributor) - 2000

Persistent link: https://www.econbiz.de/10001456475

Have individual stocks become more volatile? : An empirical exploration of idiosyncratic risk

Campbell, John Y. (contributor) - In: The journal of finance : the journal of the American … 56 (2001) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10001575057

Predicting financial distress and the performance of distressed stocks

Campbell, John Y.; Hilscher, Jens; Szilagyi, Jan - In: Journal of investment management : JOIM 9 (2011) 2, pp. 14-34

Persistent link: https://www.econbiz.de/10009305618

The long-run risks model and aggregate asset prices : an empirical assessment

Beeler, Jason; Campbell, John Y. - 2009

Persistent link: https://www.econbiz.de/10003822202

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Campbell, John Y. - 2000

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm … levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility …, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures …

Persistent link: https://www.econbiz.de/10012471179