Record Details


Field	Value

Title	Replication data for: Consumption-Based Asset Pricing

Identifier	https://doi.org/10.7910/DVN/CKTV5E

Creator	John Y. Campbell

Publisher	Harvard Dataverse

Description	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. The study argues that to make sense of asset market behavior one needs a model in which the market price of risk is high, time-varying, and correlated with the state of the economy. Models that have this feature, including models with habit-formation in utility, heterogeneous investors, and irrational expectations, are discussed. The main focus is on stock returns and short-term real interest rates, but bond returns are also considered.

Subject	Financial asset prices Consumption Equilibrium asset pricing theory Asset market behavior Habit-formation in utility Stock returns Short-term real interest rates Bond returns

Date	2003

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