John H. Cochrane
1 paper in the Anchorcite directory, published in 1999, cited 5,400 times in total.
ORCID profileResearch topics
- Financial Markets and Investment Strategies · 1 paper
- Economic theories and models · 1 paper
- Complex Systems and Time Series Analysis · 1 paper
Frequent co-authors
- John Y. Campbell · 1 paper
Papers
- By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market BehaviorJournal of Political Economy · 1999 · 5,400 citations
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…
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