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Consumption-Based Asset Pricing John Y.Campbelll First draft:July 2001 This version:July 2002 Harvard University and NBER.Department of Economics,Littauer Center,Harvard Univer- sity,Cambridge MA 02138,USA.617-496-6448.Email john_campbell@harvard.edu.Web page http://post.economics.harvard.edu/faculty/campbell/campbell.html. This paper has been prepared for the Handbook of the Economics of Finance,edited by George Constan- tinides,Milton Harris,and Rene Stulz.The paper is a revised and updated version of John Y.Campbell, "Asset Prices,Consumption,and the Business Cycle",Chapter 19 in John Taylor and Michael Woodford eds.Handbook of Macroeconomics Vol.1,1999,pp.1231-1303.All the acknowledgements in that chapter continue to apply.In addition,I am grateful to the National Science Foundation for financial support,to the Faculty of Economics and Politics at the University of Cambridge for the invitation to deliver the 2001 Marshall Lectures,where I presented some of the ideas in this chapter,to Andrew Abel,Sydney Ludvigson, and Rajnish Mehra for helpful comments,and to Samit Dasgupta,Stephen Shore,Daniel Waldman,and Motohiro Yogo for able research assistance. !"#$% & '#( )*' '))% + ,- ++.- / - 011 - 1+ 1 ++1 ++- + 2- - - 3 + & +4 2- 5- 6 ++ 7 8 - + 9 - #* 5- 2 + - + / :+ # #*** #"$#;#$!$ ++ - <=+ - - + > > + - + & ? @+ - ?+ 8+ - - + - "!!# -++ =- > - - - = + & , - - - ++ & & - &- + /+ - 6 + -