Deborah Lucas, John Heaton, Wendy Kiska, Robert Mcdonald, George Pennachi, Marvin Phaup, ...
Defined benefit (DB) pension plans cover about 44 million U.S. workers and retirees, and represent a significant liability for many corporations. 1 The total number of participants in defined benefit...
Competition in Financial Dealership Markets (2009)
Ilan Kremer, Valery Polkovnichenko, John Heaton, Mitchell Petersen, Especially Michael Whinston
Fishman for their guidance. We would also like to thank Christine Parlour and the participants of the Kellogg Finance bag lunch seminars and the 1999 Western Finance Association annual meeting for...
Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2008)
Hui Chen, Frederico Belo, Sergei Davydenko, Darrel Duffie, Gene Fama, Vito Gala, ...
Investors demand high risk premia for defaultable claims, because (i) defaults tend to con-centrate in bad times when marginal utility is high; (ii) default losses are high during such times. I build...
The Costs of Financial Distress across Industries (2007)
Arthur Korteweg, Nick Polson, Morten Sørensen, Pietro Veronesi, Alan Bester, Hui Chen, ...
In this paper I estimate the market’s opinion of ex-ante costs of financial distress (CFD) from a structurally motivated model of the industry, using a panel dataset of monthly market values of...
Lubo Sp Astor, Pietro Veronesi, John Cochrane, George Constantinides, Doug Diamond, Frank Diebold, ...
We argue that the number of ¯rms going public changes over time in response to time variation in market conditions. We develop a model of optimal IPO timing in which IPO waves are caused by declines...
The Treasury Bill Auction and the When-Issued Market: Some Evidence ∗ (2000)
Sushil Bikhch, Patrik L. Edsparr, Chi-fu Huang, John Heaton, Andrew Lo, ...
We empirically examine the link between the when-issued market and the auction for Treasury bills. We find that on average it is cheaper to buy Treasury bills in the auction than in the when-issued...
Portfolio Choice and Asset Prices; The Importance of Entrepreneurial Risk (1999)
this paper with an empirical investigation into some of the risk factors and demographic variables that might explain these cross-sectional differences in portfolio composition. A number of previous...
Trading and Returns Under Periodic Market Closures (1998)
Harrison Hong, Jiang Wang, John Heaton, Craig Holden, Andrew Lo, Steve Slezak, ...
This paper studies how market closures a#ect investors' trading policies and the resulting return generating process. It shows that closures generate rich patterns of time variation in trading...
Robust Permanent Income and Pricing (1997)
Lars Peter Hansen, Thomas J. Sargent, Thomas D. Tallarini, John Heaton, Narayana Kocherlakota, ...
This paper uses a permanent income model as a laboratory to study how consumption /savings profiles and security market prices are altered when consumers are `robust decision makers'. Robust...
Econometric evaluation of asset pricing models (1994)
Hansen, Lars Peter., Heaton, John, Luttmer, Erzo Gerrit Jan
Cover title.
Evaluating the effects of incomplete markets on risk sharing nad asset pricing (1992)
"First draft: September 1991: This draft: November 1992"--2nd prelim. p.
"February 1991."
The interaction between time-nonseparable preferences and time aggregaton [i.e. aggregation] (1991)
"Latest revision: December 1991; Previous version: 3181-90-EFA."
The interaction between time-nonseparable preferences and time aggregation (1990)
"This paper is a revised version of my University of Chicago Ph.D. dissertation."--p. [1].
Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing.
Heaton, John, Lucas, Deborah J
The authors examine an economy with aggregate and idiosyncratic income risk in which agents cannot contract on future labor income. Agents trade financial securities to buffer idiosyncratic shocks...
The Interaction between Time-Nonseparable Preferences and Time Aggregation.
This paper specifies and empirically analyzes a continuous-time, linear-quadratic, representative consumer model wit h time-nonseparable preferences of several forms. Within this framewor k, the...
MARKET FRICTIONS, SAVINGS BEHAVIOR, AND PORTFOLIO CHOICE
We examine a decision theoretic model of portfoliochoice in which investors face income risk that is not directlyinsurable. We consider the sensitivity of savings and portfolioallocation rules to...
Market Frictions, Savings Behavior, and Portfolio Choice.
We examine a decision theoretic model of portfolio choice in which investors face income risk that is not directly insurable. We consider the sensitivity of savings and portfolio allocation rules to...
Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk
Using cross-sectional data from the SCF and Tax Model, we show that entrepreneurial income risk has a significant influence on portfolio choice and asset prices. We find that households with high and...
Intertemporal Substitution and Risk Aversion
Hansen, Lars Peter, Heaton, John, Lee, Junghoon, Roussanov, Nikolai, J.J. Heckman, E.E. Leamer
We study structural models of stochastic discount factors and explore alternative methods of estimating such models using data on macroeconomic risk and asset returns. Particular attention is devoted...
An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications.
Using a simulated method of moments approach, the author evaluates a representative consumer asset pricing model in which the consumer is assumed to have time nonseparable preferences of several...
Finite-Sample Properties of Some Alternative GMM Estimators.
Hansen, Lars Peter, Heaton, John, Yaron, Amir
The authors investigate the small sample properties of three alternative generalized method of moments estimators of asset pricing models. The estimators that they consider include ones in which the...
Portfolio Choice in the Presence of Background Risk.
In this paper, we focus on how the presence of background risks--from sources such as labour and entrepreneurial income--influences portfolio allocations. This interaction is explored in a...
Regime shifts in a dynamic term structure model of U.S. Treasury bond yields, comments
Interest rates ; Monetary policy
Econometric Evaluation of Asset Pricing Models.
Hansen, Lars Peter, Heaton, John, Luttmer, Erzo G J
In this article we provide econometric tools for the evaluation of intertemporal asset pricing models using specification-error and volatility bounds. We formulate analog estimators of these bounds,...
Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing
We examine asset prices and consumption patterns in a model in which agents face both aggregate and idiosyncratic income shocks, and insurance markets are incomplete. Agents reduce consumption...
Consumption Strikes Back?: Measuring Long-Run Risk
Lars Peter Hansen, John Heaton, Nan Li
We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed to fluctuations in macroeconomic growth. This tradeoff features components of...
Econometric Evaluation of Asset Pricing Models
Lars Peter Hansen, John Heaton, Erzo Luttmer
In this paper we provide econometric tools for the evaluation of intertemporal asset pricing models using specification-error and volatility bounds. We formulate analog estimators of these bounds,...
MARKET FRICTIONS, SAVINGS BEHAVIOR, AND PORTFOLIO CHOICE
We examine a decision theoretic model of portfoliochoice in which investors face income risk that is not directlyinsurable. We consider the sensitivity of savings and portfolioallocation rules to...