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Selected Bibliography for John C. Heaton
Joseph L. Gidwitz Professor of Finance



Accessing Articles
Published Works | Working Papers

Published Works  

"Is Mark-to-Market Accounting Destabilizing? Analysis and Implications for Policy." John C. Heaton, Deborah Lucas and Robert L. McDonald; Journal of Monetary Economics, 2010, 57(1), pp. 64-75.
http://dx.doi.org/10.1016/j.jmoneco.2009.11.005

"Can Heterogeneity, Undiversified Risk, and Trading Frictions Solve the Equity Premium Puzzle?," John Heaton and Deborah Lucas, in M. Rajnish: Handbook of the Equity Risk Premium. San Diego: Elsevier, 2008, pp. 535-57

"Consumption Strikes Back? Measuring Long-Run Risk." Lars Peter Hansen, John C. Heaton and Nan Li; Journal of Political Economy, 2008, 116(2), pp. 260-302.
http://www.journals.uchicago.edu/doi/abs/10.1086/588200


Finance and the Macroeconomy; John Heaton, Sydney C. Ludvigson and Ellen R. McGrattan; Amsterdam: Elsevier Science, 2003

"Introduction to Review of Financial Studies Conference on Market Frictions and Behavioral Finance." John Heaton and Robert Korajczyk; Review of Financial Studies, 2002, 15(2), pp. 353-61.
http://dx.doi.org/10.1093/rfs/15.2.353

"Portfolio Choice in the Presence of Background Risk." John Heaton and Deborah Lucas; Economic Journal, 2000, 110(460), pp. 1-26.
http://dx.doi.org/10.1111/1468-0297.00488

"The Economic Consequences of Disappearing Government Debt: Comment." John Heaton; Brookings Papers on Economic Activity, 2000, 2000(2), pp. 210-15.
http://muse.jhu.edu/journals/brookings_papers_on_economic_activity/v2000/2000.2reinhart01.pdf

"Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk." John Heaton and Deborah Lucas; Journal of Finance, 2000, 55(3), pp. 1163-98.
http://links.jstor.org/sici?sici=0022-1082%28200006%2955%3A3%3C1163%3APCAAPT%3E2.0.CO%3B2-L

"Stock Prices and Fundamentals." John Heaton and Deborah Lucas; NBER Macroeconomics Annual, 1999, 14( 2), pp. 213.
http://search.epnet.com/login.aspx?direct=true&db=bth&an=3497626

"Market Frictions, Savings Behavior, and Portfolio Choice." John Heaton and Deborah Lucas; Macroeconomic Dynamics, 1997, 1(1), pp. 76-101.
http://dx.doi.org/10.1017/S1365100597002034

"Finite-Sample Properties of Some Alternative GMM Estimators." Lars Peter Hansen, John Heaton and Amir Yaron; Journal of Business and Economic Statistics, 1996, 14(3), pp. 262-80.
http://links.jstor.org/sici?sici=0735-0015%28199607%2914%3A3%3C262%3AFPOSAG%3E2.0.CO%3B2-P

"Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing." John Heaton and Deborah J. Lucas; Journal of Political Economy, 1996, 104(3), pp. 443-87.
http://links.jstor.org/sici?sici=0022-3808%28199606%29104%3A3%3C443%3AETEOIM%3E2.0.CO%3B2-U

"The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices." John Heaton and Deborah Lucas; Carnegie-Rochester Conference Series on Public Policy, 1995, 42, pp. 1-32.
http://dx.doi.org/10.1016/0167-2231(95)00026-V

"An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications." John Heaton; Econometrica: Journal of the Econometric Society, 1995, 63(3), pp. 681-717.
http://links.jstor.org/sici?sici=0012-9682%28199505%2963%3A3%3C681%3AAEIOAP%3E2.0.CO%3B2-L

"Econometric Evaluation of Asset Pricing Models." Lars Peter Hansen, John Heaton and Erzo G. J. Luttmer; Review of Financial Studies, 1995, 8(2), pp. 237-74.
http://links.jstor.org/sici?sici=0893-9454%28199522%298%3A2%3C237%3AEEOAPM%3E2.0.CO%3B2-7

"Reconsidering the Costs of Business Cycles with Incomplete Markets: Comment," John Heaton, in S. Fischer and J. J. Rotemberg: NBER Macroeconomics Annual 1994. Cambridge and London: MIT Press, 1994, pp. 207-12
http://www.jstor.org/stable/3585086

"The Value and Performance of U.S. Corporations." Bronwyn H. Hall, Robert E. Hall, John Heaton and N. Gregory Mankiw; Brookings Papers on Economic Activity, 1993, 1993(1), pp. 1-49.
http://links.jstor.org/sici?sici=0007-2303%281993%291993%3A1%3C1%3ATVAPOU%3E2.0.CO%3B2-T

"The Interaction between Time-Nonseparable Preferences and Time Aggregation." John Heaton; Econometrica: Journal of the Econometric Society, 1993, 61(2), pp. 353-85.
http://links.jstor.org/sici?sici=0012-9682%28199303%2961%3A2%3C353%3ATIBTPA%3E2.0.CO%3B2-0

"The Effects of Incomplete Insurance Markets and Trading Costs in a Consumption-Based Asset Pricing Model." John Heaton and Deborah J. Lucas; Journal of Economic Dynamics and Control, 1992, 16(3-4), pp. 601-20.
http://dx.doi.org/10.1016/0165-1889(92)90051-F

"Efficiency Bound Calculations for a Time Series Model, with Conditional Heteroskedasticity." John C. Heaton and Masao Ogaki; Economics Letters, 1991, 35(2), pp. 167-71.
http://dx.doi.org/10.1016/0165-1765(91)90165-H

"Faster Methods for Solving Continuous Time Recursive Linear Models of Dynamic Economies," Lars Peter Hansen, John C. Heaton and Thomas J. Sargent, in L. P. Hansen and T. J. Sargent: Rational Expectations Econometrics. Boulder and Oxford: Westview Press, 1991, pp. 177-208

The Interaction between Time-Nonseparable Preferences and Time Aggregation; John C. Heaton; Ph.D. Dissertation, University of Chicago, 1989.

"Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions." Lars Peter Hansen, John C. Heaton and Masao Ogaki; Journal of the American Statistical Association, 1988, 83(403), pp. 863-71.
http://links.jstor.org/sici?sici=0162-1459%28198809%2983%3A403%3C863%3AEBIBMC%3E2.0.CO%3B2-A

Working Papers  

 

Consumption Strikes Back?: Measuring Long-Run Risk; Lars Peter Hansen, John Heaton and Nan Li; NBER Working Papers Series no. 11476; Cambridge: National Bureau of Economic Research, 2005.
http://papers.nber.org/papers/W11476

Finite Sample Properties of Some Alternative GMM Estimators; Lars Peter Hansen, John Heaton and Amir Yaron; Working paper WP # 3728-94-EFA; Cambridge, Mass.: Alfred P. Sloan School of Management Massachusetts Institute of Technology, 1994.
http://hdl.handle.net/1721.1/47970

The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices; John Heaton and Deborah Lucas; Working paper WP # 3700-94-EFA; Cambridge, Mass.: Alfred P. Sloan School of Management Massachusetts Institute of Technology, 1994.
http://hdl.handle.net/1721.1/48276

Econometric Evaluation of Asset Pricing Models; Lars Peter Hansen, John Heaton and Erzo Gerrit Jan Luttmer; Working paper 3606-93; Cambridge, Mass.: Alfred P. Sloan School of Management Massachusetts Institute of Technology, 1993.
http://hdl.handle.net/1721.1/47443

Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing; John Heaton and Deborah Lucas; NBER working paper series no. 4249; Cambridge: National Bureau of Economic Research, 1993.
http://papers.nber.org/papers/4249

Econometric Evaluation of Asset Pricing Models; Lars Peter Hansen, John Heaton and Erzo Gerrit Jan Luttmer; NBER technical working papers ;; no. 145;; Cambridge: National Bureau of Economic Research, 1993.
http://papers.nber.org/papers/t0145

The Effects of Incomplete Insurance Markets and Trading Costs in a Consumption-Based Asset Pricing Model; John Heaton and Deborah Lucas; Working paper no. 3379-92-EFA; Cambridge, Mass.: Sloan School of Management Massachusetts Institute of Technology, 1992.
http://hdl.handle.net/1721.1/47695
 

Evaluating the Effects of Incomplete Markets on Risk Sharing Nad Asset Pricing; John Heaton and Deborah Lucas; Working paper WP#3491-92-EFA; Cambridge, Mass.: Alfred P. Sloan School of Management Massachusetts Institute of Technology, 1992.
http://hdl.handle.net/1721.1/47561


An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications; John Heaton; WP #3245-91-EFA; Cambridge, Mass.: Sloan School of Management Massachusetts Institute of Technology, 1991.
http://hdl.handle.net/1721.1/47498

The Interaction between Time-Nonseparable Preferences and Time Aggregation; John Heaton; Working paper WP#3181-90-EFA; Cambridge, Mass.: Sloan School of Management Massachusetts Institute of Technology, 1990.
http://hdl.handle.net/1721.1/48129

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