Selected Bibliography for John C. Heaton

Joseph L. Gidwitz Professor of Finance

Home page of John C. Heaton

Published Works  

"Heterogeneity and Portfolio Choice: Theory and Evidence," Stephanie Curcuru, John Heaton, Deborah Lucas and Damien Moore, in Handbook of Financial Econometrics: Tools and Techniques. Y. Aït-Sahalia and L. P. Hansen, San Diego: North-Holland, 2010, pp. 337-82.

"Is Mark-to-Market Accounting Destabilizing? Analysis and Implications for Policy." John C. Heaton, Deborah Lucas and Robert L. McDonald; Journal of Monetary Economics, 2009, 57(1), pp. 64-75.

"Can Heterogeneity, Undiversified Risk, and Trading Frictions Solve the Equity Premium Puzzle?," John Heaton and Deborah Lucas, in Handbook of the Equity Risk Premium. M. Rajnish, 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.

"Intertemporal Substitution and Risk Aversion," Lars Peter Hansen, John Heaton, Junghoon Lee and Nikolai Roussanov, in Handbook of Econometrics. J. J. Heckman and E. Leamer, E., Elsevier, 2007, pp. 3967-4056.

"Intangible Risk," Lars Peter Hansen, John C. Heaton and Nan Li, in Measuring Capital in the New Economy. C. Corrado, J. Haltiwanger and D. Sichel, Chicago: University of Chicago Press, 2005, pp. 111-52.

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

"Portfolio Choice in the Presence of Background Risk." John Heaton and Deborah Lucas; Economic Journal, 2000, 110(460), pp. 1-26.

"The Economic Consequences of Disappearing Government Debt: Comment." John Heaton; Brookings Papers on Economic Activity, 2000, 2000(2), pp. 210-15.

"Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk." John Heaton and Deborah Lucas; Journal of Finance, 2000, 55(3), pp. 1163-98.

"Stock Prices and Fundamentals." John Heaton and Deborah Lucas; NBER Macroeconomics Annual, 1999, 14( 2), pp. 213.

"Market Frictions, Savings Behavior, and Portfolio Choice." John Heaton and Deborah Lucas; Macroeconomic Dynamics, 1997, 1(1), pp. 76-101.

"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.

"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.

"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.

"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.

"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.

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

"Comment on 'the Value and Performance of U.S. Corporations'." John Heaton; Brookings Papers on Economic Activity, 1993, 1993(1), pp. 35-39.

"The Interaction between Time-Nonseparable Preferences and Time Aggregation." John Heaton; Econometrica: Journal of the Econometric Society, 1993, 61(2), pp. 353-85.

"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.

"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.

"Faster Methods for Solving Continuous Time Recursive Linear Models of Dynamic Economies," Lars Peter Hansen, John C. Heaton and Thomas J. Sargent, in Rational Expectations Econometrics. L. P. Hansen and T. J. Sargent, 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.