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Deborah Lucas
Deborah Lucas

FINANCE
The Donald C. Clark/ HSBC Professor in Consumer Finance

Print Overview
Deborah Lucas is The Donald C. Clark/ HSBC Professor of Consumer Finance. 

Professor Lucas's research spans the areas of dynamic asset pricing, federal financial institutions, and corporate finance. She is a co-editor of the Journal of Money, Credit and Banking, a Research Associate of the National Bureau of Economic Research, and a member of the National Academy of Social Insurance.

Past appointments include chief economist, Congressional Budget Office; senior staff economist, Council of Economic Advisers; member Social Security Technical Advisory Panel; and visiting assistant professor at MIT.

She received her Ph.D. in Economics from the University of Chicago.



Areas of Expertise
Asset Pricing (Equity Markets/Stock Market, Investments and Portfolio Choice)
Corporate
Corporate Capital Structure
Derivative Securities and Markets (Futures, Options, Commodities)
Equity Markets (Stock Market) (Includes: Asset Pricing, Investments and Portfolio Choice)
Fixed Income Securities and Markets (Includes: Money Markets, Government Debt and Securities)
Government Accounting
Investments and Portfolio Choice (Includes: Asset Pricing, Equity Markets/Stock Market)
Macroeconomics (Includes: Monetary Economics, Federal Reserve, Interest Rates)
Monetary Policy (Monetary Economics, Federal Reserve, Interest Rates)
Money Markets (Interest rates, Yield Curve)
Payout Policy (Dividends, Repurchases)
Pension Funds
  • Recent Media Coverage

    “Chicago Tonight” (WTTW): The Bottom Line: Market Reforms - 4/1/2009

    Economist Intelligence Unit: Executive Briefing: Reforming Credit Reform - 3/26/2009

    “Chicago Tonight” (WTTW): The Bottom Line: Obama’s foreclosure rescue plan - 2/18/2009

    FOX Business: Is the PBGC Next in Line to Ask for a Bailout? - 1/15/2009

    See all Kellogg in the Media
Print Vita
Education
PhD, 1986, Economics, University of Chicago
MA, 1983, Economics, University of Chicago
BA, 1980, Applied Math, Economics, University of Chicago

Academic Positions
Research Associate, National Bureau of Economic Research, 1998-present
Donald C. Clark HSBC Professor of Consumer Finance, Finance, Kellogg School of Management, Northwestern University, 1996-present
Member, Social Security Technical Advisory Panel, 2006-2007
Chief Economist, Congressional Budget Office, 2000-2001
Member, Social Security Technical Advisory Panel, 1999-2000
Chairman, Department of Finance, Kellogg School of Management, Northwestern University, 1996-1998
Faculty Research Fellow, National Bureau of Economic Research, 1992-1998
John L. and Helen Kellogg Distinguished Associate Professor, Kellogg School of Management, Northwestern University, 1992-1996
Senior Staff Economist, Council of Economic Advisers, 1992-1993
Assistant Professor, Finance, Kellogg School of Management, Northwestern University, 1985-1992
Visiting Assistant Professor, Finance, Sloan School of Management, Massachusetts Institute of Technology, 1990-1991
Consultant, Public Power Council, 1983-1985

 
Print Research
Research Interests
Asset pricing, credit risk, valuing government financial guarantees, pensions and social security, budgetary policy

Articles
Lucas, Deborah. 2007. Comment on “Global demographic trends and social security reform” by Orazio Attanasio, Sagiri Kitao, and Giovanni Violante. Journal of Monetary Economics. 54(1): 199-204.
Lucas, Deborah, Deborah Lucas, Robert McDonald and Robert McDonald. 2006. An Options: Based Approach to Evaluating the Risk of Fannie Mae and Freddie Mac. Journal of Monetary Economics. 53(1): 155-176.
Abstract
Lucas, Deborah, Amy Rehder Harris, Michael Simpson, Sven Sinclair and Julie Topoleski. 2006. Background Paper: Evaluating Benefit Guarantees in Social Security.
Abstract
Lucas, Deborah. 2006. Comment on: "On Asset-Liability Matching and Federal Deposit and Pension Insurance: by Zvi Bodie.
Haubrich, Joseph G. and Deborah Lucas. 2006. Who Holds the Toxic Waste? An Investigation of MBS Holdings.
Abstract
Kiska, Wendy, Deborah Lucas and Marvin Phaup. 2005. Estimating and Controlling PBGC’s Risk Exposure.
Abstract
Kiska, Wendy, Deborah Lucas and Marvin Phaup. 2005. The Risk Exposure of the Pension Benefit Guarantee Corporation.
Link
Lucas, Deborah, Marvin Phaup and Ravi Prasad. 2004. Estimating the Market Value of Subsidies on Federal Loans and Loan Guarantees.
Abstract
Hamilton, Douglas, Deborah Lucas and Marvin Phaup. 2003. Evaluating and Accounting for Federal Investment in Corporate Stocks and Other Private Securities.
AbstractLink
Lucas, Deborah. 2003. Modeling the Effects of Fiscal Policy Imbalances: How Much Does Myopia Matter?. Review of Economic Dynamics. 6(1): 789-805.
AbstractLink
Lucas, Deborah. 2001. Investing Public Pensions in the Stock Market: Implications for Risk Sharing, Capital Formation and Public Policy in the Developed and Developing World. Sasin Journal of Management. 2(3): 179-202.
Reprinted in:
Social Security Reform: Financial and Political Issues in International Perspective, edited by Robin Brooks and Assaf Razin, Cambridge University Press, 2004.
Heaton, John and Deborah Lucas. 2000. Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk. Journal of Finance. 55(3): 1163-1198.
Heaton, John and Deborah Lucas. 2000. Portfolio Choice in the Presence of Background Risk. Economic Journal. 110(460): 1-26.
Lucas, Deborah. 1999. Price and Interest Rate Dynamics Induced by Multiperiod Contracts. North American Journal of Economics and Finance. 10(2): 315-338.
AbstractLink
McDonald, Robert and Deborah Lucas. 1998. Shareholder Heterogeneity, Adverse Selection, and Payout Policy. Journal of Financial and Quantitative Analysis. 33(2): 233-253.
Abstract
Heaton, John and Deborah Lucas. 1997. Market Frictions, Savings Behavior, and Portfolio Choice. Macroeconomics Dynamics. 1(1): 76-101.
Abstract
Lucas, Deborah. 1996. Comment on "The Case for Indexed Government Debt" by John Campbell and Robert Shiller. NBER Macroeconomics Annual. 11: 201-206.
Link
Heaton, John and Deborah Lucas. 1996. Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing. Journal of Political Economy. 104(3): 443-487.
AbstractLink
Lucas, Deborah. 1996. Managed Competition with Prefunding: The Solution for Long-term Care?. Milbank Quarterly. 74(4): 571-597.
Abstract
Lucas, Deborah. 1995. Comment on "Financial Intermediation and Monetary Policy in a General Equilibrium Banking Model". Journal of Money, Credit and Banking. 27(4): 1316-1319.
Link
Heaton, John and Deborah Lucas. 1995. The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices. Carnegie-Rochester Conference Series on Public Policy. 42: 1-32.
Lucas, Deborah. 1994. Asset Pricing with Undiversifiable Income Risk and Short Sales Constraints: Deepening the Equity Premium Puzzles. Journal of Monetary Economics. 34(3): 325-341.
Link
Lucas, Deborah. 1994. Comment on "A 'Barter' Theory of Bank Regulation and Credit Allocation". Journal of Money, Credit and Banking. 26(3): 706-709.
Link
Lucas, Deborah. 1992. Asset Pricing with Incomplete Markets, A Survey. Cuadernos Economicos de ICE. 50
Lucas, Deborah and Robert McDonald. 1992. Bank Financing and Investment Decisions with Asymmetric Information about Loan Quality. RAND Journal of Economics. 23(1): 86-105.
AbstractLink
Korajczyk, Robert, Deborah Lucas and Robert McDonald. 1992. Equity Issues with Time-Varying Asymmetric Information. Journal of Financial and Quantitative Analysis. 27(3): 397-417.
AbstractLink
Heaton, John and Deborah Lucas. 1992. The Effects of Incomplete Insurance Markets and Trading Costs in a Consumption-Based Asset Pricing Model. Journal of Economic Dynamics and Control. 16(3-4): 601-620.
AbstractLink
Lucas, Deborah. 1991. Foundations of the Cash-in-Advance Model: A review essay of "Finance Constraints and the Theory of Money" by S.C. Tsiang. Journal of Monetary Economics. 27(3): 487-493.
Link
Korajczyk, Robert, Deborah Lucas and Robert McDonald. 1991. The Effect of Information Releases on the Pricing and Timing of Equity Issues. Review of Financial Studies. 4(4): 685-708.
AbstractLink
Hodrick, Robert, Narayana Kocherlakota and Deborah Lucas. 1991. The Variability of Velocity in Cash-in-Advance Models. Journal of Political Economy. 99(2): 358-384.
AbstractLink
Lucas, Deborah and Robert McDonald. 1990. Equity Issues and Stock Price Dynamics. Journal of Finance. 45(4): 1019-1043.
AbstractLink
Lucas, Deborah and Robert McDonald. 1987. Bank Portfolio Choice with Private Information About Loan Quality: Theory and Implications for Regulation. Journal of Banking and Finance. 11(3): 473-497.
AbstractLink
Working Papers
Lucas, Deborah and Marvin Phaup. 2008. Reforming Credit Reform.
Abstract
Lucas, Deborah and Damien Moore. 2006. The Student Loan Consolidation Option.
Abstract
Lucas, Deborah and Steve Zeldes. 2006. Valuing and Hedging Defined Benefit Pension Obligations – The Role of Stocks Revisited.
Abstract
Lucas, Deborah. 2004. Accrual Accounting for Federal Entitlements: Issues and Estimates.
Abstract
Heaton, John and Deborah Lucas. 2002. Capital Structure, Hurdle Rates, and Portfolio Choice: Interactions in an Entrepreneurial Firm.
Abstract
Heaton, John and Deborah Lucas. 2002. Investing Public Pensions in the Stock Market: Implications for Risk Sharing and Asset Prices.
Abstract
Book Chapters
Curcuru, Stephanie, John Heaton, Deborah Lucas and Damien Moore. Forthcoming. "Heterogeneity and Portfolio Choice: Theory and Evidence." In Handbook of Financial Econometrics, edited by Yacine Ait-Sahalia and Lars Peter Hansen, Elsevier.
Abstract
Lucas, Deborah and Damien Moore. Forthcoming. "Guaranteed vs. Direct Lending: The Case of Student Loans." In Measuring and Managing Federal Financial Risk, edited by Deborah Lucas, University of Chicago Press.
Abstract
Lucas, Deborah and Marvin Phaup. Forthcoming. "The Cost of Risk to the Government and Its Implications for Federal Budgeting." In Measuring and Managing Federal Financial Risk, edited by Deborah Lucas, University of Chicago Press.
Abstract
Lucas, Deborah and Robert McDonald. Forthcoming. "Valuing Government Guarantees: Fannie and Freddie Revisited." In Measuring and Managing Federal Financial Risk, edited by Deborah Lucas, University of Chicago Press.
Abstract
Heaton, John and Deborah Lucas. 2008. "Can Heterogeneity, Undiversified Risk, and Trading Frictions Solve the Equity Premium Puzzle?." In Handbook of the Equity Risk Premium, edited by Rajnish Mehra, 535-557. Elsevier.
Abstract
Lucas, Deborah. 2003. "Lessons From Market Efficiency." In Textbook Finance, 101-120. Aspatore.
Abstract
Lucas, Deborah. 2001. "Comment on The Social Security Trust Fund, the Riskless Interest Rate, and Capital Accumulation by Andrew Abel." In Risk Aspects of Investment Based Social Security Reform, edited by John Y. Campbell and Martin Feldstein, 153-202. The University of Chicago Press.
Heaton, John and Deborah Lucas. 2000. "Stock Prices and Fundamentals." In Macroeconomics Annual, edited by Ben S. Bernanke and Julio Rotemberg, MIT Press.
Gron, Anne and Deborah Lucas. 1998. "External Financing and Insurance Cycles." In The Economics of Property-Casualty Insurance, edited by David F. Bradford, 5-27. Chicago: University of Chicago Press.
Korajczyk, Robert, Deborah Lucas and Robert McDonald. 1990. "Understanding Stock Price Behavior Around the Time of Equity Issues." In Asymmetric Information, Corporate Finance, and Investment, edited by R. Glenn Hubbard, Chicago, IL: University of Chicago Press.
AbstractLinkBuy
Other
Lucas, Deborah and Marvin Phaup. "Estimating the Federal Subsidy to the Housing GSEs." May.
Abstract

 
Print Teaching
Teaching Interests
Fixed income securities, corporate finance, asset pricing
Full-Time / Part-Time MBA
Finance I/II (FINC-440-0)

This course counts toward the following majors: Analytical Finance, Finance

This course combines the materials of FINC-430 and FINC-441 into an intensive one-quarter course available to One-Year students and first-year students interested in accelerating their studies of finance. Students choosing this option should expect the presentations, readings and other homework to be at least double those of the regular courses. By combining these two courses into one quarter, students are able to take more advanced finance electives during their first year and have the opportunity to include an extra finance elective in their course schedules. Please note that this course carries the weight of one course only. Prerequisites: Knowledge of (a) probability and statistics through linear regression and (b) financial accounting. Requirement (a) may be satisfied with prior or concurrent registration in DECS 434, sufficient previous course work in statistics or attending Finance I statistics tutorials (available fall quarter only). Requirement (b) may be satisfied with prior or concurrent registration in ACCT 430 or sufficient previous course work in financial accounting. MECN 430 is recommended.

Fixed Income Securities (FINC-464-0)

This course counts toward the following majors: Analytical Finance, Finance.

This advanced course is designed for students seeking a sophisticated understanding of fixed income valuation and hedging methods, and a basic familiarity with the major markets and instruments. Tools include duration, convexity, yield curve models, option pricing models and value at risk, which are used to understand pricing and hedging of forwards, futures and swaps, asset-backed securities and other fixed income derivatives. This information is most useful for students planning a career in sales and trading, portfolio management, banking or financial consulting. The course also surveys some of the institutional features of these markets. Prerequisites: FINC-441. FINC-465 is strongly recommended.

Doctoral
Advanced Derivatives (FINC-483-1)

This course counts toward the following majors: Finance

This course focuses on modern developments in the modeling and pricing of financial derivative securities. Both theoretical and practical estimation issues will be addressed, with the aim of providing students with the necessary background to pursue further academic or practitioner-oriented research in this area. Topics include the pricing of derivatives on equity, foreign exchange, volatility, interest rates, credit risk, and mortgages. A variety of modeling approaches are considered including closed form models, Monte Carlo simulation, and models that admit jumps, stochastic volatility, and non-normal distributions.

Executive MBA
Managerial Finance I (FINCX-430-0)