Northwestern
University
Deborah Lucas
John L. and Helen Kellogg Distinguished Professor of Finance
Kellogg School of Management
Northwestern University
Evanston, IL 60201 USA
Current Working Papers:
·
Capital Structure, Hurdle Rates, and
Portfolio Choice – Interactions in an Entrepreneurial Firm
Joint with John Heaton
·
Investing Public Pensions in the Stock Market: Implications for Risk
Sharing and Asset Prices
Joint with
John Heaton. [PDF file for current
version]
·
Heterogeneity and Portfolio Choice: Theory and Evidence
Joint with Stephanie Curcuru, John Heaton and Damien
Moore [PDF file for current version]
Published Research Papers:
·
Modeling the Effects of Fiscal Policy Imbalances – How Much Does Myopia
Matter?
2003 Review of Economic Dynamics.
·
Asset Pricing and Portfolio Choice: The Role of Entrepreneurial Risk
Journal
of Finance, 2000 with John Heaton
·
Stock Prices and Fundamentals
NBER
Macroeconomics Annual, 2000
with John Heaton
·
Price and Interest Rate Dynamics Induced by Multiperiod Contracts
North American Journal of
Economics and Finance, 2000
·
Portfolio Choice in the Presence of Background Risk
Economic Journal, 2000 with John Heaton
·
Market Frictions, Savings Behavior, and Portfolio Choice
Macroeconomic
Dynamics, 1997 with John Heaton
· External Financing and Insurance Cycles
NBER Conference Volume on Property Casualty Insurance, 1997 with Anne Gron
· Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing
Journal of Political
Economy 1996 with John Heaton
· Managed Competition with Prefunding--The Solution for Long-term Care?
The Milbank Quarterly, November 1996
· The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices
Carnegie
·
Asset Pricing with Undiversifiable Income Risk and Short Sales
Constraints: Deepening the Equity
Premium Puzzle
Journal of Monetary
Economics, December 1994
·
The Effects of Incomplete Insurance Markets and Trading Costs in a
Consumption-Based Asset Pricing Model
Journal of Economic
Dynamics and Control, 1992 with John Heaton
·
Equity Issues with Time-Varying Asymmetric Information
Journal of Financial and
Quantitative Analysis, 1992 with Robert Korajczyk and
Robert McDonald
·
Bank Financing and Investment Decisions with Asymmetric Information
about Loan Quality
Rand Journal, Spring 1992
with Robert McDonald
·
The Effect of Information Releases on the Pricing and Timing of Equity
Issues
Review
of Financial Studies, vol. 4, #4, 1991 with Robert Korajczyk and Robert
McDonald
·
The Variability of Velocity in Cash-in-Advance Models
Journal
of Political Economy, April 1991 with Narayana Kocherlakota and Robert Hodrick
·
Equity Issues and Stock Price Dynamics
Journal
of Finance, Vol. 45, No. 4, 1990 with Robert McDonald
·
Understanding the Behavior of Stock Prices Around the Time of an Equity
Issue
in
Glenn Hubbard, ed., Information, Capital Markets, and Investment, University of
Chicago Press, Chicago, IL., 1990 with Robert Korajczyk and Robert McDonald
·
Bank Portfolio Choice with Private Information About Loan Quality: Theory and Implications for Regulation
Journal
of Banking and Finance 11, 473-497, 1987 with Robert McDonald
Other Publications:
·
Estimating the Value of Subsidies for Federal Loans and Loan Guarantees
Congressional
Budget Office, 2004
·
Evaluating and Accounting for Federal Investment in Corporate Stocks
and Other Private Securities
Congressional
Budget Office,
2003
[Full Text]
· Lessons from Market Efficiency
Aspatore
C-Level Business Intelligence, 2003
·
Federal Subsidies and the Housing GSEs, 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,
2001
· Comment on ‘The Social Security Trust Fund, the Riskless Interest Rate, and Capital Accumulation’ by Andrew B. Abel
Risk Aspects of Investment Based Social Security Reform, NBER, 2000
· Comment on 'The Case for Indexed Government Debt' by John Campbell and Robert Shiller’
1996 NBER Macroeconomics Annual
· Comment on ‘A "Barter’’ Theory of Bank Regulation and Credit Allocation’
Journal
of Money, Credit and Banking, 1995
· Comment on 'Financial Intermediation and Monetary Policy in a General Equilibrium Banking Model'
Journal of Money, Credit and Banking, 1995
·
The Economic Report of the President, 1993 (with numerous coauthors)
· Asset Pricing with Incomplete Markets, A Survey
Cuadernos
Economicos de ICE,
vol. 50, 1992
· 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, vol. 27 no. 3, June 1991
Work in Progress:
·
Who Holds the Toxic Waste? An
Investigation of MBS Holdings
Joint with Joseph Haubrich
·
Accounting for Risk in the Federal Budget
Joint with Marvin Phaup
Finance Department | Kellogg | Northwestern University
