Consumption-Based Asset Pricing
Consumption as a Leading Index
- • A Stocks, Bonds, Consumers Leading Index (SBCLI original paper)
- • SBCLI Midyear Review and Outlook.June 19, 2018
- • Overview of Global Stocks, Bonds, and Consumers Leading Indicators (SBCLI), Sep. 2016
- • Consumer Signals (Jan 2016)
- • Yale Stocks Bonds Consumers Leading Indicator Commonfund Level II July 2012
- • Consumption As A Leading Indicator April 2012
- • MIT Shorter Talk Consumption As Leading Indicator April 2012
- • MIT Tokyo Shorter Presentation March 2012
Central Bank Policy and Future Interest Rates
Behavioral Decision Making
Selected Academic Publications:
- 1. "Prices of State-contingent Claims Implicit in Option Prices," (with Robert H. Litzenberger), Journal of Business 51, No. 4, pp. 621-651, October 1978. Reprinted in Options: Classic Approaches, Risk Books.
- 2. "An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities," Journal of Financial Economics 7, pp. 265-2966, September 1979. Reprinted in Theory of Valuation: Frontiers of Modern Financial Theory, pp. 53-84, Volume 1, (edited by S. Bhattacharya and G.Constantinides), Rowman and Littlefield press, 1989.
- 3. "Consumption Risk in Futures Markets," Journal of Finance, Proceedings issue,Volume 35, No. 2, pp. 503-520, May 1980.
- 4. "Futures Markets and Commodity Options: Hedging and Optimality in Incomplete Markets," Journal of Economic Theory, 32, No.2, pp. 275-300, April 1984.Reprinted as Chapter 1 in Frontiers of Finance, pp. 7-32, Deborah H. Miller and Stewart C. Myers (ed.), Basil Blackwell, Ltd, 1990.
- 5. "Consumption, Production, Inflation and Interest Rates: A Synthesis,"Journal of Financial Economics, 16, May 1986, pp. 3-39. (lead article).
- 6. "Intertemporal Portfolio Theory and Asset Pricing," in The New Palgrave: A Dictionary for Economics, MacMillan Press (London), 1987.
- 7. "An Introduction to Hedging Interest Rate Risks with Futures, Swaps and Options," (with Michael G. Giarla), in The Handbook of Mortgage-Backed Securities, pp. 889-986, Frank J. Fabozzi (editor), 3rd edition, Probus Publishing (Chicago), 1991; 2nd edition, 1987. Reprinted in Asset / Liability Management, pp.237-328, Frank J. Fabozzi and Atsuo Konishi (ed.), Probus Publishing Company, 1991.
- 8. "Bank Risk Management," in The Handbook of Modern Finance, chapter 34, pp. 1-55, Dennis Logue (ed.), Warren, Gorham and Lamont, 1989.
- 9. "Empirical Tests of the Consumption-Oriented CAPM," (with Michael R. Gibbons and Robert H. Litzenberger), Journal of Finance, June 1989, pp. 231-262. (lead article). Reprinted in Empirical Research in Capital Markets, pp. 413-444, G. William Schwert and Clifford W. Smith (ed.), McGraw-Hill, Inc., 1992. McGraw-Hill, Inc., 1992.
- 10. "Risk, Return, and Hedging of Fixed Rate Mortgages," Journal of Fixed Income, September 1991, pp. 85-107. Reprinted in The Handbook of Mortgage-Backed Securities, pp. 783-826, Frank J. Fabozzi (ed.), Probus Publishing Company, 1995.
- 11. "Strategies for Profitable Lending in the 1990s: The New Basics," in The Secondary Mortgage Market, pp. 473-491, Jess Lederman (ed.), Probus Publishing Company, 1992. Reprinted in The Secondary Mortgage Market, pp.473-492, Jess Lederman (ed.), Probus Publishing Company, 1992.
- 12. "Complexities of Hedging Mortgages," Journal of Fixed Income, December, 1994, pp. 6-41. (lead article).
- 13. "Pricing Bank Assets and Liabilities: A Path-Dependent Approach," (with James H. Gilkeson), Journal of Banking and Finance, June 1997.
- 14. "Convexity and Empirical Option Costs of Mortgage Securities," Journal of Fixed Income, March, 1997, pp. 64-87. Reprinted in Interest Rate Risk Measurement and Management, pp. 343-376, Sanjay K. Nawalkha and Donald R. Chambers (ed.), Institutional Investor, Inc., 1999.
- 15. "Optimal Dynamic Trading Strategies," Economic Notes, Vol. 33, pp. 55-81, 2004.
- 16. "The Use and Misuse of Models in Investment Management," CFA Institute Conference Proceedings Quarterly," December 2009.
- 17. (with Robert H. Litzenberger and Tingyan Jia), "Consumption-Based Asset Pricing, Part 1: Classic Theory and Tests, Measurement Issues and Limited Participation," Annual Reviews of Financial Economics, December 2015 (lead article).
- 18. (with Robert H. Litzenberger and Tingyan Jia), "Consumption-Based Asset Pricing, Part 2: Habit Formation, Conditional Risks, Long-Run Risks, and Rare Disasters," Annual Reviews of Financial Economics, December 2015.
- 19. (with S. "Vish" Viswanathan) "Why Do Firms Hedge? An Asymmetric Information Model," Journal of Fixed Income, Winter 2016 (lead article).
- 20. "Consumer Signals," in the Journal of Asset Management, July 2016.
Selected Working Papers and Notes
- "A Stocks, Bonds, Consumers Leading Indicator: Consumer Behavior As A Leading Indicator",working paper, Duke University, September 2010.
- "Why Do Firms Hedge? An Asymmetric Information Model",(with S. Viswanathan), Working paper, Duke University, 1999.
- "Corporate Bonds and Banking",Lecture presented at the Berkeley Program in Finance, La Jolla, California, March, 1999.
- "Consumption and Market Risks of Corporate Cash Flows",Working paper, Duke University, September 1991.
- "Capital Budgeting with Consumption",Working paper, Duke University, Fuqua School of Business. Presented at the French Finance Association in June 1989.
Notes and Comments
- "Equilibrium Term Structure Models: Discussion",Journal of Finance, May 1980.