Job Market Candidate

Contact:ooooooooooooooooooo oo 1126 East 59 Street Suite 5D oooo Chicago IL 60637

Phone: (773) 610 -0986

Email: hgarduno@uchicago.edu

Resume e cccCVv

References:

Lars P. Hansen (Chair) II 773-702-6576

Fernando AlvareziiiiiIiIiiii 773-702-8250

John H. CochraneiiiiiIiiiii 773-702-3059

Monika Piazzesi iiiiiiiiiIiiiii 612-204-5487

Pietro Veronesi iiiiiiiiiIiiiiii 773-702-6348

Placement Directors:

Robert E. Lucas Jr.iiiiIIIiii773-702-8191

Casey B. Mulligan iiiiiIiiii 773-702-6576

Hugo A. Garduño

Ph.D. Candidate

Research Interests: Asset Pricing, Macroeconomics, Financial Economics, Financial Engineering, Applied Econometrics

I am on the job market and will be available for interviews at the AEA meetings on January 4-6, 2008 in New Orleans, LA. You can find information about my research and teaching, including evaluations, in the links above.

GMM Estimation of an Asset Pricing Model with Habit Persistence ooooooo Job Market Paper (Joint with José L. Fillat )

The asset pricing literature has calibrated models with external habits and documented that these models are successful at generating a large set of stylized facts about asset prices. We re-consider this evidence by estimating the preference specification using GMM under three different market settings: complete markets, limited participation and incomplete markets. We find evidence that a complete markets model is better able to explain average returns and the equity premium but a model that includes limited participation and incomplete markets is better able to explain the value effect with a lower risk aversion than a model with complete markets.
(Winner of the Best Paper of the Foro de Finanzas 2005 awarded by Bank of Spain and CEMFI)

Habits in Action: Empirical Evidence of a Consumption-Based Model in Asset Pricing

This paper complements Fillat and Garduno (2006) estimating a habits model within the complete market case using aggregate data. However, the evidence presented here utilizes lower frequency data and a larger cross-section of stock returns and compares with other models. The purpose is twofold, on the one hand I seek to minimize the well known measurement error problem that high frequency consumption data has; as well as the recent evidence finding that asset pricing based on longer horizon correlations between returns and consumption growth has performed better than its contemporaneous counterpart. On the other hand I want to analyze whether this model performs better than the standard consumption based model and if so whether the results provide stronger support for the use of this model in other applications.

Intangible Capital and the Cross-Section of Stock Returns

This paper explores the hypothesis that cross-sectional differences in stock returns are driven in part by differences in investment in two types of capital: physical and intangible. I propose a production-based model to construct investment and stock returns and estimate the contribution of intangible capital to these returns. The structural estimation is performed for several representative portfolios formed on characteristics such as the book-to-market ratio, size, momentum, investment-to-capital, investment growth, and abnormal investment using GMM.