Research: My research interests are macroeconomics and asset pricing, for more detailed information and abstracts of some of my papers click the links below. My research is about the macroeconomic risk factors that determine asset prices and about the empirical implementation and evaluation of asset pricing models. One of the central interests of my research is the cross-section of stock returns and the sources of risk that determine their differences. One of the most significant aspects of my dissertation is the econometric evaluation of Asset Pricing models; my job market paper analyzes a consumption-based asset pricing model with habit persistence and I’m currently working on a production-based asset pricing model that constitutes my research agenda for the coming months. A pdf copy of some of the papers can be available upon request.
Intangible Capital and the Cross-Section of Stock ReturnsThis 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. GMM Estimation of an Asset Pricing Model with Habit Persistence *José Fillat and Hugo Garduño 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. In this paper, we re-consider this evidence by estimating the preference specification using GMM under three different market settings. First we assume complete insurance among all the individuals and estimate the model using aggregate consumption data. Second, we acknowledge that not all the households are actually trading and holding stocks, thus we household-level data. The third market setting is estimated assuming market incompleteness among stockholders along with limited participation. We find evidence that a complete markets model is better able to explain average returns, whereas a model that includes limited participation of agents in the stock market and incomplete consumption insurance among individuals is better able to explain the equity premium and does so with a lower value of the RRA coefficient than a model with complete markets. * A previuos version of this paper was presented at the ALACDE Annual Meeting at the University of California Berkeley in March 2005. It also has been presented at the XIII Foro de Finanzas organized by the Bank of Spain and CEMFI. Download here.
Habits in Action: Empirical Evidence of a Consumption-Based Model in Asset PricingHugo Garduño 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.
Is Illegal Immigration Unstoppable?Hugo Garduño The objective of this paper is to analyze whether a temporary work
program for alien immigrants to the U.S. effectively reduces illegal
Price Dispersion and Geographical DifferentiationRicard Gil and Hugo Garduño (Work in progress)
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