Scholars@Duke
Douglas T. Breeden

Douglas T. Breeden

William W. Priest, Jr., Distinguished Professor of Business Administration in the Fuqua School of Business
Fuqua School of Business
doug.breeden@duke.edu
Duke Box 90120, Durham, NC 27708-0120
425W Fuqua Sch of Bus, 100 Fuqua Drive, Durham, NC 27708

Selected Publications

Why do firms hedge? An asymmetric information model

Journal Article Journal of Fixed Income · December 1, 2016 Full text Cite

Consumer signals

Journal Article Journal of Asset Management · July 1, 2016 Consumers' expenditures reflect their information about employment opportunities, likely future real wage growth, and investment opportunities, as well as current wealth and income. Real, total consumption growth deviations from normal stock market wealth ... Full text Cite

Consumption-Based Asset Pricing, Part 2: Habit Formation, Conditional Risks, Long-Run Risks, and Rare Disasters

Journal Article Annual Review of Financial Economics · December 7, 2015 Following Part 1 of this article, which reviews late-1970s to 1990s classic derivations and tests of the consumption capital asset pricing model, here in Part 2 we review more recent developments, some of which are based on utility functions with non-time- ... Full text Cite

Consumption-Based Asset Pricing, Part 1: Classic Theory and Tests, Measurement Issues, and Limited Participation

Journal Article Annual Review of Financial Economics · December 7, 2015 This article, Part 1 of 2, reviews the classical origins, development, and tests of consumption-based asset pricing theory, focusing mainly on the first two decades from 1976 to 1998. Starting with the original consumption capital asset pricing model (CCAP ... Full text Cite

The Use and Misuse of Models in Investment Management

Journal Article CFA Institute Conference Proceedings Quarterly · December 2009 Full text Cite

An intertemporal asset pricing model with stochastic consumption and investment opportunities

Chapter · January 1, 2005 This paper derives a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities. When no riskless asset exists, a zero-beta pricing model is derived. Asset betas are ... Full text Cite

Optimal dynamic trading strategies

Journal Article Economic Notes · January 1, 2004 This article presents a straightforward technique for computing solutions to discrete, multi-period consumption/investment problems. It solves for the optimal stochastic consumption plans, as well as the optimal dynamic trading strategies that maximize uti ... Full text Cite

Convexity and Empirical Option Costs of Mortgage Securities

Journal Article The Journal of Fixed Income · March 31, 1997 Full text Cite

A path-dependent approach to security valuation with application to interest rate contingent claims

Journal Article Journal of Banking and Finance · January 1, 1997 The last two decades have witnessed a tremendous growth in the volume of assets and liabilities whose cash flows depend, in a variety of ways, on the path of interest rates. Some of these, including floating-rate notes and swap agreements, contractually ba ... Full text Cite

Risk, Return and Hedging of Fixed Rate Mortgages

Journal Article Journal of Fixed Income · August 13, 1991 Cite

Empirical Tests of the Consumption‐Oriented CAPM

Journal Article The Journal of Finance · January 1, 1989 The empirical implications of the consumption‐oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a model based on the market portfolio. The CCAPM is estimated after adjusting for measurement problems associated ... Full text Cite

Consumption, production, inflation and interest rates. A synthesis

Journal Article Journal of Financial Economics · January 1, 1986 This paper uses discrete-time and continuous-time models to derive equilibrium relations among real and nominal interest rates and the expected growth, variance and covariance parameters of optimally chosen paths for aggregate real consumption and aggregat ... Full text Cite

Futures markets and commodity options: Hedging and optimality in incomplete markets

Journal Article Journal of Economic Theory · January 1, 1984 This paper examines the allocational roles of futures markets and commodity options in multi-good and multi-period economies. In a continuous-time model with time-additive utilities and homogeneous beliefs, trading in "unconditional" futures contracts, the ... Full text Cite

Consumption Risk in Futures Markets

Journal Article The Journal of Finance · May 1980 Full text Cite

Discussion

Journal Article The Journal of Finance · January 1, 1980 Full text Cite

An intertemporal asset pricing model with stochastic consumption and investment opportunities

Journal Article Journal of Financial Economics · January 1, 1979 This paper derives a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities. When no riskless asset exists, a zero-beta pricing model is derived. Asset betas are ... Full text Cite

Prices of State-Contingent Claims Implicit in Option Prices

Journal Article The Journal of Business · January 1978 Full text Cite