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Lustig, Hanno N.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
16,567 |
Total
Citations
1,004 |
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1.
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Common Risk Factors in Currency Markets
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Roussanov, Nikolai L.
University of Pennsylvania - The Wharton School Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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Posted:
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01 Jun 08
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Last Revised:
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27 Aug 12
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3,780
(913)
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73
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Roussanov, Nikolai L.
University of Pennsylvania - The Wharton School Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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73
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73
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Roussanov, Nikolai L.
University of Pennsylvania - The Wharton School Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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01 Jun 08
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Last Revised:
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27 Aug 12
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3,707
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73
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Carry Trade, Currency Risk
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2.
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The Cross-Section and Time-Series of Stock and Bond Returns
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Versions (4)
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Koijen, Ralph S. J.
University of Chicago - Booth School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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Posted:
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11 Feb 09
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Last Revised:
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28 Sep 12
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2,457
(1,980)
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28
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Koijen, Ralph S. J.
University of Chicago - Booth School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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2
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28
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bond risk premium, cross-section of stock returns
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Koijen, Ralph S. J.
University of Chicago - Booth School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Nieuwerburgh, Stijn Van
affiliation not provided to SSRN
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13 Jan 12
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Last Revised:
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30 Aug 12
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107
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28
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Koijen, Ralph S. J.
University of Chicago - Booth School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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69
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28
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Koijen, Ralph S. J.
University of Chicago - Booth School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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| Posted: |
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11 Feb 09
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Last Revised:
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30 Aug 12
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2,279
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28
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3.
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Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees
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Versions (5)
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Kelly, Bryan T.
University of Chicago - Booth School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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Posted:
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15 Feb 11
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Last Revised:
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28 Sep 12
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1,262
(6,309)
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6
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Kelly, Bryan T.
University of Chicago - Booth School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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2
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6
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financial crisis, government bailout, option pricing models, systemic risk, too-big-to-fail
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Kelly, Bryan T.
University of Chicago - Booth School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Nieuwerburgh, Stijn Van
affiliation not provided to SSRN
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| Posted: |
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13 Jan 12
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Last Revised:
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23 Mar 12
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69
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6
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Kelly, Bryan T.
University of Chicago - Booth School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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22
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6
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Kelly, Bryan T.
University of Chicago - Booth School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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| Posted: |
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17 Mar 11
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Last Revised:
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07 Nov 11
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107
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6
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systemic risk, government bailout, too-big-to-fail, option pricing models, disaster models, financial crisis
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Kelly, Bryan T.
University of Chicago - Booth School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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| Posted: |
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15 Feb 11
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Last Revised:
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23 Mar 12
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1,062
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6
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systemic risk, too-big-to-fail, option pricing, government bailout, financial disaster models
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4.
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The Wealth-Consumption Ratio
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Versions (3)
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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Posted:
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21 Mar 08
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Last Revised:
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31 Mar 13
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1,093
(8,027)
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29
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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6
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29
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discount rate, equity risk premium, excess return, interest rate, risk premium, stock market, stock returns
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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| Posted: |
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09 Mar 09
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Last Revised:
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31 Mar 13
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1,070
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29
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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17
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29
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5.
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Countercyclical Currency Risk Premia
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Versions (2)
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Roussanov, Nikolai L.
University of Pennsylvania - The Wharton School Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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Posted:
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26 Jan 10
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Last Revised:
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25 Feb 13
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983
(9,542)
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14
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Roussanov, Nikolai L.
University of Pennsylvania - The Wharton School Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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15
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14
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Roussanov, Nikolai L.
University of Pennsylvania - The Wharton School Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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| Posted: |
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26 Jan 10
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Last Revised:
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25 Feb 13
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968
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14
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Exchange Rates, Forecasting, Risk Premia
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6.
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Guvenen, Fatih
University of Minnesota - Department of Economics
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930
(10,369)
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1
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Equity premium puzzle, asset pricing, Consumption-based asset pricing models
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7.
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Fleckenstein, Matthias
University of California, Los Angeles (UCLA) - Anderson School of Management Longstaff, Francis A.
University of California, Los Angeles (UCLA) - Finance Area Lustig, Hanno N.
National Bureau of Economic Research (NBER)
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| Posted: |
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07 Sep 10
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Last Revised:
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24 Aug 12
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853
(11,933)
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17
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Fixed Income, Arbitrage, TIPS
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8.
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Guvenen, Fatih
University of Minnesota - Department of Economics
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709
(15,684)
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1
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Equity premium puzzle, asset pricing, Consumption-based asset pricing models
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9.
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Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Re-Balancing?
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Chien, YiLi
Federal Reserve Bank of St. Louis Cole, Harold L.
University of Pennsylvania - Department of Economics Lustig, Hanno N.
National Bureau of Economic Research (NBER)
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Posted:
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16 Sep 09
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Last Revised:
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24 Aug 12
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607
(19,647)
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4
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Chien, YiLi
Federal Reserve Bank of St. Louis Cole, Harold L.
University of Pennsylvania - Department of Economics Lustig, Hanno N.
National Bureau of Economic Research (NBER)
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| Posted: |
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18 Feb 10
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Last Revised:
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24 Aug 12
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157
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4
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Portfolio Rebalancing
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Chien, YiLi
Federal Reserve Bank of St. Louis Cole, Harold L.
University of Pennsylvania - Department of Economics Lustig, Hanno N.
National Bureau of Economic Research (NBER)
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| Posted: |
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16 Sep 09
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Last Revised:
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01 Sep 11
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450
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4
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Asset Pricing, Household Finance, Risk Sharing, Limited Participation
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10.
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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| Posted: |
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02 Sep 10
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Last Revised:
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13 Nov 12
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426
(31,426)
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5
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Risk Premia, Sharpe Ratio
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11.
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Chien, YiLi
Federal Reserve Bank of St. Louis Cole, Harold L.
University of Pennsylvania - Department of Economics Lustig, Hanno N.
National Bureau of Economic Research (NBER)
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| Posted: |
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18 Mar 08
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Last Revised:
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27 Aug 12
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413
(32,760)
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22
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Asset Pricing, Risk Sharing, Limited Participation
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12.
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Gandhi, Priyank
Mendoza College of Business, University of Notre Dame Lustig, Hanno N.
National Bureau of Economic Research (NBER)
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| Posted: |
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05 Aug 10
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Last Revised:
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03 Dec 12
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330
(43,093)
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2
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Banking Crisis, Banking, Government Bailout
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13.
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Technological Change and the Growing Inequality in Managerial Compensation
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Syverson, Chad
University of Chicago - Department of Economics Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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Posted:
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25 Jan 09
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Last Revised:
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10 Aug 10
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330
(43,093)
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5
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Syverson, Chad
University of Chicago - Department of Economics Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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| Posted: |
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09 Mar 09
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Last Revised:
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10 Aug 10
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308
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5
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Syverson, Chad
University of Chicago - Department of Economics Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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22
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5
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14.
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The Market Price of Aggregate Risk and the Wealth Distribution
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Versions (2)
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Chien, Yi-Li
University of California, Los Angeles (UCLA) - Department of Economics
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Posted:
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16 Nov 01
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Last Revised:
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27 Aug 12
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311
(46,193)
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51
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Chien, Yi-Li
University of California, Los Angeles (UCLA) - Department of Economics
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75
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51
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Chien, YiLi
Federal Reserve Bank of St. Louis Lustig, Hanno N.
National Bureau of Economic Research (NBER)
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| Posted: |
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16 Nov 01
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Last Revised:
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27 Aug 12
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236
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46
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Asset Pricing, Wealth Heterogeneity, Limited Commitment
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15.
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Kelly, Bryan T.
University of Chicago - Booth School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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304
(47,795)
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16.
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The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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Posted:
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12 Jan 05
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Last Revised:
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25 Oct 10
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277
(52,848)
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96
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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49
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96
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Exchange Rates, Asset Pricing
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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228
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96
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Asset Pricing, Exchange Rates
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17.
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How Does the U.S. Government Finance Fiscal Shocks?
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Berndt, Antje
Carnegie Mellon University - Tepper School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Yeltekin, Sevin
Carnegie Mellon University - David A. Tepper School of Business
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Posted:
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06 Mar 09
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Last Revised:
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27 Aug 12
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268
(54,806)
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1
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Berndt, Antje
Carnegie Mellon University - Tepper School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Yeltekin, Sevin
Carnegie Mellon University - David A. Tepper School of Business
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10
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1
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Berndt, Antje
Carnegie Mellon University - Tepper School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Yeltekin, Sevin
Carnegie Mellon University - David A. Tepper School of Business
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| Posted: |
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06 Mar 09
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Last Revised:
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27 Aug 12
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258
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1
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Fiscal shocks, fiscal adjustment, defense spending, bond returns, debt maturity
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18.
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Kelly, Bryan T.
University of Chicago - Booth School of Business Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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| Posted: |
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07 Dec 12
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Last Revised:
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31 Mar 13
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209
(71,844)
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Volatility, networks, firm growth, firm volatility
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19.
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A Theory of Housing Collateral, Consumption Insurance and Risk Premia
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Show Abstracts |
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Versions (4)
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hide multiple versions |
Export Bibliographic Info |
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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Posted:
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16 Nov 04
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Last Revised:
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20 Apr 09
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202
(74,048)
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42
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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53
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40
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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15
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40
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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29
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42
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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105
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42
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Housing collateral, risk sharing, risk premia
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20.
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The Irrelevance of Market Incompleteness for the Price of Aggregate Risk
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Krueger, Dirk
University of Pennsylvania - Department of Economics Lustig, Hanno N.
National Bureau of Economic Research (NBER)
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Posted:
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07 Dec 06
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Last Revised:
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27 Aug 12
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152
(96,742)
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18
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Krueger, Dirk
University of Pennsylvania - Department of Economics Lustig, Hanno N.
National Bureau of Economic Research (NBER)
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24
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18
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Risk premium, idiosyncratic income risk, incomplete markets
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Krueger, Dirk
University of Pennsylvania - Department of Economics Lustig, Hanno N.
National Bureau of Economic Research (NBER)
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| Posted: |
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01 Jan 07
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Last Revised:
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27 Aug 12
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93
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18
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Market Incompleteness, Asset Pricing
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Krueger, Dirk
University of Pennsylvania - Department of Economics
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35
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18
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21.
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Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perspective
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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Posted:
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23 Jun 04
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Last Revised:
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27 Aug 12
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131
(97,929)
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129
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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17
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108
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Asset Pricing, Risk Sharing
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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| Posted: |
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23 Jun 04
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Last Revised:
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27 Aug 12
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114
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129
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Asset Pricing, Risk Sharing
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22.
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How Much Does Household Collateral Constrain Regional Risk Sharing?
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
|
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Posted:
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01 Jun 04
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Last Revised:
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27 Aug 12
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118
(119,567)
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33
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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| Posted: |
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03 Nov 08
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Last Revised:
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16 Oct 09
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21
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26
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Regional risk sharing, housing collateral
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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| Posted: |
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09 Jul 08
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Last Revised:
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27 Aug 12
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74
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26
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Risk Sharing, Collateral, Real Estate
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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23
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33
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23.
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Fleckenstein, Matthias
University of California, Los Angeles (UCLA) - Anderson School of Management Longstaff, Francis A.
University of California, Los Angeles (UCLA) - Finance Area Lustig, Hanno N.
National Bureau of Economic Research (NBER)
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80
(156,298)
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17
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24.
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The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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Posted:
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15 Feb 08
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Last Revised:
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07 Nov 10
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67
(173,456)
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95
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|
|
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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40
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94
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Verdelhan, Adrien
National Bureau of Economic Research (NBER)
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27
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95
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25.
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The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street
|
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
|
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Posted:
|
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05 Oct 05
|
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Last Revised:
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27 Aug 12
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59
(185,330)
|
35
|
|
|
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
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| Posted: |
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03 Nov 08
|
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Last Revised:
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27 Aug 12
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33
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35
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
|
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0
|
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| |
|
| |
G12, G14, G33
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
|
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26
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35
|
|
| |
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| |
|
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26.
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
|
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38
(224,020)
|
7
|
|
| |
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| |
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27.
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Lustig, Hanno N.
National Bureau of Economic Research (NBER)
|
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27
(251,842)
|
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| |
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| |
central banking, quantitative easing, fixed income
|
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28.
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Can Housing Collateral Explain Long-Run Swings in Asset Returns?
|
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
|
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Posted:
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22 Dec 06
|
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Last Revised:
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28 Feb 12
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45
(209,726)
|
23
|
|
|
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Nieuwerburgh, Stijn Van
affiliation not provided to SSRN
|
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18
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23
|
|
| |
|
| |
|
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|
|
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|
Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
|
|
27
|
23
|
|
| |
|
| |
|
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29.
|
|
|
Lustig, Hanno N.
National Bureau of Economic Research (NBER) Van Nieuwerburgh, Stijn
New York University Stern School of Business, Department of Finance
|
|
23
(264,861)
|
124
|
|
| |
|
| |
|
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30.
|
|
|
Lustig, Hanno N.
National Bureau of Economic Research (NBER) Sleet, Christopher M.
Carnegie Mellon University - David A. Tepper School of Business Yeltekin, Sevin
Carnegie Mellon University - David A. Tepper School of Business
|
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21
(271,695)
|
4
|
|
| |
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| |
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31.
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|
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Gandhi, Priyank
Mendoza College of Business, University of Notre Dame Lustig, Hanno N.
National Bureau of Economic Research (NBER)
|
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18
(282,219)
|
2
|
|
| |
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| |
|
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32.
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|
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Lustig, Hanno N.
National Bureau of Economic Research (NBER) Verdelhan, Adrien
National Bureau of Economic Research (NBER)
|
|
14
(296,554)
|
91
|
|
| |
|
| |
|
|
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33.
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Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data
|
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Krueger, Dirk
University of Pennsylvania - Department of Economics Lustig, Hanno N.
National Bureau of Economic Research (NBER) Perri, Fabrizio
Leonard N. Stern School of Business - Department of Economics
|
|
Posted:
|
|
07 Oct 06
|
|
Last Revised:
|
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09 Sep 11
|
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14
(296,554)
|
3
|
|
|
|
|
Krueger, Dirk
University of Pennsylvania - Department of Economics Lustig, Hanno N.
National Bureau of Economic Research (NBER) Perri, Fabrizio
Leonard N. Stern School of Business - Department of Economics
|
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14
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3
|
|
| |
|
| |
|
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Krueger, Dirk
University of Pennsylvania - Department of Economics Lustig, Hanno N.
National Bureau of Economic Research (NBER) Perri, Fabrizio
Leonard N. Stern School of Business - Department of Economics
|
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0
|
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| |
|
| |
Limited Commitment, Equity Premium, Stochastic Discount Factor, Household Consumption Data
|
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34.
|
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Chien, Yi-Li
University of California, Los Angeles (UCLA) - Department of Economics Lustig, Hanno N.
National Bureau of Economic Research (NBER) Cole, Harold L.
University of Pennsylvania - Department of Economics
|
|
14
(296,554)
|
22
|
|
| |
|
| |
|
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35.
|
|
|
Lustig, Hanno N.
National Bureau of Economic Research (NBER) Aksoy, Yunus
University of London, Birkbeck College, Faculty of Social Sciences, School of Economics, Mathematics and Statistics
|
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13
(300,084)
|
|
|
| |
|
| |
|
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36.
|
|
|
Chien, Yi-Li
University of California, Los Angeles (UCLA) - Department of Economics Cole, Harold L.
University of Pennsylvania - Department of Economics Lustig, Hanno N.
National Bureau of Economic Research (NBER)
|
|
7
(319,611)
|
4
|
|
| |
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