Author Page for Hanno N. Lustig

1.

Common Risk Factors in Currency Markets

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Citation 83

2

Common Risk Factors in Currency Markets

Review of Financial Studies ( 2011), 24(11), .

Number of pages: 74 Posted: 01 Jun 2008 Last Revised: 27 Aug 2012

Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan

Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Citation 83

Abstract:

Common Risk Factors in Currency Markets

NBER Working Paper No. w14082

Number of pages: 63 Posted: 14 Jul 2008

Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan

Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Citation 83

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2.

The Cross-Section and Time-Series of Stock and Bond Returns

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Citation 26

4

The Cross-Section and Time-Series of Stock and Bond Returns

Journal of Monetary Economics, Forthcoming, EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper

Number of pages: 65 Posted: 11 Feb 2009 Last Revised: 04 May 2017

Ralph S. J. Koijen, Hanno N. Lustig and Stijn Van Nieuwerburgh

New York University (NYU) - Department of Finance, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 3,565 (2,261)

Citation 26

Abstract:

The Cross-Section and Time-Series of Stock and Bond Returns

NYU Working Paper No. 2451/31423

Number of pages: 64 Posted: 13 Jan 2012 Last Revised: 16 Dec 2014

Ralph S. J. Koijen, Hanno N. Lustig and Stijn Van Nieuwerburgh

New York University (NYU) - Department of Finance, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 699 (31,226)

Citation 26

Abstract:

The Cross-Section and Time-Series of Stock and Bond Returns

NBER Working Paper No. w15688

Number of pages: 68 Posted: 01 Feb 2010

Ralph S. J. Koijen, Hanno N. Lustig and Stijn Van Nieuwerburgh

New York University (NYU) - Department of Finance, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 240 (113,923)

Citation 26

Abstract:

The Cross-Section and Time-Series of Stock and Bond Returns

CEPR Discussion Paper No. DP9024

Number of pages: 69 Posted: 28 Sep 2012

Ralph S. J. Koijen, Hanno N. Lustig and Stijn Van Nieuwerburgh

New York University (NYU) - Department of Finance, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

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Citation 26

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3.

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

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Citation 10

5

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

American Economic Review, Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-12

Number of pages: 70 Posted: 15 Feb 2011 Last Revised: 14 Nov 2015

Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh

Yale SOM, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 2,420 (4,429)

Citation 10

Abstract:

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

AFA 2012 Chicago Meetings Paper

Number of pages: 78 Posted: 17 Mar 2011 Last Revised: 06 Aug 2015

Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh

Yale SOM, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 165 (162,680)

Citation 10

Abstract:

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

NYU Working Paper No. 2451/31427

Number of pages: 56 Posted: 13 Jan 2012 Last Revised: 10 Feb 2016

Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh

Yale SOM, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 103 (236,466)

Citation 10

Abstract:

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

NBER Working Paper No. w17149

Number of pages: 59 Posted: 20 Jun 2011

Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh

Yale SOM, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 29 (440,718)

Citation 10

Abstract:

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

CEPR Discussion Paper No. DP9023

Number of pages: 58 Posted: 28 Sep 2012

Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh

Yale SOM, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

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Citation 10

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4.

The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications

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Citation 2

2

The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications

Journal of Financial Economics (JFE), Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-54

Number of pages: 53 Posted: 12 Nov 2012 Last Revised: 15 Nov 2015

Bernard Herskovic, Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh

University of California, Los Angeles (UCLA) - Anderson School of Management, Yale SOM, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 2,520 (4,127)

Citation 2

Abstract:

The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications

NBER Working Paper No. w20076

Number of pages: 66 Posted: 28 Apr 2014

Bernard Herskovic, Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh

University of California, Los Angeles (UCLA) - Anderson School of Management, Yale SOM, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

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Citation 2

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5.

Countercyclical Currency Risk Premia

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Citation 24

2

Countercyclical Currency Risk Premia

Journal of Financial Economics (JFE), Forthcoming, AFA 2011 Denver Meetings Paper

Number of pages: 58 Posted: 26 Jan 2010 Last Revised: 07 Nov 2014

Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan

Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Citation 24

Abstract:

Countercyclical Currency Risk Premia

NBER Working Paper No. w16427

Number of pages: 78 Posted: 04 Oct 2010 Last Revised: 15 Apr 2016

Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan

Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Citation 24

Abstract:

6.

Firm Volatility in Granular Networks

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Citation 2

2

Firm Volatility in Granular Networks

Chicago Booth Research Paper No. 12-56, Fama-Miller Working Paper

Number of pages: 47 Posted: 07 Dec 2012 Last Revised: 31 Aug 2017

Bernard Herskovic, Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh

University of California, Los Angeles (UCLA) - Anderson School of Management, Yale SOM, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 1,657 (8,413)

Citation 2

Abstract:

Firm Volatility in Granular Networks

NBER Working Paper No. w19466

Number of pages: 55 Posted: 28 Sep 2013

Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh

Yale SOM, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

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Citation 2

Abstract:

7.

The Term Structure of Currency Carry Trade Risk Premia

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Citation 1

2

The Term Structure of Currency Carry Trade Risk Premia

Number of pages: 88 Posted: 16 Oct 2013 Last Revised: 24 Jan 2018

Hanno N. Lustig, Andreas Stathopoulos and Adrien Verdelhan

Stanford Graduate School of Business, University of Washington and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 1,596 (8,995)

Citation 1

Abstract:

The Term Structure of Currency Carry Trade Risk Premia

NBER Working Paper No. w19623

Number of pages: 68 Posted: 09 Nov 2013

Hanno N. Lustig, Andreas Stathopoulos and Adrien Verdelhan

Stanford Graduate School of Business, University of Washington and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 24 (467,712)

Citation 1

Abstract:

8.

The Wealth-Consumption Ratio

Review of Asset Pricing Studies, Forthcoming, NYU Working Paper No. FIN-08-045, AFA 2008 New Orleans Meetings Paper , EFA 2007 Ljubljana Meetings Paper

Number of pages: 110 Posted: 09 Mar 2009 Last Revised: 31 Mar 2013

Hanno N. Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan

Stanford Graduate School of Business, New York University Stern School of Business, Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Citation 29

Abstract:

The Wealth-Consumption Ratio

NBER Working Paper No. w13896

Number of pages: 52 Posted: 21 Mar 2008 Last Revised: 28 Jan 2010

Hanno N. Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan

Stanford Graduate School of Business, New York University Stern School of Business, Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Citation 29

Abstract:

The Wealth-Consumption Ratio

CEPR Discussion Paper No. DP9022

Number of pages: 77 Posted: 28 Sep 2012

Hanno N. Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan

Stanford Graduate School of Business, New York University Stern School of Business, Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Citation 29

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9.

Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle

Journal of Finance, Forthcoming

Number of pages: 81 Posted: 07 Sep 2010 Last Revised: 24 Aug 2012

Matthias Fleckenstein, Francis A. Longstaff and Hanno N. Lustig

University of Delaware, University of California, Los Angeles (UCLA) - Finance Area and Stanford Graduate School of Business

Downloads 1,052 (15,590)

Citation 20

Abstract:

10.

Size Anomalies in U.S. Bank Stock Returns

Journal of Finance, Forthcoming

Number of pages: 51 Posted: 05 Aug 2010 Last Revised: 13 Nov 2014

Priyank Gandhi and Hanno N. Lustig

Mendoza College of Business, University of Notre Dame and Stanford Graduate School of Business

Downloads 762 (11,721)

Citation 6

Abstract:

11.

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?

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2

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?

Number of pages: 73 Posted: 13 May 2015 Last Revised: 19 Feb 2018

Hanno N. Lustig and Adrien Verdelhan

Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 730 (29,488)

Abstract:

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?

NBER Working Paper No. w22023

Number of pages: 65 Posted: 01 Mar 2016

Hanno N. Lustig and Adrien Verdelhan

Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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12.

Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Re-Balancing?

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Citation 5

2

Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Re-Balancing?

American Economic Review, Vol. 102, No. 6, 2012

Number of pages: 53 Posted: 16 Sep 2009 Last Revised: 11 May 2015

YiLi Chien, Harold L. Cole and Hanno N. Lustig

Federal Reserve Banks - Federal Reserve Bank of St. Louis, University of Pennsylvania - Department of Economics and Stanford Graduate School of Business

Downloads 522 (46,098)

Citation 5

Abstract:

Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Re-Balancing?

American Economic Review, Forthcoming

Number of pages: 66 Posted: 18 Feb 2010 Last Revised: 15 Jul 2014

YiLi Chien, Harold L. Cole and Hanno N. Lustig

Federal Reserve Banks - Federal Reserve Bank of St. Louis, University of Pennsylvania - Department of Economics and Stanford Graduate School of Business

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Citation 5

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13.

Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates

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2

Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates

Stanford University Graduate School of Business Research Paper No. 15-54

Number of pages: 67 Posted: 30 Oct 2015 Last Revised: 07 Feb 2018

Hanno N. Lustig and Robert Richmond

Stanford Graduate School of Business and New York University (NYU) - Department of Finance

Downloads 550 (43,126)

Abstract:

Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates

NBER Working Paper No. w23773

Number of pages: 60 Posted: 11 Sep 2017

Hanno N. Lustig and Robert Richmond

Stanford Graduate School of Business and New York University (NYU) - Department of Finance

Downloads 6 (573,472)

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14.

Business Cycle Variation in the Risk-Return Trade-Off

Journal of Monetary Economics, Forthcoming

Number of pages: 35 Posted: 02 Sep 2010 Last Revised: 13 Nov 2012

Hanno N. Lustig and Adrien Verdelhan

Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 475 (48,186)

Citation 4

Abstract:

15.

A Multiplier Approach to Understanding the Macro Implications of Household Finance

Review of Economic Studies (2011), 78(1)

Number of pages: 44 Posted: 18 Mar 2008 Last Revised: 27 Aug 2012

YiLi Chien, Harold L. Cole and Hanno N. Lustig

Federal Reserve Banks - Federal Reserve Bank of St. Louis, University of Pennsylvania - Department of Economics and Stanford Graduate School of Business

Downloads 444 (54,756)

Citation 24

Abstract:

16.

Deflation Risk

Number of pages: 62 Posted: 13 Jul 2013

Matthias Fleckenstein, Francis A. Longstaff and Hanno N. Lustig

University of Delaware, University of California, Los Angeles (UCLA) - Finance Area and Stanford Graduate School of Business

Downloads 423 (60,048)

Abstract:

Deflation Risk

NBER Working Paper No. w19238

Number of pages: 63 Posted: 19 Jul 2013

Matthias Fleckenstein, Francis A. Longstaff and Hanno N. Lustig

University of Delaware, University of California, Los Angeles (UCLA) - Finance Area and Stanford Graduate School of Business

Downloads 12 (539,146)

Abstract:

17.

Are Stocks Real Assets? Sticky Discount Rates in Stock Markets

Review of Financial Studies (Forthcoming)

Number of pages: 60 Posted: 12 Jan 2015 Last Revised: 14 Aug 2016

Michael Katz, Hanno N. Lustig and Lars N Nielsen

AQR Capital Management, LLC, Stanford Graduate School of Business and AQR Capital Management, LLC

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18.

Technological Change and the Growing Inequality in Managerial Compensation

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Citation 6

2

Technological Change and the Growing Inequality in Managerial Compensation

Journal of Financial Economics (JFE), Vol. 99, No. 3, 2011, NYU Working Paper No. FIN-08-044

Number of pages: 45 Posted: 09 Mar 2009 Last Revised: 01 Oct 2015

Hanno N. Lustig, Chad Syverson and Stijn Van Nieuwerburgh

Stanford Graduate School of Business, University of Chicago Booth School of Business and New York University Stern School of Business, Department of Finance

Downloads 365 (71,632)

Citation 6

Abstract:

Technological Change and the Growing Inequality in Managerial Compensation

NBER Working Paper No. w14661

Number of pages: 57 Posted: 25 Jan 2009 Last Revised: 29 Oct 2014

Hanno N. Lustig, Chad Syverson and Stijn Van Nieuwerburgh

Stanford Graduate School of Business, University of Chicago Booth School of Business and New York University Stern School of Business, Department of Finance

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Citation 6

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19.

Capital Share Dynamics When Firms Insure Workers

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2

Capital Share Dynamics When Firms Insure Workers

Stanford University Graduate School of Business Research Paper No. 16-35

Number of pages: 59 Posted: 09 Jul 2016 Last Revised: 15 Oct 2017

Barney Hartman-Glaser, Hanno N. Lustig and Mindy Zhang Xiaolan

University of California, Los Angeles (UCLA) - Anderson School of Management, Stanford Graduate School of Business and University of Texas, Austin - Department of Finance

Downloads 387 (66,809)

Abstract:

Capital Share Dynamics When Firms Insure Workers

NBER Working Paper No. w22651

Number of pages: 59 Posted: 20 Sep 2016

Barney Hartman-Glaser, Hanno N. Lustig and Mindy Zhang

University of California, Los Angeles (UCLA) - Anderson School of Management, Stanford Graduate School of Business and University of Texas at Austin

Downloads 4 (584,885)

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20.

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk

Downloads 359 ( 73,647)

Citation 100

2

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk

EFA 2005 Moscow Meetings

Number of pages: 51 Posted: 12 Jan 2005

Hanno N. Lustig and Adrien Verdelhan

Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 292 (92,511)

Citation 100

Abstract:

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk

Banque de France Working Paper No. NER-R 155

Number of pages: 62 Posted: 25 Oct 2010

Hanno N. Lustig and Adrien Verdelhan

Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Citation 100

Abstract:

21.

How Does the U.S. Government Finance Fiscal Shocks?

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Citation 2

2

How Does the U.S. Government Finance Fiscal Shocks?

American Economic Journal: Macroeconomics, 2012, vol. 4(1)

Number of pages: 56 Posted: 06 Mar 2009 Last Revised: 27 Aug 2012

Antje Berndt, Hanno N. Lustig and Sevin Yeltekin

Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Stanford Graduate School of Business and Carnegie Mellon University - David A. Tepper School of Business

Downloads 344 (76,774)

Citation 2

Abstract:

How Does the U.S. Government Finance Fiscal Shocks?

NBER Working Paper No. w16458

Number of pages: 51 Posted: 18 Oct 2010

Antje Berndt, Hanno N. Lustig and Sevin Yeltekin

Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Stanford Graduate School of Business and Carnegie Mellon University - David A. Tepper School of Business

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Citation 2

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22.

The Market Price of Aggregate Risk and the Wealth Distribution

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Citation 51

2

The Market Price of Aggregate Risk and the Wealth Distribution

Review of Financial Studies (2010), 23(4)

Number of pages: 62 Posted: 16 Nov 2001 Last Revised: 27 Aug 2012

YiLi Chien and Hanno N. Lustig

Federal Reserve Banks - Federal Reserve Bank of St. Louis and Stanford Graduate School of Business

Downloads 248 (110,092)

Citation 46

Abstract:

The Market Price of Aggregate Risk and the Wealth Distribution

NBER Working Paper No. w11132

Number of pages: 63 Posted: 14 Mar 2005

Hanno N. Lustig and YiLi Chien

Stanford Graduate School of Business and Federal Reserve Banks - Federal Reserve Bank of St. Louis

Downloads 85 (268,667)

Citation 51

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23.

A Theory of Housing Collateral, Consumption Insurance and Risk Premia

Downloads 228 (120,386)

Citation 40

4

A Theory of Housing Collateral, Consumption Insurance and Risk Premia

Number of pages: 65 Posted: 16 Nov 2004

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 108 (228,700)

Citation 40

Abstract:

A Theory of Housing Collateral, Consumption Insurance and Risk Premia

NYU Working Paper No. S-MF-04-11

Number of pages: 70 Posted: 12 Nov 2008

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 64 (316,961)

Citation 38

Abstract:

A Theory of Housing Collateral, Consumption Insurance and Risk Premia

NBER Working Paper No. w10955

Number of pages: 62 Posted: 25 May 2006

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 38 (401,089)

Citation 40

Abstract:

A Theory of Housing Collateral, Consumption Insurance and Risk Premia

NYU Working Paper No. FIN-04-010

Number of pages: 65 Posted: 03 Nov 2008

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

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Citation 38

Abstract:

24.

Complex Asset Markets

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2

Complex Asset Markets

Number of pages: 76 Posted: 15 Aug 2016 Last Revised: 29 May 2017

Andrea L. Eisfeldt, Hanno N. Lustig and Lei Zhang

UCLA Anderson School of Management, Stanford Graduate School of Business and The University of Hong Kong - School of Economics and Finance

Downloads 203 (134,390)

Abstract:

Complex Asset Markets

NBER Working Paper No. w23476

Number of pages: 77 Posted: 05 Jun 2017

Andrea L. Eisfeldt, Hanno N. Lustig and Lei Zhang

UCLA Anderson School of Management, Stanford Graduate School of Business and The University of Hong Kong - School of Economics and Finance

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25.

Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perspective

Downloads 148 (151,248)

Citation 139

2

Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perspective

EFA 2004 Maastricht Meetings Paper No. 1403, Journal of Finance, Vol. 60, No. 3, 2005

Number of pages: 56 Posted: 23 Jun 2004 Last Revised: 27 Aug 2012

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 125 (205,005)

Citation 139

Abstract:

Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perspective

NYU Working Paper No. S-MF-04-02

Number of pages: 58 Posted: 12 Nov 2008

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 23 (473,559)

Citation 118

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26.

When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and When is it Not)?

Downloads 166 (161,709)

Citation 19

3

When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and When is it Not)?

Journal of Economic Theory, Vol. 145, No. 1, 2010

Number of pages: 50 Posted: 01 Jan 2007 Last Revised: 27 Aug 2012

Dirk Krueger and Hanno N. Lustig

University of Pennsylvania - Department of Economics and Stanford Graduate School of Business

Downloads 102 (238,141)

Citation 19

Abstract:

When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and When is it Not)?

NBER Working Paper No. w12634

Number of pages: 66 Posted: 07 Dec 2006 Last Revised: 11 Jul 2010

Hanno N. Lustig and Dirk Krueger

Stanford Graduate School of Business and University of Pennsylvania - Department of Economics

Downloads 40 (393,374)

Citation 19

Abstract:

The Irrelevance of Market Incompleteness for the Price of Aggregate Risk

CEPR Discussion Paper No. 5936

Number of pages: 58 Posted: 03 Jan 2007

Dirk Krueger and Hanno N. Lustig

University of Pennsylvania - Department of Economics and Stanford Graduate School of Business

Downloads 24 (467,712)

Citation 19

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27.

How Much Does Household Collateral Constrain Regional Risk Sharing?

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Citation 33

3

How Much Does Household Collateral Constrain Regional Risk Sharing?

Review of Economic Dynamics, Vol. 13, No. 2, 2010

Number of pages: 52 Posted: 09 Jul 2008 Last Revised: 27 Aug 2012

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 78 (283,143)

Citation 26

Abstract:

How Much Does Household Collateral Constrain Regional Risk Sharing?

NBER Working Paper No. w10505

Number of pages: 53 Posted: 01 Jun 2004 Last Revised: 16 Sep 2010

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 28 (445,767)

Citation 33

Abstract:

How Much Does Household Collateral Constrain Regional Risk Sharing?

NYU Working Paper No. FIN-04-009

Number of pages: 52 Posted: 03 Nov 2008 Last Revised: 16 Oct 2009

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 27 (450,980)

Citation 26

Abstract:

28.

Reply to Amit Goyal’s Comment, 'No Size Anomalies in U.S. Bank Stock Returns'

Number of pages: 18 Posted: 24 Apr 2014 Last Revised: 13 May 2014

Priyank Gandhi and Hanno N. Lustig

Mendoza College of Business, University of Notre Dame and Stanford Graduate School of Business

Downloads 125 (101,231)

Abstract:

29.

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply

Downloads 88 (260,745)

Citation 97

2

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply

Number of pages: 27 Posted: 05 Oct 2010

Hanno N. Lustig and Adrien Verdelhan

Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 53 (348,700)

Citation 96

Abstract:

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply

NBER Working Paper No. w13812

Number of pages: 52 Posted: 15 Feb 2008 Last Revised: 07 Nov 2010

Hanno N. Lustig and Adrien Verdelhan

Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 35 (413,729)

Citation 97

Abstract:

30.

Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle

NBER Working Paper No. w16358

Number of pages: 50 Posted: 13 Sep 2010

Matthias Fleckenstein, Francis A. Longstaff and Hanno N. Lustig

University of Delaware, University of California, Los Angeles (UCLA) - Finance Area and Stanford Graduate School of Business

Downloads 85 (255,365)

Citation 20

Abstract:

31.

The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street

Downloads 75 (287,030)

Citation 35

3

The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street

Review of Financial Studies (2008), 21(5), NYU Working Paper No. FIN-05-023

Number of pages: 63 Posted: 03 Nov 2008 Last Revised: 27 Aug 2012

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 43 (382,125)

Citation 35

Abstract:

The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street

NBER Working Paper No. w11564

Number of pages: 64 Posted: 05 Oct 2005 Last Revised: 08 Aug 2010

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 32 (426,540)

Citation 35

Abstract:

The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street

The Review of Financial Studies, Vol. 21, Issue 5, pp. 2097-2137, 2008

Posted: 19 Sep 2008

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Abstract:

32.

Foreign Safe Asset Demand and the Dollar Exchange Rate

Downloads 51 (320,858)

1

Foreign Safe Asset Demand and the Dollar Exchange Rate

Stanford University Graduate School of Business Research Paper No. 18-16

Number of pages: 55 Posted: 21 Mar 2018

Zhengyang Jiang, Arvind Krishnamurthy and Hanno N. Lustig

Stanford University, Graduate School of Business, Students, Stanford Graduate School of Business and Stanford Graduate School of Business

Downloads 51 (355,079)

Abstract:

33.

Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy

Downloads 59 (326,171)

3

Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy

Number of pages: 45 Posted: 07 May 2014 Last Revised: 15 Jul 2014

YiLi Chien, Harold L. Cole and Hanno N. Lustig

Federal Reserve Banks - Federal Reserve Bank of St. Louis, University of Pennsylvania - Department of Economics and Stanford Graduate School of Business

Downloads 44 (378,460)

Abstract:

Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy

FRB of St. Louis Working Paper No. 2014-014A

Number of pages: 46 Posted: 16 Jul 2014

YiLi Chien, Harold L. Cole and Hanno N. Lustig

Federal Reserve Banks - Federal Reserve Bank of St. Louis, University of Pennsylvania - Department of Economics and Stanford Graduate School of Business

Downloads 12 (539,146)

Abstract:

Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy

NBER Working Paper No. w20328

Number of pages: 47 Posted: 28 Jul 2014

YiLi Chien, Harold L. Cole and Hanno N. Lustig

Federal Reserve Banks - Federal Reserve Bank of St. Louis, University of Pennsylvania - Department of Economics and Stanford Graduate School of Business

Downloads 3 (591,402)

Abstract:

34.

A European History Lesson for Today’s Central Bankers

International Journal of Central Banking (prepared for the 4th Financial Stability Conference)

Number of pages: 12 Posted: 01 Feb 2013

Hanno N. Lustig

Stanford Graduate School of Business

Downloads 50 (298,310)

Abstract:

35.

Housing Collateral and Consumption Insurance Across Us Regions

NYU Working Paper No. S-MF-04-10

Number of pages: 47 Posted: 12 Nov 2008

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 49 (328,841)

Citation 7

Abstract:

36.

Can Housing Collateral Explain Long-Run Swings in Asset Returns?

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Citation 21

2

Can Housing Collateral Explain Long-Run Swings in Asset Returns?

NBER Working Paper No. w12766

Number of pages: 47 Posted: 22 Dec 2006

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 32 (426,540)

Citation 21

Abstract:

Can Housing Collateral Explain Long-Run Swings in Asset Returns?

NYU Working Paper No. FIN-11-059

Posted: 13 Jan 2012

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Abstract:

37.

Fiscal Hedging and the Yield Curve

NBER Working Paper No. w11687

Number of pages: 59 Posted: 15 Dec 2005 Last Revised: 27 Jul 2009

Hanno N. Lustig, Christopher M. Sleet and Sevin Yeltekin

Stanford Graduate School of Business, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business

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Citation 4

Abstract:

38.

Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective

NBER Working Paper No. w9959

Number of pages: 56 Posted: 06 Oct 2005 Last Revised: 09 May 2015

Hanno N. Lustig and Stijn Van Nieuwerburgh

Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Downloads 24 (424,959)

Citation 133

Abstract:

39.

On Identifying Commercial Banks in CRSP

Number of pages: 15 Posted: 05 Nov 2014

Priyank Gandhi and Hanno N. Lustig

Mendoza College of Business, University of Notre Dame and Stanford Graduate School of Business

Downloads 22 (194,449)

Abstract:

40.

Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation

NBER Working Paper No. w16553

Number of pages: 52 Posted: 22 Nov 2010

Priyank Gandhi and Hanno N. Lustig

Mendoza College of Business, University of Notre Dame and Stanford Graduate School of Business

Downloads 22 (389,033)

Citation 6

Abstract:

41.

The Cross-Section of Currency Risk Premia and Us Consumption Growth Risk

NBER Working Paper No. w11104

Number of pages: 52 Posted: 08 Aug 2012

Hanno N. Lustig and Adrien Verdelhan

Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Citation 94

Abstract:

42.

A Multiplier Approach to Understanding the Macro Implications of Household Finance

NBER Working Paper No. w13555

Number of pages: 45 Posted: 05 Nov 2007

YiLi Chien, Hanno N. Lustig and Harold L. Cole

Federal Reserve Banks - Federal Reserve Bank of St. Louis, Stanford Graduate School of Business and University of Pennsylvania - Department of Economics

Downloads 19 (469,682)

Citation 24

Abstract:

43.

Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data

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2

Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data

NBER Working Paper No. w13650

Number of pages: 16 Posted: 21 Dec 2007 Last Revised: 28 Dec 2007

Dirk Krueger, Hanno N. Lustig and Fabrizio Perri

University of Pennsylvania - Department of Economics, Stanford Graduate School of Business and Leonard N. Stern School of Business - Department of Economics

Downloads 17 (509,223)

Citation 4

Abstract:

Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data

CFS Working Paper No. 2006/22

Posted: 07 Oct 2006

Dirk Krueger, Hanno N. Lustig and Fabrizio Perri

University of Pennsylvania - Department of Economics, Stanford Graduate School of Business and Leonard N. Stern School of Business - Department of Economics

Abstract:

44.

Exchange Rates, Prices and International Trade in a Model of Endogenous Market Structure

Manchester School, Vol. 75, No. 2, pp. 160-192, March 2007

Number of pages: 33 Posted: 08 Feb 2007

Hanno N. Lustig and Yunus Aksoy

Stanford Graduate School of Business and Birkbeck, University of London

Downloads 13 (512,434)

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Abstract:

45.

Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Re-Balancing?

NBER Working Paper No. w15382

Number of pages: 54 Posted: 28 Sep 2009 Last Revised: 14 Jul 2010

YiLi Chien, Harold L. Cole and Hanno N. Lustig

Federal Reserve Banks - Federal Reserve Bank of St. Louis, University of Pennsylvania - Department of Economics and Stanford Graduate School of Business

Downloads 12 (496,362)

Citation 5

Abstract:

46.

Post-FOMC Announcement Drift in U.S. Bond Markets

Stanford University Graduate School of Business Research Paper No. 18-2

Number of pages: 55 Posted: 15 Dec 2017 Last Revised: 11 Jan 2018

Jordan Brooks, Michael Katz and Hanno N. Lustig

AQR Capital Management, LLC, AQR Capital Management, LLC and Stanford Graduate School of Business

Downloads 0 (217,324)

Abstract:

47.

Foreign Safe Asset Demand for U.S. Treasurys and the Dollar

American Economic Review P&P, Forthcoming, Stanford University Graduate School of Business Research Paper No. 18-1

Number of pages: 55 Posted: 11 Dec 2017 Last Revised: 25 Mar 2018

Zhengyang Jiang, Arvind Krishnamurthy and Hanno N. Lustig

Stanford University, Graduate School of Business, Students, Stanford Graduate School of Business and Stanford Graduate School of Business

Downloads 0 (123,664)

Abstract:

48.

Firm Volatility in Granual Networks

CEPR Discussion Paper No. DP12284

Number of pages: 50 Posted: 11 Sep 2017

Bernard Herskovic, Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh

University of California, Los Angeles (UCLA) - Anderson School of Management, Yale SOM, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

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Citation 2

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Abstract:

49.

Equity is Cheap for Large Financial Institutions: The International Evidence

NBER Working Paper No. w22355

Number of pages: 79 Posted: 20 Jun 2016

Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi

Mendoza College of Business, University of Notre Dame, Stanford Graduate School of Business and USI Lugano

Downloads 0 (501,741)

Abstract:

50.

Equity Is Cheap for Large Financial Institutions

Swiss Finance Institute Research Paper No. 16-22, Paris December 2016 Finance Meeting EUROFIDAI - AFFI

Number of pages: 78 Posted: 14 Mar 2016 Last Revised: 22 Jul 2017

Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi

Mendoza College of Business, University of Notre Dame, Stanford Graduate School of Business and USI Lugano

Downloads 0 (58,767)

Abstract:

51.

Why are Exchange Rates so Smooth? A Household Finance Explanation

FRB St. Louis Working Paper No. 2015-39

Number of pages: 44 Posted: 01 Dec 2015 Last Revised: 28 Sep 2017

YiLi Chien, Hanno N. Lustig and Kanda Naknoi

Federal Reserve Banks - Federal Reserve Bank of St. Louis, Stanford Graduate School of Business and University of Connecticut

Downloads 0 (204,230)

Hanno N. Lustig

Stanford Graduate School of Business

National Bureau of Economic Research (NBER)

51

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