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Hanno N. Lustig

Stanford Graduate School of Business

Stanford GSB

655 Knight Way

Stanford, CA California 94305-6072

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • Stanford Graduate School of Business

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SCHOLARLY PAPERS

47

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Scholarly Papers (47)

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1.

Common Risk Factors in Currency Markets

Downloads 6,238 ( 743)
Citation 82

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
Downloads 6,141 (752)
Citation 82

Abstract:

Carry Trade, Currency Risk

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
Downloads 97 (226,294)
Citation 82

Abstract:

2.

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

Downloads 4,192 ( 1,490)
Citation 27

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 3,264 (2,274)
Citation 27

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 689 (28,723)
Citation 27

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 237 (105,175)
Citation 27

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
Downloads 2 (558,210)
Citation 27

Abstract:

bond risk premium, cross-section of stock returns

3.

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

Downloads 2,545 ( 3,627)
Citation 10

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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 2,271 (4,309)
Citation 10

Abstract:

systemic risk, too-big-to-fail, option pricing, government bailout, financial disaster models

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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 145 (166,575)
Citation 10

Abstract:

systemic risk, government bailout, too-big-to-fail, option pricing models, disaster models, financial crisis

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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 99 (223,163)
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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 28 (412,727)
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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 2 (558,210)
Citation 10

Abstract:

financial crisis, government bailout, option pricing models, systemic risk, too-big-to-fail

4.

The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications

Downloads 2,285 ( 4,342)
Citation 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, University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 2,271 (4,315)
Citation 2

Abstract:

Firm volatility, Idiosyncratic risk, Cross-section of stock returns

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, University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 14 (491,338)
Citation 2

Abstract:

5.

Countercyclical Currency Risk Premia

Downloads 1,631 ( 7,850)
Citation 24

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
Downloads 1,606 (7,863)
Citation 24

Abstract:

Exchange Rates, Forecasting, Risk Premia

Countercyclical Currency Risk Premia

NBER Working Paper No. w16427
Number of pages: 78 Posted: 04 Oct 2010
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
Downloads 25 (428,171)
Citation 24

Abstract:

6.

Firm Volatility in Granular Networks

Downloads 1,388 ( 10,141)
Citation 2

Firm Volatility in Granular Networks

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-56
Number of pages: 66 Posted: 07 Dec 2012 Last Revised: 15 Oct 2013
Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh
University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 1,374 (10,123)
Citation 2

Abstract:

Volatility, networks, firm growth, firm volatility

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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 14 (491,338)
Citation 2

Abstract:

7.

Nominal Exchange Rate Stationarity and Long-Term Bond Returns

Downloads 1,372 ( 10,367)
Citation 1

Nominal Exchange Rate Stationarity and Long-Term Bond Returns

Number of pages: 88 Posted: 16 Oct 2013 Last Revised: 17 Jan 2016
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 1,356 (10,351)
Citation 1

Abstract:

exchange rate stationarity, carry trade, UIP, currency risk premia, bond risk premia

The Term Structure of Currency Carry Trade Risk Premia

NBER Working Paper No. w19623
Number of pages: 73 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 16 (479,641)
Citation 1

Abstract:

8.

The Wealth-Consumption Ratio

Downloads 1,312 ( 11,120)
Citation 29

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
Downloads 1,284 (11,296)
Citation 29

Abstract:

The Wealth-Consumption Ratio

NBER Working Paper No. w13896
Number of pages: 52 Posted: 21 Mar 2008
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
Downloads 22 (445,032)
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
Downloads 6 (535,258)
Citation 29

Abstract:

discount rate, equity risk premium, excess return, interest rate, risk premium, stock market, stock returns

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 California, Los Angeles (UCLA) - Anderson School of Management, University of California, Los Angeles (UCLA) - Finance Area and Stanford Graduate School of Business
Downloads 1,052 (14,408)
Citation 20

Abstract:

Fixed Income, Arbitrage, TIPS

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 (12,185)
Citation 6

Abstract:

Banking Crisis, Banking, Government Bailout

11.

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

Downloads 729 ( 26,931)
Citation 5

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 520 (41,865)
Citation 5

Abstract:

Asset Pricing, Household Finance, Risk Sharing, Limited Participation

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
Downloads 209 (119,339)
Citation 5

Abstract:

Portfolio Rebalancing

12.

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

Downloads 641 ( 32,200)

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

Number of pages: 64 Posted: 13 May 2015 Last Revised: 21 Mar 2016
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 632 (32,325)

Abstract:

currency risk, exchange rates, market incompleteness

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
Downloads 9 (519,582)

Abstract:

13.

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 (45,412)
Citation 4

Abstract:

Risk Premia, Sharpe Ratio

14.

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 (50,193)
Citation 24

Abstract:

Asset Pricing, Risk Sharing, Limited Participation

15.

Deflation Risk

Downloads 424 ( 54,704)

Deflation Risk

Number of pages: 62 Posted: 13 Jul 2013
Matthias Fleckenstein, Francis A. Longstaff and Hanno N. Lustig
University of California, Los Angeles (UCLA) - Anderson School of Management, University of California, Los Angeles (UCLA) - Finance Area and Stanford Graduate School of Business
Downloads 412 (56,099)

Abstract:

deflation, tail risk

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 California, Los Angeles (UCLA) - Anderson School of Management, University of California, Los Angeles (UCLA) - Finance Area and Stanford Graduate School of Business
Downloads 12 (502,862)

Abstract:

16.

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
Downloads 417 (29,186)

Abstract:

inflation hedging, inflation expectations

17.

Technological Change and the Growing Inequality in Managerial Compensation

Downloads 381 ( 62,297)
Citation 6

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 355 (67,039)
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
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 26 (422,903)
Citation 6

Abstract:

18.

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

Downloads 353 ( 68,117)
Citation 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, Stanford Graduate School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 339 (70,817)
Citation 2

Abstract:

Fiscal shocks, fiscal adjustment, defense spending, bond returns, debt maturity

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, Stanford Graduate School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 14 (491,338)
Citation 2

Abstract:

19.

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

Downloads 340 ( 71,138)
Citation 100

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 278 (88,704)
Citation 100

Abstract:

Asset Pricing, Exchange Rates

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
Downloads 62 (296,664)
Citation 100

Abstract:

Exchange Rates, Asset Pricing

20.

The Market Price of Aggregate Risk and the Wealth Distribution

Downloads 329 ( 73,943)
Citation 51

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 244 (102,039)
Citation 46

Abstract:

Asset Pricing, Wealth Heterogeneity, Limited Commitment

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 (246,959)
Citation 51

Abstract:

21.

Capital Share Dynamics When Firms Insure Workers

Downloads 226 (110,821)

Capital Share Dynamics When Firms Insure Workers

Stanford University Graduate School of Business Research Paper No. 16-35
Number of pages: 55 Posted: 09 Jul 2016 Last Revised: 28 Apr 2017
Barney Hartman-Glaser, Hanno N. Lustig and Mindy X. Zhang
University of California, Los Angeles (UCLA) - Anderson School of Management, Stanford Graduate School of Business and University of Texas, Austin - Department of Finance
Downloads 223 (111,829)

Abstract:

Idiosyncratic Risk, Selection, Capital Share, Labor Share, National Income Accounting, Selection

Capital Share Dynamics When Firms Insure Workers

NBER Working Paper No. w22651
Number of pages: 56 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 3 (550,658)

Abstract:

22.

A Theory of Housing Collateral, Consumption Insurance and Risk Premia

Downloads 225 (111,303)
Citation 40

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 (209,677)
Citation 40

Abstract:

Housing collateral, risk sharing, risk premia

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 63 (294,229)
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 36 (377,977)
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
Downloads 18 (468,157)
Citation 38

Abstract:

23.

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

Downloads 143 (143,408)
Citation 139

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 123 (190,103)
Citation 139

Abstract:

Asset Pricing, Risk Sharing

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 20 (456,554)
Citation 118

Abstract:

Asset Pricing, Risk Sharing

24.

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

Downloads 166 (147,999)
Citation 19

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 (218,458)
Citation 19

Abstract:

Market Incompleteness, Asset Pricing

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
Hanno N. Lustig and Dirk Krueger
Stanford Graduate School of Business and University of Pennsylvania - Department of Economics
Downloads 40 (363,086)
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 (433,652)
Citation 19

Abstract:

Risk premium, idiosyncratic income risk, incomplete markets

25.

Complex Asset Markets

Downloads 138 (172,985)

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 132 (179,781)

Abstract:

heterogeneous agent models, industry equilibrium, firm size distribution, segmented markets, limits of arbitrage

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
Downloads 6 (535,258)

Abstract:

26.

How Much Does Household Collateral Constrain Regional Risk Sharing?

Downloads 131 (180,354)
Citation 33

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 77 (262,444)
Citation 26

Abstract:

Risk Sharing, Collateral, Real Estate

How Much Does Household Collateral Constrain Regional Risk Sharing?

NBER Working Paper No. w10505
Number of pages: 53 Posted: 01 Jun 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 28 (412,727)
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 26 (422,903)
Citation 26

Abstract:

Regional risk sharing, housing collateral

27.

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 (102,512)

Abstract:

28.

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 California, Los Angeles (UCLA) - Anderson School of Management, University of California, Los Angeles (UCLA) - Finance Area and Stanford Graduate School of Business
Downloads 85 (237,891)
Citation 20

Abstract:

29.

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

Downloads 81 (252,288)
Citation 97

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 49 (333,315)
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
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 32 (394,314)
Citation 97

Abstract:

30.

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

Downloads 74 (266,305)
Citation 36

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 (352,631)
Citation 36

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
Hanno N. Lustig and Stijn Van Nieuwerburgh
Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 31 (398,729)
Citation 36

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:

G12, G14, G33

31.

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

Downloads 55 (310,722)

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 40 (363,086)

Abstract:

asset pricing, equilibrium survival, heterogeneous beliefs, heterogeneous preferences

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 (502,862)

Abstract:

asset pricing, equilibrium survival, heterogeneous beliefs, heterogeneous preferences

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 (550,658)

Abstract:

32.

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 (274,685)

Abstract:

central banking, quantitative easing, fixed income

33.

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 (308,077)
Citation 7

Abstract:

34.

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

Downloads 32 (322,032)
Citation 21

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 (394,314)
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:

35.

Fiscal Hedging and the Yield Curve

NBER Working Paper No. w11687
Number of pages: 59 Posted: 15 Dec 2005
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
Downloads 24 (397,541)
Citation 4

Abstract:

36.

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

NBER Working Paper No. w9959
Number of pages: 56 Posted: 06 Oct 2005
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 (393,245)
Citation 133

Abstract:

37.

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 (218,791)

Abstract:

38.

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 (362,778)
Citation 6

Abstract:

39.

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
Downloads 20 (411,196)
Citation 94

Abstract:

40.

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 (436,248)
Citation 24

Abstract:

41.

Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data

Downloads 17 (457,077)

Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data

NBER Working Paper No. w13650
Number of pages: 16 Posted: 21 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 (474,002)
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:

Limited Commitment, Equity Premium, Stochastic Discount Factor, Household Consumption Data

42.

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 (477,571)

Abstract:

43.

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
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 (467,300)
Citation 5

Abstract:

44.

Equity is Cheap for Large Financial Institutions: The International Evidence

NBER Working Paper No. w22355
Number of pages: 61 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 (477,571)

Abstract:

45.

Equity is Cheap for Large Financial Institutions: The International Evidence

Swiss Finance Institute Research Paper No. 16-22, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 60 Posted: 14 Mar 2016 Last Revised: 12 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 (66,790)

Abstract:

Banking crisis, Banking, Government bailouts

46.

Why are Exchange Rates so Smooth? A Segmented Asset Markets Explanation

FRB St. Louis Working Paper No. 2015-39
Number of pages: 48 Posted: 01 Dec 2015
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 (211,468)

Abstract:

asset pricing, market segmentation, exchange rate, international risk sharing

47.

Gravity in FX Rsquared: Understanding the Factor Structure in Exchange Rates

Stanford University Graduate School of Business Research Paper No. 15-54
Number of pages: 41 Posted: 30 Oct 2015
Hanno N. Lustig and Robert J. Richmond
Stanford Graduate School of Business and New York University (NYU) - Department of Finance
Downloads 0 (62,857)

Abstract:

Exchange Rates, Factor Models, Gravity Equation, Home Bias.

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