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

SCHOLARLY PAPERS

54

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Scholarly Papers (54)

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1.

Common Risk Factors in Currency Markets

Downloads 7,443 ( 762)
Citation 106

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 7,336 (781)
Citation 111

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Carry Trade, Currency Risk

Common Risk Factors in Currency Markets

NBER Working Paper No. w14082
Number of pages: 63 Posted: 14 Jul 2008 Last Revised: 25 Jun 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 107 (258,871)

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2.

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

Downloads 4,766 ( 1,666)
Citation 22

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

Journal of Monetary Economics, Forthcoming, AFA 2010 Atlanta Meetings Paper, EFA 2009 Bergen 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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 3,807 (2,432)
Citation 6

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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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 712 (35,024)

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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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 245 (126,490)

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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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 2 (681,091)
Citation 2
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bond risk premium, cross-section of stock returns

3.

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

Downloads 2,808 ( 4,181)
Citation 61

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 Columbia University Graduate School of Business
Downloads 2,489 (5,006)
Citation 10

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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
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 180 (170,089)

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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
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 105 (262,440)

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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 Columbia University Graduate School of Business
Downloads 32 (477,970)

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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 Columbia University Graduate School of Business
Downloads 2 (681,091)
Citation 13
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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 2,784 ( 4,250)
Citation 77

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 Columbia University Graduate School of Business
Downloads 2,756 (4,225)
Citation 2

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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, Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 28 (499,607)
Citation 8

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5.

Firm Volatility in Granular Networks

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Citation 9

Firm Volatility in Granular Networks

Chicago Booth Research Paper No. 12-56, Fama-Miller Working Paper
Number of pages: 65 Posted: 07 Dec 2012 Last Revised: 14 Jan 2019
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 Columbia University Graduate School of Business
Downloads 2,025 (7,072)
Citation 2

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Firm volatility, networks, firm size distribution, aggregate volatility, granularity

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 Columbia University Graduate School of Business
Downloads 33 (473,001)
Citation 1

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6.

The Term Structure of Currency Carry Trade Risk Premia

Downloads 1,989 ( 7,458)
Citation 2

The Term Structure of Currency Carry Trade Risk Premia

Number of pages: 113 Posted: 16 Oct 2013 Last Revised: 03 Nov 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 1,957 (7,522)
Citation 2

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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: 46 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 32 (477,970)

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7.

Countercyclical Currency Risk Premia

Downloads 1,851 ( 8,446)
Citation 58

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 1,810 (8,592)
Citation 9

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Exchange Rates, Forecasting, Risk Premia

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
Downloads 41 (436,894)
Citation 24

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8.

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
Rutgers Business School, Newark and New Brunswick and Stanford Graduate School of Business
Downloads 1,436 (12,713)
Citation 4

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Banking Crisis, Banking, Government Bailout

9.

The Wealth-Consumption Ratio

Downloads 1,386 ( 13,487)
Citation 13

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, Columbia University Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,355 (13,673)

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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, Columbia University Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 25 (517,504)

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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, Columbia University Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 6 (646,506)
Citation 4
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discount rate, equity risk premium, excess return, interest rate, risk premium, stock market, stock returns

10.

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 1,176 (17,324)
Citation 17

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Fixed Income, Arbitrage, TIPS

11.

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

Downloads 943 ( 23,999)
Citation 4

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

American Economic Review, Forthcoming
Number of pages: 74 Posted: 13 May 2015 Last Revised: 17 Dec 2018
Hanno N. Lustig and Adrien Verdelhan
Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 919 (24,529)
Citation 3

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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 24 (523,775)

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12.

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 758 (32,660)
Citation 5

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inflation hedging, inflation expectations

13.

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

Downloads 749 ( 33,180)
Citation 11

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 534 (51,298)
Citation 1

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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 215 (143,969)
Citation 13

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Portfolio Rebalancing

14.

Gravity in the Exchange Rate Factor Structure

Downloads 727 ( 34,648)
Citation 3

Gravity in the Exchange Rate Factor Structure

Stanford University Graduate School of Business Research Paper No. 15-54
Number of pages: 68 Posted: 30 Oct 2015 Last Revised: 18 Jun 2019
Hanno N. Lustig and Robert Richmond
Stanford Graduate School of Business and New York University (NYU) - Department of Finance
Downloads 721 (34,518)
Citation 1

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Exchange Rates, Factor Models, Gravity Equation, Home Bias

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 (646,506)
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15.

Capital Share Dynamics When Firms Insure Workers

Downloads 557 ( 49,247)
Citation 2

Capital Share Dynamics When Firms Insure Workers

Journal of Finance, Forthcoming, Stanford University Graduate School of Business Research Paper No. 16-35
Number of pages: 70 Posted: 09 Jul 2016 Last Revised: 17 Dec 2018
Barney Hartman-Glaser, Hanno N. Lustig and Mindy Z. 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 550 (49,414)

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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: 71 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 7 (639,339)

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16.

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 536 (51,667)
Citation 11

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Risk Premia, Sharpe Ratio

17.

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: 83 Posted: 14 Mar 2016 Last Revised: 31 Jan 2019
Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi
Rutgers Business School, Newark and New Brunswick, Stanford Graduate School of Business and Swiss Finance Institute
Downloads 527 (52,846)

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Financial crisis, Financial firms, Banking, Government bailouts

18.

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 472 (60,667)
Citation 2

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Asset Pricing, Risk Sharing, Limited Participation

19.

Deflation Risk

Downloads 446 ( 65,020)
Citation 5

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 432 (66,894)

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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 Delaware, University of California, Los Angeles (UCLA) - Finance Area and Stanford Graduate School of Business
Downloads 14 (589,719)

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20.

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

Downloads 416 ( 68,892)
Citation 1

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

Stanford University Graduate School of Business Research Paper No. 18-2
Number of pages: 93 Posted: 15 Dec 2017 Last Revised: 21 Oct 2019
Jordan Brooks, Michael Katz and Hanno N. Lustig
AQR Capital Management, LLC, AQR Capital Management, LLC and Stanford Graduate School of Business
Downloads 416 (70,102)

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monetary policy, mutual funds, FOMC announcements, slow-moving capital, term structure

21.

Technological Change and the Growing Inequality in Managerial Compensation

Downloads 410 ( 72,064)
Citation 29

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 Columbia University Graduate School of Business
Downloads 377 (78,646)
Citation 1

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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 Columbia University Graduate School of Business
Downloads 33 (473,001)

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22.

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

Downloads 377 ( 79,345)
Citation 51

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 303 (100,977)
Citation 39

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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 74 (328,450)
Citation 13

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Exchange Rates, Asset Pricing

23.

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

Downloads 366 ( 82,156)
Citation 17

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 350 (85,872)
Citation 2

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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 (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 16 (575,972)

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24.

The Market Price of Aggregate Risk and the Wealth Distribution

Downloads 346 ( 87,676)
Citation 33

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 258 (119,808)
Citation 10

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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 88 (295,337)
Citation 5

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25.

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
Kellogg School of Management - Department of Finance, Stanford Graduate School of Business and Stanford Graduate School of Business
Downloads 318 (96,271)
Citation 6

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Covered Interest Rate Parity, exchange rates, safe asset demand, convenience yields

26.

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
Rutgers Business School, Newark and New Brunswick and Stanford Graduate School of Business
Downloads 308 (99,753)

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27.

Complex Asset Markets

Downloads 276 (112,249)

Complex Asset Markets

Number of pages: 76 Posted: 15 Aug 2016 Last Revised: 23 Sep 2018
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 264 (116,991)

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

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 12 (603,778)

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28.

Foreign Safe Asset Demand and the Dollar Exchange Rate

Downloads 248 (118,481)
Citation 2

Foreign Safe Asset Demand and the Dollar Exchange Rate

Stanford University Graduate School of Business Research Paper No. 18-16
Number of pages: 93 Posted: 21 Mar 2018 Last Revised: 23 Mar 2019
Zhengyang Jiang, Arvind Krishnamurthy and Hanno N. Lustig
Kellogg School of Management - Department of Finance, Stanford Graduate School of Business and Stanford Graduate School of Business
Downloads 248 (124,884)
Citation 4

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Covered Interest Rate Parity, Exchange Rates, Safe Asset Demand, Convenience Yields

29.

A Theory of Housing Collateral, Consumption Insurance and Risk Premia

Downloads 243 (128,100)
Citation 2

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 Columbia University Graduate School of Business
Downloads 113 (248,966)

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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 Columbia University Graduate School of Business
Downloads 70 (339,017)

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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 Columbia University Graduate School of Business
Downloads 40 (441,150)

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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 Columbia University Graduate School of Business
Downloads 20 (549,537)

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30.

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

Downloads 159 (156,781)
Citation 149

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 Columbia University Graduate School of Business
Downloads 132 (221,308)
Citation 33

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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 Columbia University Graduate School of Business
Downloads 27 (505,406)
Citation 5

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Asset Pricing, Risk Sharing

31.

Dollar Safety and the Global Financial Cycle

Stanford University Graduate School of Business Research Paper No. 19-16
Number of pages: 57 Posted: 06 Feb 2019 Last Revised: 12 Jul 2019
Zhengyang Jiang, Arvind Krishnamurthy and Hanno N. Lustig
Kellogg School of Management - Department of Finance, Stanford Graduate School of Business and Stanford Graduate School of Business
Downloads 193 (159,774)

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Covered interest rate parity, exchange rates, safe asset demand, convenience yields

32.

On Identifying Commercial Banks in CRSP

Number of pages: 15 Posted: 05 Nov 2014
Priyank Gandhi and Hanno N. Lustig
Rutgers Business School, Newark and New Brunswick and Stanford Graduate School of Business
Downloads 182 (168,404)

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33.

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

Downloads 177 (172,654)
Citation 20

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
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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 Last Revised: 11 Jul 2010
Hanno N. Lustig and Dirk Krueger
Stanford Graduate School of Business and University of Pennsylvania - Department of Economics
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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
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Risk premium, idiosyncratic income risk, incomplete markets

34.

Why are Exchange Rates so Smooth? A Household Finance Explanation

FRB St. Louis Working Paper No. 2015-39
Number of pages: 37 Posted: 01 Dec 2015 Last Revised: 21 Feb 2019
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
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Asset pricing, Market segmentation, Exchange rates, International risk sharing

35.

How Much Does Household Collateral Constrain Regional Risk Sharing?

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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 Columbia University Graduate School of Business
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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 Last Revised: 16 Sep 2010
Hanno N. Lustig and Stijn Van Nieuwerburgh
Stanford Graduate School of Business and Columbia University Graduate School of Business
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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 Columbia University Graduate School of Business
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Regional risk sharing, housing collateral

36.

Mind the Gap in Sovereign Debt Markets: The U.S. Treasury basis and the Dollar Risk Factor

2019 Jackson Hole Economic Symposium, Stanford University Graduate School of Business Research Paper No. 3443231
Number of pages: 53 Posted: 08 Sep 2019
Arvind Krishnamurthy and Hanno N. Lustig
Stanford Graduate School of Business and Stanford Graduate School of Business
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safe assets, reserve currency, global financial cycle

37.

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

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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 58 (374,531)
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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
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38.

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
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39.

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

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Citation 43

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 Columbia University Graduate School of Business
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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 Columbia University Graduate School of Business
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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 Columbia University Graduate School of Business

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G12, G14, G33

40.

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
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central banking, quantitative easing, fixed income

41.

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

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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
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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
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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
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42.

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 Columbia University Graduate School of Business
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43.

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

NBER Working Paper No. w16553
Number of pages: 52 Posted: 22 Nov 2010 Last Revised: 25 Sep 2015
Priyank Gandhi and Hanno N. Lustig
Rutgers Business School, Newark and New Brunswick and Stanford Graduate School of Business
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44.

Spending Less After (Seemingly) Bad News

Number of pages: 42 Posted: 28 Oct 2019
Mark J. Garmaise, Yaron Levi and Hanno N. Lustig
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Southern California - Marshall School of Business and Stanford Graduate School of Business
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Household consumption, consumer sentiment, excess sensitivity of consumption

45.

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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46.

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

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

NBER Working Paper No. w12766
Number of pages: 47 Posted: 22 Dec 2006 Last Revised: 17 May 2007
Hanno N. Lustig and Stijn Van Nieuwerburgh
Stanford Graduate School of Business and Columbia University Graduate School of Business
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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 Columbia University Graduate School of Business

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47.

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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48.

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 Columbia University Graduate School of Business
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49.

A Multiplier Approach to Understanding the Macro Implications of Household Finance

NBER Working Paper No. w13555
Number of pages: 45 Posted: 05 Nov 2007 Last Revised: 17 Jul 2010
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
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50.

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
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51.

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
Rutgers Business School, Newark and New Brunswick, Stanford Graduate School of Business and Swiss Finance Institute
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52.

Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data

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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
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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

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

53.

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
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54.

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 Columbia University Graduate School of Business
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aggregate volatility, firm size distribution, Firm volatility, granularity, networks

Other Papers (1)

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1.

The Government Risk Premium Puzzle

Number of pages: 62 Posted: 04 Mar 2019 Last Revised: 11 Oct 2019
Zhengyang Jiang, Hanno N. Lustig, Stijn Van Nieuwerburgh and Mindy Z. Xiaolan
Kellogg School of Management - Department of Finance, Stanford Graduate School of Business, Columbia University Graduate School of Business and University of Texas, Austin - Department of Finance
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government debt maturity, fiscal policy, term structure, interest rate risk