Lars A. Lochstoer

University of California, Los Angeles (UCLA) - Anderson School of Management

Associate Professor of Finance

110 Westwood Plaza

Los Angeles, CA 90095-1481

United States

SCHOLARLY PAPERS

11

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201

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413

Scholarly Papers (11)

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper
Number of pages: 57 Posted: 14 Mar 2008 Last Revised: 15 Dec 2015
Viral V. Acharya, Tarun Ramadorai and Lars A. Lochstoer
New York University - Leonard N. Stern School of Business, Imperial College London and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 848 (29,231)
Citation 4

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Corporate Hedging, Commodity Pricing, Default Risk, Incomplete Markets, Limits to Arbitrage

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 51 Posted: 09 Mar 2009 Last Revised: 08 Jan 2013
Viral V. Acharya, Lars A. Lochstoer and Tarun Ramadorai
New York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London
Downloads 523 (55,839)
Citation 7

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commodities, hedging, limits to arbitrage, oil and gas, futures

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

NYU Working Paper No. 2451/29543
Number of pages: 57 Posted: 10 Sep 2013
Viral V. Acharya, Lars A. Lochstoer and Tarun Ramadorai
New York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London
Downloads 58 (392,494)

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Limits to Arbitrage and Hedging: Evidence from Commodity Markets

NBER Working Paper No. w16875
Number of pages: 57 Posted: 14 Mar 2011
Viral V. Acharya, Lars A. Lochstoer and Tarun Ramadorai
New York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London
Downloads 36 (480,465)

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Limits to Arbitrage and Hedging: Evidence from Commodity Markets

CEPR Discussion Paper No. DP7327
Number of pages: 57 Posted: 15 Jul 2009
Viral V. Acharya, Lars A. Lochstoer and Tarun Ramadorai
New York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London
Downloads 1 (725,944)
Citation 11
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Commodities, Futures, Hedging, Limits to Arbitrage

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

NYU Working Paper No. 2451/29543, Columbia Business School Research Paper No. 13-48
Posted: 26 Jun 2013
Viral V. Acharya, Lars A. Lochstoer and Tarun Ramadorai
New York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London

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2.

What Drives Anomaly Returns?

Columbia Business School Research Paper No. 16-50, 8th Miami Behavioral Finance Conference 2017, Journal of Finance, Forthcoming
Number of pages: 88 Posted: 13 Jul 2016 Last Revised: 22 Aug 2019
Lars A. Lochstoer and Paul C. Tetlock
University of California, Los Angeles (UCLA) - Anderson School of Management and Columbia Business School - Finance
Downloads 950 (25,267)
Citation 2

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anomalies, expected stock returns, efficient portfolio, present value, return decomposition, cash flow news, discount rate news

3.

Investor Inattention and the Market Impact of Summary Statistics

Management Science, Forthcoming
Number of pages: 29 Posted: 27 Mar 2008 Last Revised: 17 Sep 2011
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Washington - Department of Finance and Business Economics, University of California, Los Angeles (UCLA) - Anderson School of Management and The Conference Board
Downloads 458 (66,620)
Citation 2

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Limited attention, macroeconomic news, informational efficiency

4.

Learning about Consumption Dynamics

Journal of Finance, Forthcoming
Number of pages: 71 Posted: 17 Mar 2010 Last Revised: 29 Jan 2016
Michael S. Johannes, Lars A. Lochstoer and Yiqun Mou
Columbia Business School - Finance and Economics, University of California, Los Angeles (UCLA) - Anderson School of Management and Columbia Business School
Downloads 415 (75,101)
Citation 20

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5.

Asset Pricing When 'This Time is Different'

Swiss Finance Institute Research Paper No. 13-73, Columbia Business School Research Paper No. 14-8
Number of pages: 70 Posted: 02 Jan 2014 Last Revised: 29 Jan 2016
Pierre Collin-Dufresne, Michael Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 374 (84,699)
Citation 14

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Asset pricing

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Number of pages: 45 Posted: 18 Mar 2012 Last Revised: 19 Sep 2015
Pierre Collin-Dufresne, Michael Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 243 (134,553)
Citation 1

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Parameter learning, asset pricing, general equilibrium

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Netspar Discussion Paper No. 05/2012-039
Number of pages: 69 Posted: 26 Nov 2012 Last Revised: 05 Apr 2013
Pierre Collin-Dufresne, Michael Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 86 (314,335)

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Parameter Learning in General Equilibrium: The Asset Pricing Implications

NBER Working Paper No. w19705
Number of pages: 70 Posted: 10 Dec 2013 Last Revised: 13 Dec 2013
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 9 (654,682)
Citation 18

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7.

Long-Run Risk Through Consumption Smoothing

EFA 2007 Ljubljana Meetings Paper
Number of pages: 67 Posted: 27 Feb 2007 Last Revised: 27 Jul 2011
Georg Kaltenbrunner and Lars A. Lochstoer
London Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 319 (101,374)
Citation 42

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Asset Pricing, Long-Run Risk, Asset Prices and the Macroeconomy

8.

Volatility Expectations and Returns

Number of pages: 71 Posted: 30 Oct 2019 Last Revised: 02 Dec 2019
Lars A. Lochstoer and Tyler Muir
University of California, Los Angeles (UCLA) - Anderson School of Management and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 289 (112,814)
Citation 1

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9.

Expected Returns and the Business Cycle: Heterogeneous Goods and Time-Varying Risk Aversion

Number of pages: 53 Posted: 04 Nov 2008
Lars A. Lochstoer
University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 83 (318,607)
Citation 3

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Asset Pricing, Consumption, Heterogeneous Goods, Habit Formation, Predictability,

Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

Number of pages: 46 Posted: 24 Dec 2018 Last Revised: 01 Feb 2020
Mikhail Chernov, Lars A. Lochstoer and Stig H.R. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Norwegian School of Economics (NHH)
Downloads 62 (379,429)

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multi-horizon returns, linear factor models, stochastic discount factor

Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

NBER Working Paper No. w25361
Number of pages: 47 Posted: 17 Dec 2018
Mikhail Chernov, Lars A. Lochstoer and Stig H.R. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Norwegian School of Economics (NHH)
Downloads 4 (692,657)
Citation 1
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Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

CEPR Discussion Paper No. DP13365
Number of pages: 44 Posted: 11 Dec 2018 Last Revised: 10 Feb 2020
Mikhail Chernov, Lars A. Lochstoer and Stig H.R. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Norwegian School of Economics (NHH)
Downloads 0
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linear factor models, multi-horizon returns, Stochastic discount factor

11.

Expected Returns and the Business Cycle: Heterogeneous Goods and Time-Varying Risk Aversion

The Review of Financial Studies, Vol. 22, Issue 12, pp. 5251-5294, 2009
Posted: 24 Nov 2009
Lars A. Lochstoer
University of California, Los Angeles (UCLA) - Anderson School of Management

Abstract:

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E2, G1