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

14

DOWNLOADS
Rank 11,599

SSRN RANKINGS

Top 11,599

in Total Papers Downloads

6,102

SSRN CITATIONS
Rank 1,571

SSRN RANKINGS

Top 1,571

in Total Papers Citations

381

CROSSREF CITATIONS

402

Scholarly Papers (14)

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
ProfessorNew York University - Leonard N. Stern School of Business, Imperial College London and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 885 (38,334)
Citation 5

Abstract:

Loading...

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
ProfessorNew York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London
Downloads 568 (68,865)
Citation 7

Abstract:

Loading...

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
ProfessorNew York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London
Downloads 63 (486,551)

Abstract:

Loading...

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

NBER Working Paper No. w16875
Number of pages: 57 Posted: 14 Mar 2011 Last Revised: 12 Aug 2022
ProfessorNew York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London
Downloads 50 (542,947)
Citation 4

Abstract:

Loading...

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

CEPR Discussion Paper No. DP7327
Number of pages: 57 Posted: 15 Jul 2009
ProfessorNew York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London
Downloads 1 (954,801)
Citation 17
  • Add to Cart

Abstract:

Loading...

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
ProfessorNew York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London

Abstract:

Loading...

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 1,075 (29,523)
Citation 11

Abstract:

Loading...

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

3.
Downloads 817 ( 43,394)
Citation 2

Volatility Expectations and Returns

Number of pages: 84 Posted: 30 Oct 2019 Last Revised: 12 Dec 2020
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 805 (43,623)
Citation 2

Abstract:

Loading...

Volatility Expectations and Returns

NBER Working Paper No. w28102
Number of pages: 85 Posted: 16 Nov 2020 Last Revised: 15 Apr 2022
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 12 (815,658)
  • Add to Cart

Abstract:

Loading...

4.

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
Reichman University - Arison School of Business, University of Washington - Department of Finance and Business Economics, University of California, Los Angeles (UCLA) - Anderson School of Management and The Conference Board
Downloads 486 (84,367)
Citation 4

Abstract:

Loading...

Limited attention, macroeconomic news, informational efficiency

5.

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 University - Columbia Business School, Finance, University of California, Los Angeles (UCLA) - Anderson School of Management and Columbia Business School
Downloads 439 (95,120)
Citation 28

Abstract:

Loading...

6.

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 435 (96,147)
Citation 17

Abstract:

Loading...

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 274 (158,345)

Abstract:

Loading...

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 94 (386,200)

Abstract:

Loading...

Parameter Learning in General Equilibrium: The Asset Pricing Implications

NBER Working Paper No. w19705
Number of pages: 70 Posted: 10 Dec 2013 Last Revised: 07 May 2022
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 15 (784,825)
Citation 42

Abstract:

Loading...

8.

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 341 (126,692)
Citation 57

Abstract:

Loading...

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

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

Number of pages: 59 Posted: 24 Dec 2018 Last Revised: 07 Aug 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 187 (228,008)

Abstract:

Loading...

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: 60 Posted: 17 Dec 2018 Last Revised: 19 Aug 2022
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 35 (624,653)
Citation 1

Abstract:

Loading...

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

CEPR Discussion Paper No. DP13365
Number of pages: 62 Posted: 11 Dec 2018 Last Revised: 16 Aug 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
Citation 1
  • Add to Cart

Abstract:

Loading...

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

10.

Model-Free Mispricing Factors

Number of pages: 64 Posted: 20 May 2022
Lars A. Lochstoer and Paul C. Tetlock
University of California, Los Angeles (UCLA) - Anderson School of Management and Columbia Business School - Finance
Downloads 143 (284,990)

Abstract:

Loading...

mispricing, closed-end funds, stock prices, discount rates, investor clientele, investor beliefs, behavioral biases, overreaction, factor models

11.

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 94 (383,030)
Citation 4

Abstract:

Loading...

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

The Real Explanation of Nominal Bond-Stock Puzzles

Number of pages: 60 Posted: 22 Jul 2021
Mikhail Chernov, Lars A. Lochstoer and Dongho Song
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
Downloads 85 (411,485)

Abstract:

Loading...

Consumption dynamics, Stocks, Bonds, Term Structure

The Real Channel for Nominal Bond-Stock Puzzles

NBER Working Paper No. w29085
Number of pages: 60 Posted: 26 Jul 2021 Last Revised: 20 Jul 2022
Mikhail Chernov, Lars A. Lochstoer and Dongho Song
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
Downloads 8 (859,363)
  • Add to Cart

Abstract:

Loading...

The Real Channel for Nominal Bond-Stock Puzzles

CEPR Discussion Paper No. DP16381
Number of pages: 62 Posted: 22 Sep 2021 Last Revised: 04 Feb 2022
Mikhail Chernov, Lars A. Lochstoer and Dongho Song
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
Downloads 0
  • Add to Cart

Abstract:

Loading...

bond yield curve, bond-stock comovement, equity yield curve, permanent and transitory components of consumption

13.
Downloads 7 (838,235)

Pricing Currency Risks

NBER Working Paper No. w28260
Number of pages: 51 Posted: 21 Mar 2021 Last Revised: 19 Sep 2022
Mikhail Chernov, Magnus Dahlquist and Lars A. Lochstoer
UCLA Anderson, Stockholm School of Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 5 (895,029)

Abstract:

Loading...

Pricing Currency Risks

CEPR Discussion Paper No. DP15571
Number of pages: 57 Posted: 23 Dec 2020 Last Revised: 11 Feb 2021
Mikhail Chernov, Magnus Dahlquist and Lars A. Lochstoer
UCLA Anderson, Stockholm School of Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 2 (938,007)
  • Add to Cart

Abstract:

Loading...

14.

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:

Loading...

E2, G1