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

10

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100

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Scholarly Papers (10)

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 829 (27,334)

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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 510 (52,367)

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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 56 (367,710)

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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 35 (446,935)

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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 (669,933)
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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
Number of pages: 74 Posted: 13 Jul 2016 Last Revised: 19 Apr 2018
Lars A. Lochstoer and Paul C. Tetlock
University of California, Los Angeles (UCLA) - Anderson School of Management and Columbia Business School - Finance
Downloads 836 (27,470)

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Anomalies, expected stock returns, efficient portfolio, present value, return decomposition

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 446 (62,615)

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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 400 (71,383)

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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 345 (84,851)

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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 237 (126,193)

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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 (289,344)

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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 (601,098)

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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 315 (93,860)

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

8.

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 82 (295,337)

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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: 37 Posted: 24 Dec 2018 Last Revised: 03 May 2019
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 42 (417,405)

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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: 42 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 (636,012)
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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
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

10.

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

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E2, G1