Lukas Schmid

University of Southern California - Marshall School of Business

701 Exposition Blvd, HOH 431

Los Angeles, CA California 90089-1424

United States

  • University of Southern California - Marshall School of Business

SCHOLARLY PAPERS

29

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445

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123

Scholarly Papers (29)

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1.

Institutional Corporate Bond Pricing

Swiss Finance Institute Research Paper No. 21-07
Number of pages: 76 Posted: 15 Jan 2021 Last Revised: 24 Aug 2023
Lorenzo Bretscher, Lukas Schmid, Ishita Sen and Varun Sharma
Swiss Finance Institute - HEC Lausanne, University of Southern California - Marshall School of Business, Harvard University - Harvard Business Schoolaffiliation not provided to SSRN and Kelley School of Business, Indiana University
Downloads 1,827 (15,771)

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Corporate Bond Pricing, Intermediary Asset Pricing, Demand Systems, Insurance Companies, Mutual Funds, Bond Market Fragility, ZLB, Interest Rate Liftoff, Fed Corporate Credit Facility.

2.

Investment-Based Corporate Bond Pricing

Journal of Finance, Forthcoming
Number of pages: 57 Posted: 20 Sep 2011 Last Revised: 10 Jun 2014
Lars-Alexander Kuehn and Lukas Schmid
Carnegie Mellon University - David A. Tepper School of Business and University of Southern California - Marshall School of Business
Downloads 1,434 (22,770)
Citation 48

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Real investment, dynamic capital structure, default risk, credit spreads, recursive preferences, macroeconomic risk

3.

Fiscal Policies and Asset Prices

Review of Financial Studies, 2012
Number of pages: 47 Posted: 15 Jun 2011 Last Revised: 10 Mar 2017
Mariano (Max) Massimiliano Croce, Howard Kung, Thien Tung Nguyen and Lukas Schmid
Finance Department, Bocconi University, London Business School, Federal Reserve Board of Governors and University of Southern California - Marshall School of Business
Downloads 1,333 (25,357)
Citation 18

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cost of equity, corporate tax uncertainty, tax smoothing

4.

Innovation, Growth, and Asset Prices

AFA 2012 Chicago Meetings Paper
Number of pages: 50 Posted: 21 Mar 2011 Last Revised: 12 Jun 2014
Howard Kung and Lukas Schmid
London Business School and University of Southern California - Marshall School of Business
Downloads 1,283 (26,778)
Citation 59

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Endogenous growth, asset pricing, innovation, R&D, productivity, recursive preferences

5.

Testing Dynamic Agency Theory via Structural Estimation

Simon School Working Paper No. FR 12-06, AFA 2013 San Diego Meetings Paper
Number of pages: 42 Posted: 15 Mar 2012
Boris Nikolov and Lukas Schmid
University of Lausanne and University of Southern California - Marshall School of Business
Downloads 1,167 (30,854)
Citation 7

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Dynamic agency, q-theory, dynamic contracting, managerial compensation, structural estimation, capital structure

6.

Equilibrium Credit Spreads and the Macroeconomy

Downloads 1,158 (31,269)
Citation 16

Equilibrium Credit Spreads and the Macroeconomy

AFA 2010 Atlanta Meetings Paper
Number of pages: 46 Posted: 18 Mar 2009 Last Revised: 15 Jun 2011
Joao F. Gomes and Lukas Schmid
The Wharton School and University of Southern California - Marshall School of Business
Downloads 578 (78,545)
Citation 23

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Credit Spreads, Capital Structure, Equity Premium, Predictability, General Equilibrium

Equilibrium Credit Spreads and the Macroeconomy

The Wharton School Research Paper No. 42
Number of pages: 46 Posted: 06 Jun 2012
Joao F. Gomes and Lukas Schmid
The Wharton School and University of Southern California - Marshall School of Business
Downloads 348 (144,522)

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Equilibrium Credit Spreads and the Macroeconomy

Number of pages: 33 Posted: 18 Feb 2009
Joao F. Gomes and Lukas Schmid
The Wharton School and University of Southern California - Marshall School of Business
Downloads 232 (218,376)
Citation 3

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Credit Spreads, Capital Structure, Equity Premium, Preictability, General Equilibrium

7.

Interest Rate Risk Management in Uncertain Times

Number of pages: 58 Posted: 18 Jan 2016 Last Revised: 05 Dec 2017
Lorenzo Bretscher, Lukas Schmid and Andrea Vedolin
Swiss Finance Institute - HEC Lausanne, University of Southern California - Marshall School of Business and Boston University - Department of Finance & Economics
Downloads 877 (46,027)
Citation 10

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interest rate uncertainty, volatility, risk management, interest rate swaps, financial frictions, corporate investment, leverage, credit risk

8.

The Market Price of Fiscal Uncertainty

Carnegie-Rochester Conference Series on Public Policy, JME 2012
Number of pages: 41 Posted: 01 Nov 2011 Last Revised: 10 Mar 2017
Mariano (Max) Massimiliano Croce, Thien Tung Nguyen and Lukas Schmid
Finance Department, Bocconi University, Federal Reserve Board of Governors and University of Southern California - Marshall School of Business
Downloads 782 (53,844)
Citation 10

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Robustness, Endogenous Growth, Asset Prices

9.

Government Debt and the Returns to Innovation

Downloads 726 (59,490)
Citation 22

Government Debt and the Returns to Innovation

Journal of Financial Economics (JFE), Forthcoming, Fisher College of Business Working Paper No. 2016-03-10, Charles A. Dice Center Working Paper No. 2016-10
Number of pages: 81 Posted: 24 May 2016 Last Revised: 25 Jul 2018
Mariano (Max) Massimiliano Croce, Thien Tung Nguyen, Steve Raymond and Lukas Schmid
Finance Department, Bocconi University, Federal Reserve Board of Governors, University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School and University of Southern California - Marshall School of Business
Downloads 726 (58,645)
Citation 4

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Government Debt, Fiscal Uncertainty, Cross Section of Stock Returns, Predictability, R&D, Growth

Government Debt and the Returns to Innovation

CEPR Discussion Paper No. DP12617
Number of pages: 81 Posted: 22 Jan 2018
Mariano (Max) Massimiliano Croce, Thien Tung Nguyen, Steve Raymond and Lukas Schmid
Finance Department, Bocconi University, Federal Reserve Board of Governors, University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School and University of Southern California - Marshall School of Business
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Citation 3
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Cross Section of Stock Returns, Fiscal Uncertainty, Government Debt, growth, predictability, R&D

10.

Competition, Markups and Predictable Returns

Number of pages: 47 Posted: 18 Jan 2015 Last Revised: 27 Aug 2019
Alexandre Corhay, Howard Kung and Lukas Schmid
University of Toronto - Rotman School of Management, London Business School and University of Southern California - Marshall School of Business
Downloads 721 (60,030)
Citation 24

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Production-based asset pricing, imperfect competition, time-varying risk premia, stock return predictability, recursive preferences

11.

Marking to Market Corporate Debt

Swiss Finance Institute Research Paper No. 21-06, USC Marshall School of Business Research Paper Sponsored by iORB, No. Forthcoming
Number of pages: 92 Posted: 25 Sep 2020 Last Revised: 27 Jul 2022
Lorenzo Bretscher, Peter Feldhütter, Andrew Kane and Lukas Schmid
Swiss Finance Institute - HEC Lausanne, Copenhagen Business School, Duke University, Fuqua School of Business, Students and University of Southern California - Marshall School of Business
Downloads 596 (76,554)
Citation 1

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Corporate Debt Valuations, Tobin's Q, Leverage Premium

12.

Dynamic Corporate Liquidity

Number of pages: 65 Posted: 13 Mar 2013 Last Revised: 20 May 2017
Boris Nikolov, Lukas Schmid and Roberto Steri
University of Lausanne, University of Southern California - Marshall School of Business and University of Luxembourg
Downloads 590 (77,528)
Citation 15

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Corporate liquidity, cash, credit lines, debt capacity, leverage, corporate investment, hedging

13.

The Sources of Financing Constraints

Swiss Finance Institute Research Paper No. 18-74, European Corporate Governance Institute – Finance Working Paper No. 641/2019
Number of pages: 75 Posted: 03 Dec 2018 Last Revised: 01 May 2023
Boris Nikolov, Lukas Schmid and Roberto Steri
University of Lausanne, University of Southern California - Marshall School of Business and University of Luxembourg
Downloads 505 (94,039)
Citation 15

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Financing constraints, financial frictions, moral hazard, limited enforcement, tradeoff, dynamic contracting, agency, structural estimation, empirical policy function estimation

14.

A Quantitative Dynamic Agency Model of Financing Constraints

Number of pages: 46 Posted: 25 Jul 2009
Lukas Schmid
University of Southern California - Marshall School of Business
Downloads 494 (96,521)
Citation 17

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Dynamic Agency, Limited Enforcement, Financing Constraints, Capital Structure, Investment, Cross-Section of Stock Returns

15.

Levered Returns

Number of pages: 45 Posted: 02 Mar 2007
Joao F. Gomes and Lukas Schmid
The Wharton School and University of Southern California - Marshall School of Business
Downloads 439 (111,095)
Citation 64

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Cross-section of Returns, Growth Options, Financing, Leverage, Capital Structure

16.

The Risks of Safe Assets

Downloads 404 (122,729)
Citation 8

The Risks of Safe Assets

Number of pages: 70 Posted: 13 Nov 2020 Last Revised: 24 Jul 2021
Yang Liu, Lukas Schmid, Amir Yaron and Amir Yaron
The University of Hong Kong - Faculty of Business and Economics, University of Southern California - Marshall School of Business and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 404 (121,587)
Citation 5

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Government debt, safe assets, liquidity premium, uncertainty, growth, fiscal costs, risk premia, credit spreads, cost of capital, unconventional stabilization policies

The Risks of Safe Assets

CEPR Discussion Paper No. DP16407
Number of pages: 73 Posted: 27 Sep 2021
Lukas Schmid, Yang Liu, Amir Yaron and Amir Yaron
University of Southern California - Marshall School of Business, The University of Hong Kong - Faculty of Business and Economics and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 0
Citation 6
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fiscal costs, Government Debt, risk premia, safe assets

17.

Q: Risk, Rents, or Growth?

USC Marshall School of Business Research Paper Sponsored by iORB, No. Forthcoming
Number of pages: 67 Posted: 26 Mar 2020 Last Revised: 22 Sep 2021
Alexandre Corhay, Howard Kung and Lukas Schmid
University of Toronto - Rotman School of Management, London Business School and University of Southern California - Marshall School of Business
Downloads 356 (141,143)
Citation 4

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Tobin's Q, Aggregate demand, Simulated method of moments, Corporate investment, Intangible capital, Innovation, Industry concentration, Price-dividend ratios, Asset valuations, Equity premium

18.

Sticky Leverage

The Wharton School Research Paper No. 52
Number of pages: 44 Posted: 29 May 2013 Last Revised: 11 May 2016
Joao F. Gomes, Urban J. Jermann and Lukas Schmid
The Wharton School, University of Pennsylvania - Finance Department and University of Southern California - Marshall School of Business
Downloads 281 (181,271)
Citation 60

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Debt deflation, debt overhang, monetary non-neutrality

19.

Passive Demand and Active Supply: Evidence from Maturity-Mandated Corporate Bond Funds

Swiss Finance Institute Research Paper No. 23-42
Number of pages: 75 Posted: 14 Mar 2023 Last Revised: 19 Sep 2023
Lorenzo Bretscher, Lukas Schmid and Tiange Ye
Swiss Finance Institute - HEC Lausanne, University of Southern California - Marshall School of Business and University of Southern California - Marshall School of Business
Downloads 264 (193,770)

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demand shifts, passive funds, corporate bonds, demand elasticity, ETFs, mutual funds

20.

Credit Market Equivalents and the Valuation of Private Firms

USC Marshall School of Business Research Paper Sponsored by iORB, No. Forthcoming
Number of pages: 84 Posted: 16 Oct 2019 Last Revised: 01 May 2023
Niklas Hüther (Huether), Lukas Schmid and Roberto Steri
Indiana University - Kelley School of Business, University of Southern California - Marshall School of Business and University of Luxembourg
Downloads 226 (224,696)
Citation 2

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Private equity, buyouts, pricing kernel, performance evaluation, loan returns, secondary market trading, machine learning, portfolio company level PE data

21.

A Tax Plan for Endogenous Innovation

Downloads 177 (281,929)

A Tax Plan for Endogenous Innovation

Number of pages: 44 Posted: 14 Apr 2017
Mariano (Max) Massimiliano Croce, Anastasios G. Karantounias, Steve Raymond and Lukas Schmid
Finance Department, Bocconi University, University of Surrey - School of Economics, University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School and University of Southern California - Marshall School of Business
Downloads 137 (349,650)

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Innovation, endogenous growth, government debt, labor tax, subsidy, profit tax

A Tax Plan for Endogenous Innovation

FRB Atlanta Working Paper No. 2017-13
Number of pages: 45 Posted: 23 Aug 2018 Last Revised: 14 Apr 2020
Mariano (Max) Massimiliano Croce, Anastasios G. Karantounias, Stephen Raymond and Lukas Schmid
Finance Department, Bocconi University, University of Surrey - School of Economics, University of North Carolina (UNC) at Chapel Hill and University of Southern California - Marshall School of Business
Downloads 40 (714,298)

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innovation, R&D investment, endogenous growth, government debt, labor tax, subsidy, profit tax

22.

Risk-Adjusted Capital Allocation and Misallocation

Downloads 175 (283,314)
Citation 4

Risk-Adjusted Capital Allocation and Misallocation

Number of pages: 75 Posted: 18 Oct 2018
Joel David, Lukas Schmid and David Zeke
Federal Reserve Bank of Chicago, University of Southern California - Marshall School of Business and University of Southern California - Department of Economics
Downloads 174 (284,719)
Citation 5

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Misallocation, Costs of Business Cycles, Cross-Section of Returns, Time-Varying Risk Premia

Risk-Adjusted Capital Allocation and Misallocation

CEPR Discussion Paper No. DP13205
Number of pages: 78 Posted: 02 Oct 2018
Lukas Schmid, Joel David and David Zeke
University of Southern California - Marshall School of Business, Federal Reserve Bank of Chicago and University of Southern California - Department of Economics
Downloads 1 (1,064,027)
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costs of business cycles, cross-section of returns, Misallocation, time-varying risk premia

23.

Global Entropy

Number of pages: 53 Posted: 16 Feb 2014 Last Revised: 11 Sep 2015
Mariano (Max) Massimiliano Croce, Thien Tung Nguyen and Lukas Schmid
Finance Department, Bocconi University, Federal Reserve Board of Governors and University of Southern California - Marshall School of Business
Downloads 161 (304,074)
Citation 1

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Global Growth, Entropy, Contagion

24.

Risk-Adjusted Capital Allocation and Misallocation

Downloads 146 (329,748)
Citation 8

Risk-Adjusted Capital Allocation and Misallocation

FRB of Chicago Working Paper No. 2020-34
Number of pages: 85 Posted: 28 Dec 2020
Joel Michael David, Lukas Schmid and David Zeke
Federal Reserve Bank of Chicago, University of Southern California - Marshall School of Business and University of Southern California - Department of Economics
Downloads 146 (330,332)
Citation 8

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misallocation, productivity, costs of business cycles, risk premia

25.

Government Debt Management and Inflation with Real and Nominal Bonds

Downloads 101 (433,476)
Citation 1

Government Debt Management and Inflation with Real and Nominal Bonds

Number of pages: 49 Posted: 08 Nov 2021 Last Revised: 12 Jul 2022
Lukas Schmid, Vytautas Valaitis and Alessandro T. Villa
University of Southern California - Marshall School of Business, European University Institute - Economics Department (ECO) and Federal Reserve Bank of Chicago
Downloads 101 (436,424)
Citation 1

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Optimal Fiscal Policy, Optimal Debt Management, TIPS, Incomplete Markets, Inflation, Inflation Risk Premia, Monetary Policy, Machine Learning, Time Inconsistency.

Government Debt Management and Inflation with Real and Nominal Bonds

FRB of Chicago Working Paper No. 2022-28
Posted: 24 Jun 2022
Lukas Schmid, Vytautas Valaitis and Alessandro Villa
University of Southern California - Marshall School of Business, European University Institute - Economics Department (ECO) and Federal Reserve Bank of Chicago

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Optimal Fiscal Policy, Optimal Debt Management, TIPS, Incomplete Markets, Inflation, Inflation Risk Premia, Monetary Policy, Machine Learning, Time Inconsistency

26.

The Term Structure of Cip Violations

Downloads 0 (509,225)
Citation 2

The Term Structure of Cip Violations

CEPR Discussion Paper No. DP14774
Number of pages: 52 Posted: 28 May 2020 Last Revised: 11 Feb 2021
Patrick Augustin, Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
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Citation 1
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27.

Benchmark Interest Rates When the Government is Risky

Downloads 21 (842,157)
Citation 12

Benchmark Interest Rates When the Government is Risky

NBER Working Paper No. w26429
Number of pages: 72 Posted: 06 Nov 2019 Last Revised: 20 Mar 2022
Patrick Augustin, Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 21 (869,683)

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Benchmark Interest Rates When the Government is Risky

CEPR Discussion Paper No. DP14105
Number of pages: 74 Posted: 15 Nov 2019 Last Revised: 02 Dec 2019
Patrick Augustin, Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 0
Citation 15
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negative swap rates, recursive preferences, sovereign credit risk, term structure

28.

A Macrofinance View of U.S. Sovereign CDS Premiums

CEPR Discussion Paper No. DP11576
Number of pages: 39 Posted: 24 Oct 2016
Mikhail Chernov, Lukas Schmid and Andres Schneider
UCLA Anderson, University of Southern California - Marshall School of Business and Board of Governors of the Federal Reserve System
Downloads 0 (1,029,675)
Citation 29
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credit default swaps, recursive preferences, sovereign default

29.

Fiscal Policy and the Distribution of Consumption Risk

Posted: 29 Jun 2011 Last Revised: 19 Nov 2018
Mariano (Max) Massimiliano Croce, Thien Tung Nguyen and Lukas Schmid
Finance Department, Bocconi University, Federal Reserve Board of Governors and University of Southern California - Marshall School of Business

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Fiscal Policy, Endogenous Growth, Recursive Preferences, Welfare Costs