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Published Papers

  1. Markus Brunnermeier, Emmanuel Farhi, Ralph S.J. Koijen, Arvind Krishnamurthy, Sydney C. Ludvigson, Hanno Lustig, Stefan Nagel, Monika Piazzesi (2021) Review Article: Perspectives on the Future of Asset Pricing Vol. 34 Issue 4 Pages 2126–2160, Review of Financial Studies 
  2. Zhengyang Jiang, Arvind Krishnamurthy, Hanno Lustig (2021), Foreign Safe Asset Demand and the Dollar Exchange Rate, Journal of Finance (accepted). [Link]
  3. Bernard Herksovic, Bryan Kelly, and Stijn Van Nieuwerburgh (2020), Firm Volatility in Granular Networks, Journal of Political Economy (accepted).
  4. Priyank Gandhi, Hanno Lustig, Alberto Plazzi (2019), Equity is Cheap for Large Financial Institutions: The International Evidence, Review of Financial Studies (accepted), [Link]
    (with Priyank Gandhi and Alberto Plazzi)
  5. Hanno Lustig and Robert Richmond (2019), Gravity in the Exchange Rate Factor Structure, Review of Financial Studies (accepted), [Link] 
  6. Hanno Lustig, Adrien Verdelhan and Andreas Stathopoulos, (2019), The Term Structure of Currency Carry Trade Risk Premia,  American Economic Review (accepted), 
    [ Link ] [online appendix] [slides]
  7. YiLi Chien, Hanno Lustig, Kanda Naknoi, 2019, Why are Exchange Rates so Smooth? A Household Finance Explanation,  Journal of Monetary Economics (accepted), [PDF] [Link]
  8. Hanno Lustig and Adrien Verdelhan (2019), Does Incomplete Spanning Help to Explain Exchange Rates?, American Economic Review. [Link][slides]
  9. Zhengyang Jiang, Arvind Krishnamurthy and Hanno Lustig (2018), Foreign Safe Asset Demand for US Treasurys and the Dollar, AEA Papers and Proceedings, [Link]
  10. Barney Hartman-Glaeser, Hanno Lustig and Mindy Z. Xialan (2018), Capital Share Dynamics when Firms Insure Workers, Journal of Finance (accepted). [Link][slides][appendix]
  11. Ralph Koijen, Hanno Lustig and Stijn VanNieuwerburgh (2017), The Cross-section and Time-series of Stock and Bond Returns,  Journal of Monetary Economics. [Link]
  12. Matthias Fleckenstein, Francis Longstaff and Hanno Lustig, Deflation Risk, Review of Financial Studies. [Link]
  13. Matthias Fleckenstein  Francis Longstaff  Hanno Lustig (2018), Inflation‐Adjusted Bonds and the Inflation Risk Premium,  Handbook of Fixed‐Income Securities [Link]
  14. Michael Katz, Hanno Lustig and Lars Nielsen (2016), Are Stocks Real Assets? Sticky Discount Rates in Stock Markets, accepted Review of Financial Studies.[Link][code][slides][appendix] 
  15. Bryan Kelly, Hanno Lustig and Stijn VanNieuwerburgh (2016), Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees, American Economic Review [Link]  
  16. Bernard Herskovic, Bryan Kelly, Hanno Lustig and Stijn VanNieuwerburgh (2015), The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications, Journal of Financial Economics. [Link] 
  17. Priyank Gandhi and Hanno Lustig (2015), Size Anomalies in Bank Stock Returns, Journal of Finance. [Link] [Reply to Goyal][Identifying Banks in CRSP] 
  18. Yi-Li Chien, Harold Cole and Hanno Lustig (2015), Implications of heterogeneity in preferences, beliefs and asset trading in an endowment economy, Review of Economic Dynamics.[Link]
  19. Hanno Lustig, Nick Roussanov and Adrien Verdelhan (2013), Countercyclical Currency Risk Premia, Journal of Financial Economics.[Link]
  20. Hanno Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan (2013), The Wealth-Consumption Ratio, Review of Asset Pricing Studies.[Link]
  21. Matthias Fleckenstein, Francis Longstaff and Hanno Lustig (2014), Why does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle, Journal of Finance [Link]
  22. YiLi Chien, Hal Cole and Hanno Lustig (2012), Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Rebalancing? American Economic Review, forthcoming [Link] 
  23. Hanno Lustig and Adrien Verdelhan (2012), Business Cycle Variation in the Risk-Return Trade-Off, Journal of Monetary Economics. [Link]
  24. Hanno Lustig, Nick Roussanov and Adrien Verdelhan. (2011), Common Risk Factors in Currency Markets, Review of Financial Studies [Link]
  25. YiLi Chien, Hal Cole and Hanno Lustig (2011), A Multiplier Approach to Understanding the Macro Implications of Household Finance. Review of Economic Studies [Link]
  26. Hanno Lustig, Chad Syverson and Stijn Van Nieuwerburgh. (2010). Technological Change and the Growing Inequality in Managerial Compensation. Journal of Financial Economics. [Link]
  27. Dirk Krueger and Hanno Lustig. (January 2010). When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?. Journal of Economic Theory, [Link]
  28. Hanno Lustig and Stijn Van Nieuwerburgh. (April 2010). How Much Does Household Collateral Constrain Regional Risk Sharing?. Review of Economic Dynamics, [Link]
  29. YiLi Chien and Hanno Lustig. (2009). The Market Price of Aggregate Risk and the Wealth Distribution. Review of Financial Studies, [Link]
  30. Hanno Lustig and Adrien Verdelhan. (2007). The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk. American Economic Review, [Link]
  31. Hanno Lustig and Adrien Verdelhan. (2012). The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk: A Reply. American Economic Review,[Link]
  32. Hanno Lustig, Chris Sleet and Sevin Yeltekin. (2008). Fiscal Hedging with Nominal Assets. Journal of Monetary Economics, [Link]
  33. Hanno Lustig and Stijn Van Nieuwerburgh. (2006). The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street. Review of Financial Studies, [Link]
  34. Hanno Lustig and Stijn Van Nieuwerburgh. (2005). Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perspective. Journal of Finance, [Link]
  1. Hanno Lustig and Adrien Verdelhan. (2008). Discussion of Carry Trades and Currency Crashes. NBER Macro Annual, [Link]
  2. Dirk Krueger and Hanno Lustig and Fabrizio Perri. (2008). Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data. Journal of the European Economic Association, [Link]
  3. Hanno Lustig and Adrien Verdelhan. (2006). Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution. JEEA Papers and Proceedings, [Link]
  4. Ralph S. J. Koijen, Hanno Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan. (2010).  Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk." American Economic Review, Papers and Proceedings [Link]