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Published Papers

  1. 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)
  2. Hanno Lustig and Robert Richmond (2019), Gravity in the Exchange Rate Factor Structure, Review of Financial Studies (accepted), [Link] 
  3. 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]
  4. YiLi Chien, Hanno Lustig, Kanda Naknoi, 2019, Why are Exchange Rates so Smooth? A Household Finance Explanation,  Journal of Monetary Economics (accepted), [PDF] [Link]
  5. Hanno Lustig and Adrien Verdelhan (2019), Does Incomplete Spanning Help to Explain Exchange Rates?, American Economic Review. [Link][slides]
  6. Zhengyang Jiang, Arvind Krishnamurthy and Hanno Lustig (2018), Foreign Safe Asset Demand for US Treasurys and the Dollar, AEA Papers and Proceedings, [Link]
  7. Barney Hartman-Glaeser, Hanno Lustig and Mindy Z. Xialan (2018), Capital Share Dynamics when Firms Insure Workers, Journal of Finance (accepted). [Link][slides][appendix]
  8. Ralph Koijen, Hanno Lustig and Stijn VanNieuwerburgh (2017), The Cross-section and Time-series of Stock and Bond Returns,  Journal of Monetary Economics. [Link]
  9. Matthias Fleckenstein, Francis Longstaff and Hanno Lustig, Deflation Risk, Review of Financial Studies. [Link]
  10. Matthias Fleckenstein  Francis Longstaff  Hanno Lustig (2018), Inflation‐Adjusted Bonds and the Inflation Risk Premium,  Handbook of Fixed‐Income Securities [Link]
  11. 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] 
  12. 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]  
  13. 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] 
  14. Priyank Gandhi and Hanno Lustig (2015), Size Anomalies in Bank Stock Returns, Journal of Finance. [Link] [Reply to Goyal][Identifying Banks in CRSP] 
  15. 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]
  16. Hanno Lustig, Nick Roussanov and Adrien Verdelhan (2013), Countercyclical Currency Risk Premia, Journal of Financial Economics.[Link]
  17. Hanno Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan (2013), The Wealth-Consumption Ratio, Review of Asset Pricing Studies.[Link]
  18. Matthias Fleckenstein, Francis Longstaff and Hanno Lustig (2014), Why does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle, Journal of Finance [Link]
  19. 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] 
  20. Hanno Lustig and Adrien Verdelhan (2012), Business Cycle Variation in the Risk-Return Trade-Off, Journal of Monetary Economics. [Link]
  21. Hanno Lustig, Nick Roussanov and Adrien Verdelhan. (2011), Common Risk Factors in Currency Markets, Review of Financial Studies [Link]
  22. YiLi Chien, Hal Cole and Hanno Lustig (2011), A Multiplier Approach to Understanding the Macro Implications of Household Finance. Review of Economic Studies [Link]
  23. Hanno Lustig, Chad Syverson and Stijn Van Nieuwerburgh. (2010). Technological Change and the Growing Inequality in Managerial Compensation. Journal of Financial Economics. [Link]
  24. 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]
  25. Hanno Lustig and Stijn Van Nieuwerburgh. (April 2010). How Much Does Household Collateral Constrain Regional Risk Sharing?. Review of Economic Dynamics, [Link]
  26. YiLi Chien and Hanno Lustig. (2009). The Market Price of Aggregate Risk and the Wealth Distribution. Review of Financial Studies, [Link]
  27. Hanno Lustig and Adrien Verdelhan. (2007). The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk. American Economic Review, [Link]
  28. 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]
  29. Hanno Lustig, Chris Sleet and Sevin Yeltekin. (2008). Fiscal Hedging with Nominal Assets. Journal of Monetary Economics, [Link]
  30. 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]
  31. 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]