Hanno Lustig
Stanford Graduate School of Business
655 Knight Way
Stanford, CA 94305
E-Mail: 
WWW: http://www.stanford.edu/~hlustig
NBER Program Affiliations:
AP
,
EFG
NBER Affiliation: Research Associate
Institutional Affiliation: Stanford University
Information about this author at RePEc
NBER Working Papers and Publications
| October 2018 | Post-FOMC Announcement Drift in U.S. Bond Markets
with Jordan Brooks, Michael Katz: w25127
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| March 2018 | Foreign Safe Asset Demand and the Dollar Exchange Rate
with Zhengyang Jiang, Arvind Krishnamurthy: w24439
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| September 2017 | Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates
with Robert J. Richmond: w23773
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| June 2017 | Complex Asset Markets
with Andrea L. Eisfeldt, Lei Zhang: w23476
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| September 2016 | Capital Share Dynamics When Firms Insure Workers
with Barney Hartman-Glaser, Mindy Z. Xiaolan: w22651
Published: BARNEY HARTMAN‐GLASER & HANNO LUSTIG & MINDY Z. XIAOLAN, 2019. "Capital Share Dynamics When Firms Insure Workers," The Journal of Finance, vol 74(4), pages 1707-1751.
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| June 2016 | Equity is Cheap for Large Financial Institutions: The International Evidence
with Priyank Gandhi, Alberto Plazzi: w22355
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| February 2016 | Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?
with Adrien Verdelhan: w22023
Published: Hanno Lustig & Adrien Verdelhan, 2019. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," American Economic Review, vol 109(6), pages 2208-2244.
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| July 2014 | Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy
with YiLi Chien, Harold L. Cole: w20328
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| April 2014 | The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
with Bernard Herskovic, Bryan T. Kelly, Stijn Van Nieuwerburgh: w20076
Published: Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016. "The common factor in idiosyncratic volatility: Quantitative asset pricing implications," Journal of Financial Economics, Elsevier, vol. 119(2), pages 249-283. citation courtesy of 
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| November 2013 | The Term Structure of Currency Carry Trade Risk Premia
with Andreas Stathopoulos, Adrien Verdelhan: w19623
Published: Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2019. "The Term Structure of Currency Carry Trade Risk Premia," American Economic Review, vol 109(12), pages 4142-4177.
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| September 2013 | Firm Volatility in Granular Networks
with Bryan Kelly, Stijn Van Nieuwerburgh: w19466
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| July 2013 | Deflation Risk
with Matthias Fleckenstein, Francis A. Longstaff: w19238
Published: Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2017. "Deflation Risk," The Review of Financial Studies, vol 30(8), pages 2719-2760.
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| June 2011 | Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
with Bryan T. Kelly, Stijn Van Nieuwerburgh: w17149
Published: Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2016. "Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees," American Economic Review, American Economic Association, vol. 106(6), pages 1278-1319, June. citation courtesy of
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| November 2010 | Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation
with Priyank Gandhi: w16553
Published: Size Anomalies in U.S. Bank Stock Returns PRIYANK GANDHI andHANNO LUSTIG† Article first published online: 12 MAR 2015 DOI: 10.1111/jofi.12235 © 2015 the American Finance Association Issue The Journal of Finance The Journal of Finance Volume 70, Issue 2, pages 733–768, April 2015
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| October 2010 | How Does the U.S. Government Finance Fiscal Shocks?
with Antje Berndt, Sevin Yeltekin: w16458
Published: Antje Berndt & Hanno Lustig & Sevin Yeltekin, 2012. "How Does the US Government Finance Fiscal Shocks?," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 69-104, January. citation courtesy of
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| September 2010 | Countercyclical Currency Risk Premia
with Nikolai Roussanov, Adrien Verdelhan: w16427
Published: Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553. citation courtesy of
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| Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle
with Matthias Fleckenstein, Francis A. Longstaff: w16358
Published: The TIPS—Treasury Bond Puzzle* The Journal of Finance Accepted manuscript online: 30 JAN 2013, Matthias Fleckenstein, Francis A. Longstaff and Hanno Lustig DOI: 10.1111/jofi.12032
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| January 2010 | The Cross-Section and Time-Series of Stock and Bond Returns
with Ralph S.J. Koijen, Stijn Van Nieuwerburgh: w15688
Published: Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The cross-section and time series of stock and bond returns," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 50-69. citation courtesy of
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| September 2009 | Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?
with Yi-Li Chien, Harold L. Cole: w15382
Published: YiLi Chien & Harold Cole & Hanno Lustig, 2012. "Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?," American Economic Review, American Economic Association, vol. 102(6), pages 2859-96, October. citation courtesy of
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| April 2009 | Comment on "Carry Trades and Currency Crashes"
with Adrien Verdelhan
in NBER Macroeconomics Annual 2008, Volume 23, Daron Acemoglu, Kenneth Rogoff and Michael Woodford, editors
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| January 2009 | Technological Change and the Growing Inequality in Managerial Compensation
with Chad Syverson, Stijn Van Nieuwerburgh: w14661
Published: Lustig, Hanno & Syverson, Chad & Van Nieuwerburgh, Stijn, 2011. "Technological change and the growing inequality in managerial compensation," Journal of Financial Economics, Elsevier, vol. 99(3), pages 601-627, March. citation courtesy of
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| June 2008 | Common Risk Factors in Currency Markets
with Nikolai Roussanov, Adrien Verdelhan: w14082
Published: Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2011. "Common Risk Factors in Currency Markets," Review of Financial Studies, vol 24(11), pages 3731-3777.
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| March 2008 | The Wealth-Consumption Ratio
with Stijn Van Nieuwerburgh, Adrien Verdelhan: w13896
Published:
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| February 2008 | The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply
with Adrien Verdelhan: w13812
Published: Hanno Lustig & Adrien Verdelhan, 2011. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply," American Economic Review, American Economic Association, vol. 101(7), pages 3477-3500, December. citation courtesy of
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| November 2007 | Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data
with Dirk Krueger, Fabrizio Perri: w13650
Published: Dirk Krueger & Hanno Lustig & Fabrizio Perri, 2008. "Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 715-726, 04-05. citation courtesy of
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| A Multiplier Approach to Understanding the Macro Implications of Household Finance
with YiLi Chien, Harold Cole: w13555
Published: Yili Chien & Harold Cole & Hanno Lustig, 2011. "A Multiplier Approach to Understanding the Macro Implications of Household Finance," Review of Economic Studies, Oxford University Press, vol. 78(1), pages 199-234. citation courtesy of
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| December 2006 | Can Housing Collateral Explain Long-Run Swings in Asset Returns?
with Stijn Van Nieuwerburgh: w12766
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| October 2006 | When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?
with Dirk Krueger: w12634
Published: Krueger, Dirk & Lustig, Hanno, 2010.
"When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?,"
Journal of Economic Theory,
Elsevier, vol. 145(1), pages 1-41, January.
citation courtesy of
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| October 2005 | Fiscal Hedging and the Yield Curve
with Christopher Sleet, Sevin Yeltekin: w11687
Published: Lustig, Hanno, Chris Sleet, and Sevin Yeltekin. "Fiscal Hedging with Nominal Assets." Journal of Monetary Economics 55, 4(2008).
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| August 2005 | The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street
with Stijn Van Nieuwerburgh: w11564
Published: Hanno Lustig & Stijn Van Nieuwerburgh, 2008. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(5), pages 2097-2137, September. citation courtesy of
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| February 2005 | The Market Price of Aggregate Risk and the Wealth Distribution
with Yi-Li Chien: w11132
Published: YiLi Chien & Hanno Lustig, 2010. "The Market Price of Aggregate Risk and the Wealth Distribution," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 23(4), pages 1596-1650, April. citation courtesy of
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| The Cross-Section of Currency Risk Premia and US Consumption Growth Risk
with Adrien Verdelhan: w11104
Published: Hanno Lustig & Adrien Verdelhan, 2007. "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk," American Economic Review, American Economic Association, vol. 97(1), pages 89-117, March.
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| December 2004 | A Theory of Housing Collateral, Consumption Insurance and Risk Premia
with Stijn Van Nieuwerburgh: w10955
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| May 2004 | How Much Does Household Collateral Constrain Regional Risk Sharing?
with Stijn Van Nieuwerburgh: w10505
Published: Hanno Lustig & Stijn Van Nieuwerburgh. "How Much Does Household Collateral Constrain Regional Risk Sharing?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(2), pages 265-294, April 2010.
"How Much Does Household Collateral Constrain Regional Risk Sharing?,"
Review of Economic Dynamics,
Elsevier for the Society for Economic Dynamics.
citation courtesy of
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| September 2003 | Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective
with Stijn Van Nieuwerburgh: w9959
Published: Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005. "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective," Journal of Finance, American Finance Association, vol. 60(3), pages 1167-1219, 06. citation courtesy of
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