Hanno Lustig : Citation Profile


Are you Hanno Lustig?

University of California-Los Angeles (UCLA)
National Bureau of Economic Research (NBER)

21

H index

32

i10 index

1944

Citations

RESEARCH PRODUCTION:

17

Articles

80

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1990 - 2021). See details.
   Cites by year: 62
   Journals where Hanno Lustig has often published
   Relations with other researchers
   Recent citing documents: 231.    Total self citations: 33 (1.67 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plu17
   Updated: 2021-10-16    RAS profile: 2015-07-16    
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Relations with other researchers


Works with:

Chien, YiLi (3)

Van Nieuwerburgh, Stijn (3)

KRISHNAMURTHY, ARVIND (2)

Naknoi, Kanda (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Hanno Lustig.

Is cited by:

Sarno, Lucio (46)

Weber, Michael (33)

Nitschka, Thomas (32)

Schrimpf, Andreas (27)

Van Nieuwerburgh, Stijn (25)

Chien, YiLi (22)

Pasten, Ernesto (20)

Schmeling, Maik (20)

Sousa, Ricardo (20)

Bekaert, Geert (18)

Chernov, Mikhail (18)

Cites to:

Campbell, John (96)

Hansen, Lars (31)

Cochrane, John (27)

Alvarez, Fernando (26)

Jermann, Urban (25)

Shiller, Robert (23)

Levine, David (23)

Lucas, Robert (23)

Kehoe, Patrick (22)

Gabaix, Xavier (21)

Van Nieuwerburgh, Stijn (21)

Main data


Where Hanno Lustig has published?


Journals with more than one article published# docs
American Economic Review4
Review of Financial Studies3
Journal of the European Economic Association2
Review of Economic Dynamics2

Working Papers Series with more than one paper published# docs
Boston University - Department of Economics - Working Papers Series / Boston University - Department of Economics4
2004 Meeting Papers / Society for Economic Dynamics3
Working Papers / Federal Reserve Bank of St. Louis2
GSIA Working Papers / Carnegie Mellon University, Tepper School of Business2
2011 Meeting Papers / Society for Economic Dynamics2
2008 Meeting Papers / Society for Economic Dynamics2

Recent works citing Hanno Lustig (2021 and 2020)


YearTitle of citing document
2021Social Capital: A Double-Edged Sword. (2021). Cole, Harold L ; Park, Yena ; Mailath, George J ; Krueger, Dirk. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:064.

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2020Search for Yield in Large International Corporate Bonds: Investor Behavior and Firm Responses. (2020). Williams, Tomas ; Schmukler, Sergio ; Larrain, Mauricio ; Calomiris, Charles. In: Mo.Fi.R. Working Papers. RePEc:anc:wmofir:165.

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2020Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173.

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2020Coronavirus: Case for Digital Money?. (2020). Liew, Jim Kyung-Soo ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:2005.10154.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2020Heterogeneity and the Dynamic Effects of Aggregate Shocks. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2007.14022.

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2021Dynamic industry uncertainty networks and the business cycle. (2021). Baruník, Jozef ; Faff, Robert ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2101.06957.

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2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2021Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021Turnover-Adjusted Information Ratio. (2021). Cao, Honggao ; Wang, XI ; Zhang, Feng. In: Papers. RePEc:arx:papers:2105.10306.

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2021An Interpretable Neural Network for Parameter Inference. (2021). Pfitzinger, Johann. In: Papers. RePEc:arx:papers:2106.05536.

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2021Monetary Policy, Trends in Real Interest Rates and Depressed Demand. (2021). Meh, Cesaire ; Beaudry, Paul. In: Staff Working Papers. RePEc:bca:bocawp:21-27.

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2020Monetary Momentum. (2020). Weber, Michael ; Neuhierl, Andreas. In: Working Papers. RePEc:bfi:wpaper:2020-39.

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2020Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). He, Zhiguo ; Nagel, Stefan ; Song, Zhaogang. In: Working Papers. RePEc:bfi:wpaper:2020-79.

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2020U.S. Banks and Global Liquidity. (2020). Correa, Ricardo ; Du, Wenxin ; Liao, Gordon. In: Working Papers. RePEc:bfi:wpaper:2020-89.

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2020Optimal Fiscal Policy without Commitment: Revisiting Lucas-Stokey. (2020). Yared, Pierre ; Nunes, Ricardo ; Debortoli, Davide. In: Working Papers. RePEc:bge:wpaper:1144.

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2021The Commitment Benefit of Consols in Government Debt Management. (2021). Debortoli, Davide ; Yared, Pierre ; Nunes, Ricardo. In: Working Papers. RePEc:bge:wpaper:1253.

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2021The Commitment Benefit of Consols in Government Debt Management. (2021). Debortoli, Davide ; Yared, Pierre ; Nunes, Ricardo. In: Working Papers. RePEc:bge:wpaper:1254.

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2020Debt De-risking. (2020). Schrimpf, Andreas ; Parise, Gianpaolo ; Cutura, Jannic. In: BIS Working Papers. RePEc:bis:biswps:868.

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2021Pairs trading and idiosyncratic cash flow risk. (2021). Faff, Robert ; Do, Binh. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:2:p:3171-3206.

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2020Gender Difference in Returns to Education Independent of Gender Wage Gap in Korea*. (2020). Ihm, Jungjoon ; Lee, Jaeram. In: Asian Economic Journal. RePEc:bla:asiaec:v:34:y:2020:i:2:p:213-232.

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2020Input–Output Linkages and Sectoral Volatility. (2020). OLABISI, MICHAEL. In: Economica. RePEc:bla:econom:v:87:y:2020:i:347:p:713-746.

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2020Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713.

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2020Monetary Policy and Global Banking. (2020). Bräuning, Falk ; Brauning, Falk ; Ivashina, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:6:p:3055-3095.

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2020Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy. (2020). Pflueger, Carolin E ; Du, Wenxin ; Schreger, Jesse. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:6:p:3097-3138.

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2020Low Mortgage Rates and Securitization: A Distinct Perspective on the US Housing Boom. (2020). Xu, Fang ; Herwartz, Helmut. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:122:y:2020:i:1:p:164-190.

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2020From carry trades to curvy trades. (2020). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:3:p:758-780.

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2020Workers, capitalists, and the government: fiscal policy and income (re)distribution. (2020). Freund, Lukas ; Cantore, Cristiano. In: Bank of England working papers. RePEc:boe:boeewp:0858.

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2020The effects of conventional and unconventional monetary policy : identification through the yield curve. (2020). Nelimarkka, Jaakko ; Kortela, Tomi . In: Research Discussion Papers. RePEc:bof:bofrdp:2020_003.

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2020Bonds, Currencies and Expectational Errors. (2020). Sihvonen, Markus ; Granziera, Eleonora. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_007.

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2020Exchange Rates and Political Uncertainty: The Brexit Case. (2020). Trigilia, G ; Moramarco, G ; Manasse, P. In: Working Papers. RePEc:bol:bodewp:wp1141.

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2020Workers, Capitalists, and the Government: Fiscal Policy and Income (Re)Distribution. (2020). Cantore, Cristiano ; Freund, L B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2095.

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2020Dynamic Equity Slope. (2020). Marfè, Roberto ; Zucchi, Francesca ; Colonnello, Stefano ; Breugem, Matthijs. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:626.

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2021The Pricing of Unexpected Volatility in the Currency Market. (2021). Xu, Yongdeng ; Lu, Wenna ; Copeland, Laurence. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/16.

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2020On the Performance of Cryptocurrency Funds. (2020). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp672.

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2021Uncertainty Network Risk and Currency Returns. (2021). Barunik, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp687.

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2020Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns. (2020). Melvin, Michael ; Pan, Wenqiang ; Wikstrom, Petra. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8143.

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2020Chinese Exchange Rate Policy: Lessons for Global Investors. (2020). Westermann, Frank ; Melvin, Michael . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8493.

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2020Inflation and the Price of Real Assets. (2020). Schneider, Martin ; Rogers, Ciaran ; Piazzesi, Monika ; Leombroni, Matteo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14390.

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2020Global Macro-Financial Cycles and Spillovers. (2020). Ha, Jongrim ; Kose, Ayhan ; Otrok, Christopher ; Prasad, Eswar. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14404.

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2020The Non-U.S. Bank Demand for U.S. Dollar Assets. (2020). Adrian, Tobias ; Xie, Peichu. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14437.

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2020Currency Futures Risk Premia and Risk Factors. (2020). Bernoth, Kerstin ; de Vries, Casper G ; Vonhagen, Jurgen ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1866.

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2020Attention to the tail(s): global financial conditions and exchange rate risks. (2020). Sokol, Andrej ; Eguren-Martin, Fernando. In: Working Paper Series. RePEc:ecb:ecbwps:20202387.

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2021Leveraged property cycles. (2021). Jaccard, Ivan. In: Working Paper Series. RePEc:ecb:ecbwps:20212539.

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2020Optimal Sustainable Intergenerational Insurance. (2020). Worrall, Timothy ; Russo, Alessia ; Lancia, Francesco. In: Edinburgh School of Economics Discussion Paper Series. RePEc:edn:esedps:300.

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2020Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail. (2020). Trigeorgis, Lenos ; Driouchi, Tarik. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119919309332.

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2020The time-varying diversifiability of corporate foreign exchange exposure. (2020). Krapl, Alain A. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119918300038.

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2020Asset mispricing in peer-to-peer loan secondary markets. (2020). Talavera, Oleksandr ; Pham, Tho ; Caglayan, Mustafa ; Xiong, Xiong. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302133.

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2021Dollar borrowing, firm credit risk, and FX-hedged funding opportunities. (2021). Serena Garralda, Jose Maria ; Mayordomo, Sergio ; Gambacorta, Leonardo ; Galvez, Julio. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000663.

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2020Short-run risk, business cycle, and the value premium. (2020). Leippold, Markus ; He, Yunhao. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301615.

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2020On the cross-sectional relation between exchange rates and future fundamentals. (2020). Fatnassi, Ibrahim ; Hammami, Yacine ; Kharrat, Sabrine. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:484-501.

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2020Liquidity shocks: A new solution to the forward premium puzzle. (2020). Kumar, Vikram. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:445-454.

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2020A much robust and updated evidences of the alternative real-estate based asset pricing. (2020). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303978.

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2020Predictability in international stock returns using currency fluctuations and forward rate forecasts. (2020). Yost-Bremm, Chris ; Huang, Emily J ; Han, Xue ; Wang, Jiexin . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303195.

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2021Cross-sectional tests of asset pricing models with full-rank mimicking portfolios. (2021). Lee, Jeong Hwan ; Ho, Kun ; Kim, Jin Yong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000802.

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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2020Preferences, inflation, and welfare. (2020). Dressler, Scott J ; Curran, Michael. In: European Economic Review. RePEc:eee:eecrev:v:130:y:2020:i:c:s0014292120302245.

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2021Can interest rate factors explain exchange rate fluctuations?. (2021). Yung, Julieta. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:34-56.

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2020Can commodity prices forecast exchange rates?. (2020). Wang, Yudong ; Tan, Siming ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s014098832030058x.

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2020Oil stocks, risk factors, and tail behavior. (2020). Cai, Jun ; Lian, Ziying ; Webb, Robert I. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302723.

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2020Does Bitcoin behave as a currency?: A standard monetary model approach. (2020). Wong, Andrew ; Chau, Po-Hon ; Lo, Chi-Fai ; Hui, Cho-Hoi. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301629.

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2020Speculator activity and the cross-asset predictability of FX returns. (2020). Peltomaki, Jarkko ; Hasselgren, Anton ; Graham, Michael. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302052.

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2021Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation. (2021). Liu, Jia ; Zhao, Huimin ; Qian, Long ; Ni, Xuanming. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001289.

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2020Tales of tails: Jumps in currency markets. (2020). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s138641811830243x.

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2020Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns. (2020). Pan, Wenqiang ; Melvin, Michael ; Wikstrom, Petra. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300148.

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2020Sovereign bonds, coskewness, and monetary policy regimes. (2020). Wald, John K ; Li, Yulin ; Wang, Zijun. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300826.

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2021The impact of organization capital on firm innovation. (2021). Wu, Qiang ; Sharma, Zenu ; Mani, Sureshbabu ; Francis, Bill. In: Journal of Financial Stability. RePEc:eee:finsta:v:53:y:2021:i:c:s1572308920301327.

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2021Debt holder monitoring and implicit guarantees: Did the BRRD improve market discipline?. (2021). Cutura, Jannic Alexander. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000395.

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2021Is bailout insurance and tail risk priced in bank equities?. (2021). Trigeorgis, Lenos ; Saunders, Anthony ; Kasanen, Eero ; del Viva, Luca. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s1572308921000681.

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2021Covered interest parity deviations: Macrofinancial determinants. (2021). Obstfeld, Maurice ; Cerutti, Eugenio ; Zhou, Haonan. In: Journal of International Economics. RePEc:eee:inecon:v:130:y:2021:i:c:s0022199621000246.

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2020The role of carry trades on the effectiveness of Japans quantitative easing. (2020). Chuffart, Thomas ; Dell'Eva, Cyril. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:30-40.

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2021Risk and return in international corporate bond markets. (2021). Bekaert, Geert ; de Santis, Roberto A. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000573.

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2021To hedge or not to hedge: Carry trade dynamics in the emerging economies. (2021). Ozyildirim, Suheyla ; Geyiki, Utku Bora. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000779.

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2020The impact of sentiment and attention measures on stock market volatility. (2020). Audrino, Francesco ; Ballinari, Daniele ; Sigrist, Fabio. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:334-357.

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2021On the predictability of the distribution of excess returns in currency markets. (2021). Cho, Dooyeon. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:511-530.

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2020Geographic spillover of dominant firms’ shocks. (2020). Jannati, Sima. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301102.

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2020Asset pricing implications of money: New evidence. (2020). Silva, Andre ; Maio, Paulo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620302181.

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2021Organization capital and executive performance incentives. (2021). Qiu, Buhui ; Leung, Henry ; Gao, Mingze. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302788.

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2021The FOMC announcement returns on long-term US and German bond futures. (2021). Tse, Yiuman ; Jiao, Feng ; Indriawan, Ivan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302880.

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2021The nexus between loan portfolio size and volatility: Does bank capital regulation matter?. (2021). Ludolph, Melina ; Bremus, Franziska. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000807.

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2021Asset pricing and FOMC press conferences. (2021). Eriksen, Jonas ; Gronborg, Niels S ; Bodilsen, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621001229.

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2021Risk-adjusted return managed carry trade. (2021). Dupuy, Philippe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:129:y:2021:i:c:s037842662100131x.

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2021Under-reaction in the sovereign CDS market. (2021). Zhang, Jinfan ; Yan, Hongjun ; Xiao, Yaqing ; Wang, Xinjie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:130:y:2021:i:c:s0378426621001503.

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2021Hedge fund portfolio selection with fund characteristics. (2021). Kahra, Hannu ; Kauppila, Mikko ; Joenvaara, Juha. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:132:y:2021:i:c:s0378426621001916.

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2020Big fish in a small pond: Locally dominant firms and the business cycle. (2020). Kumar, Alok ; Korniotis, George ; Jannati, Sima. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:180:y:2020:i:c:p:219-240.

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2020Anomalies across the globe: Once public, no longer existent?. (2020). Jacobs, Heiko ; Muller, Sebastian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:1:p:213-230.

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2020Does size matter? Bailouts with large and small banks. (2020). Walther, Ansgar ; Davila, Eduardo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:1-22.

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2020Economic momentum and currency returns. (2020). Hasseltoft, Henrik ; Dahlquist, Magnus. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:152-167.

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2020International R&D spillovers and asset prices. (2020). Santacreu, Ana Maria ; Gavazzoni, Federico. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:330-354.

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2020Capital requirements, risk choice, and liquidity provision in a business-cycle model. (2020). Begenau, Juliane. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:355-378.

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2020Time-varying inflation risk and stock returns. (2020). Duarte, Fernando ; Szymanowska, Marta ; De Roon, Frans ; Boons, Martijn. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:444-470.

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2020Risky bank guarantees. (2020). Sarno, Lucio ; Mäkinen, Taneli ; Zinna, Gabriele ; Makinen, Taneli. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:490-522.

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2020The redistributive effects of bank capital regulation. (2020). Marquez, Robert ; Carletti, Elena ; Petriconi, Silvio. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:3:p:743-759.

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2020Global currency hedging with common risk factors. (2020). Riddiough, Steven J ; Opie, Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:3:p:780-805.

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2020Business cycles and currency returns. (2020). Sarno, Lucio ; Riddiough, Steven J ; Colacito, Riccardo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:659-678.

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2020CEOs’ outside opportunities and relative performance evaluation: evidence from a natural experiment. (2020). Na, KE. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:679-700.

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2020Why do discount rates vary?. (2020). Santosh, Shrihari ; Kozak, Serhiy. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:740-751.

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2020Credit migration and covered interest rate parity. (2020). Liao, Gordon. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:2:p:504-525.

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2020Collateral constraints and asset prices. (2020). Han, Brandon Yueyang ; Chabakauri, Georgy. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:3:p:754-776.

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2021Time-varying state variable risk premia in the ICAPM. (2021). Karehnke, Paul ; Boons, Martijn ; Barroso, Pedro. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:428-451.

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2021Loan guarantees and credit supply. (2021). Yannelis, Constantine ; Kim, Olivia S ; Bachas, Natalie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:872-894.

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More than 100 citations found, this list is not complete...

Works by Hanno Lustig:


YearTitleTypeCited
2010Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk In: American Economic Review.
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article13
2011The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply In: American Economic Review.
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article22
2008The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply.(2008) In: NBER Working Papers.
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2012Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing? In: American Economic Review.
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article48
2009Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?.(2009) In: NBER Working Papers.
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This paper has another version. Agregated cites: 48
paper
2007The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk In: American Economic Review.
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article300
2006The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk..(2006) In: Working papers.
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paper
2005THE CROSS-SECTION OF FOREIGN CURRENCY RISK PREMIA AND CONSUMPTION GROWTH RISK.(2005) In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
This paper has another version. Agregated cites: 300
paper
2006The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk.(2006) In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
This paper has another version. Agregated cites: 300
paper
2004The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk.(2004) In: 2004 Meeting Papers.
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This paper has another version. Agregated cites: 300
paper
2012How Does the US Government Finance Fiscal Shocks? In: American Economic Journal: Macroeconomics.
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article19
1990How does the U.S. government finance fiscal shocks?.(1990) In: GSIA Working Papers.
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paper
2010How Does the U.S. Government Finance Fiscal Shocks?.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 19
paper
2005Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective In: Journal of Finance.
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article218
2003Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective.(2003) In: NBER Working Papers.
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This paper has another version. Agregated cites: 218
paper
2005Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution. In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper12
2006Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution.(2006) In: Journal of the European Economic Association.
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This paper has another version. Agregated cites: 12
article
2007The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤ In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper16
The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models.() In: UCLA Economics Online Papers.
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This paper has another version. Agregated cites: 16
paper
2007The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models.(2007) In: 2007 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2004The Market Price of Aggregate Risk and the Wealth Distribution In: UCLA Economics Online Papers.
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paper104
2005The Market Price of Aggregate Risk and the Wealth Distribution.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 104
paper
2010The Market Price of Aggregate Risk and the Wealth Distribution.(2010) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 104
article
2001The Market Price of Aggregate Risk and the Wealth Distribution.(2001) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 104
paper
2004Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance In: UCLA Economics Online Papers.
[Full Text][Citation analysis]
paper0
2004How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006) In: UCLA Economics Online Papers.
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paper0
2004The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]
paper0
2004Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]
paper0
2005The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]
paper1
2005Fiscal Hedging and the Yield Curve(joint with Chris Sleet, CMU, and Sevin Yeltekin (CMU)) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]
paper0
2005Does the US government Hedge against Defense Expenditure Risk? (joint with Chris Sleet and Sevin Yeltekin) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]
paper0
2005Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution (joint with Adrien Verdelhan, BU, forthcoming in Papers and Proceedings JEEA) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]
paper0
When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]
paper0
Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]
paper0
Macro Implications of Household Finance (joint with YiLi Chien and Harold Cole ) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]
paper0
Fiscal Hedging with Nominal Assets In: GSIA Working Papers.
[Full Text][Citation analysis]
paper42
2008Fiscal hedging with nominal assets.(2008) In: Journal of Monetary Economics.
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This paper has another version. Agregated cites: 42
article
2006The Irrelevance of Market Incompleteness for the Price of Aggregate Risk In: CEPR Discussion Papers.
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paper0
2012The Wealth-Consumption Ratio In: CEPR Discussion Papers.
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paper38
2008The Wealth-Consumption Ratio.(2008) In: NBER Working Papers.
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This paper has another version. Agregated cites: 38
paper
2012Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees In: CEPR Discussion Papers.
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paper72
2011Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 72
paper
2011Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees.(2011) In: 2011 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 72
paper
2012The Cross-Section and Time-Series of Stock and Bond Returns In: CEPR Discussion Papers.
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paper57
2010The Cross-Section and Time-Series of Stock and Bond Returns.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57
paper
2010When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)? In: Journal of Economic Theory.
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article39
2006When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
paper
2011Technological change and the growing inequality in managerial compensation In: Journal of Financial Economics.
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article31
2009Technological Change and the Growing Inequality in Managerial Compensation.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
paper
2014Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy In: Working Papers.
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paper0
2014Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy.(2014) In: NBER Working Papers.
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This paper has another version. Agregated cites: 0
paper
2020Why Are Exchange Rates So Smooth? A Household Finance Explanation In: Working Papers.
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paper2
2017Why Are Exchange Rates So Smooth? A Household Finance Explanation.(2017) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2009Comment on Carry Trades and Currency Crashes In: NBER Chapters.
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chapter1
2004How Much Does Household Collateral Constrain Regional Risk Sharing? In: NBER Working Papers.
[Full Text][Citation analysis]
paper52
2010How Much Does Household Collateral Constrain Regional Risk Sharing?.(2010) In: Review of Economic Dynamics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
article
2004A Theory of Housing Collateral, Consumption Insurance and Risk Premia In: NBER Working Papers.
[Full Text][Citation analysis]
paper12
2005The Cross-Section of Currency Risk Premia and US Consumption Growth Risk In: NBER Working Papers.
[Full Text][Citation analysis]
paper13
2005The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street In: NBER Working Papers.
[Full Text][Citation analysis]
paper62
2008The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street.(2008) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 62
article
2005Fiscal Hedging and the Yield Curve In: NBER Working Papers.
[Full Text][Citation analysis]
paper3
2006Can Housing Collateral Explain Long-Run Swings in Asset Returns? In: NBER Working Papers.
[Full Text][Citation analysis]
paper15
2007A Multiplier Approach to Understanding the Macro Implications of Household Finance In: NBER Working Papers.
[Full Text][Citation analysis]
paper58
2011A Multiplier Approach to Understanding the Macro Implications of Household Finance.(2011) In: Review of Economic Studies.
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This paper has another version. Agregated cites: 58
article
2007Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data In: NBER Working Papers.
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paper7
2008Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data.(2008) In: Journal of the European Economic Association.
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article
2008Common Risk Factors in Currency Markets In: NBER Working Papers.
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paper258
2011Common Risk Factors in Currency Markets.(2011) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 258
article
2008Common Risk Factors in Currency Markets.(2008) In: 2008 Meeting Papers.
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This paper has another version. Agregated cites: 258
paper
2010Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle In: NBER Working Papers.
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paper22
2011Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle.(2011) In: 2011 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2010Countercyclical Currency Risk Premia In: NBER Working Papers.
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paper100
2010Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation In: NBER Working Papers.
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paper15
2013Deflation Risk In: NBER Working Papers.
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paper6
2013Firm Volatility in Granular Networks In: NBER Working Papers.
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paper59
2013The Term Structure of Currency Carry Trade Risk Premia In: NBER Working Papers.
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paper12
2014The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications In: NBER Working Papers.
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paper89
2016Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates? In: NBER Working Papers.
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paper5
2016Equity is Cheap for Large Financial Institutions: The International Evidence In: NBER Working Papers.
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paper7
2016Capital Share Dynamics When Firms Insure Workers In: NBER Working Papers.
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paper7
2017Complex Asset Markets In: NBER Working Papers.
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paper1
2017Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates In: NBER Working Papers.
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paper6
2018Foreign Safe Asset Demand and the Dollar Exchange Rate In: NBER Working Papers.
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paper25
2018Post-FOMC Announcement Drift in U.S. Bond Markets In: NBER Working Papers.
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paper12
2019The U.S. Public Debt Valuation Puzzle In: NBER Working Papers.
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paper0
2020Spending Less After (Seemingly) Bad News In: NBER Working Papers.
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paper0
2020Dollar Safety and the Global Financial Cycle In: NBER Working Papers.
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paper3
2020Manufacturing Risk-free Government Debt In: NBER Working Papers.
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paper1
2021Financial and Total Wealth Inequality with Declining Interest Rates In: NBER Working Papers.
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paper1
2016Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy In: Review of Economic Dynamics.
[Full Text][Citation analysis]
article10
2004Does the US government hedge against government expenditure risk? In: 2004 Meeting Papers.
[Citation analysis]
paper6
2004Housing Collateral and Consumption Insurance Across US Regions In: 2004 Meeting Papers.
[Citation analysis]
paper9
2005The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street In: 2005 Meeting Papers.
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paper4
2006Optimal Debt Maturity Management In: 2006 Meeting Papers.
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paper0
2008IT, Corporate Payouts, and the Growing Inequality in Managerial Compensation In: 2008 Meeting Papers.
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paper4
2009The Bond Risk Premium and the Cross-Section of Equity Returns In: 2009 Meeting Papers.
[Full Text][Citation analysis]
paper0
2010Size Anomalies in US Bank Stock Returns: Your Tax Dollars at Work? In: 2010 Meeting Papers.
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paper1
2002Housing Collateral, Consumption Insurance and Risk Premia In: Macroeconomics.
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