Hanno Lustig

English

Research Papers in Economics

A consumption-based explanation of the cross-section of expected stock returns, mimeo,

A cross-sectional test of an investment based asset pricing model,

A simple test of consumption insurance,

A theory of housing collateral, consumption insurance and risk premia, Working paper,

An intertemporal asset pricing model with stochastic consumption and investment opportunities,

An investment-growth asset pricing model, Working paper Columbia GSB.

Approximating the asset pricing kernel,

Asset prices in an exchange economy,

Asset pricing at the millennium,

Asset pricing with heterogeneous consumers,

Common risk factors in the returns on stocks and bonds,

Consumption and saving over the life cycle; How important are consumer durables? Working paper,

Consumption, aggregate wealth and expected stock returns,

Consumption, dividends, and the crosssection of expected returns, mimeo,

Cyclical dynamics of idiosyncratic labor market risk,

Dividend yields and expected stock returns,

Earnings and expected returns,

Estimating models with intertemporal substitution using aggregate time series data,

Hedging house price risk with incomplete markets, Working paper,

Historical Statistics of the United States, Colonial Times to

Housing, consumption, and asset pricing, Working paper,

Idiosyncratic risk and the equity premium: Evidence from the consumer expenditure survey,

Implications of security markets data for models of dynamic economies,

International real business cycles,

Intranational business cycles in the United States,

Labor income and predictable stock returns, mimeo,

Maximum likelihood estimation and inference on cointegration with applications to the demand for money,

Modeling the term structure of interest rates under nonseparable utility and durability of goods,

Nieuwerburgh, 2004b, Housing Collateral and Consumption Insurance across US Regions, Working paper,

On the estimation of beta-pricing models,

Owner-occupied housing and the composition of the household portfolio,

Partial insurance, information and consumption dynamics, mimeo,

Portfolio inefficiency and the cross-section of expected returns,

Predictive regressions,

Production based asset pricing and the link between stock returns and macroeconomic fluctuations,

Real estate and its role in household portfolio choice, Working paper,

Relative wage movements and the distribution of consumption,

Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying,

Security prices, risk, and maximal gains from diversification,

Stochastic consumption, risk-aversion, and the temporal behavior of asset returns,

Tests of asset pricing with time-varying expected risk-premiums and market betas,

The conditional CAPM and the cross-section of expected returns,

The dividend-price ratio and expectations of future dividends and discount factors,

The equity premium: A puzzle,

The wealth distribution and aggregate risk, mimeo,

TheW orld Economy: A Millennial Perspective, Economic History Services (OECD,

Time-varying sharpe ratios and market timing, mimeo, NYU Stern School of Business. Yao,Rui,andHaroldH.Zhang,2005,Optimalconsumptionandportfoliochoiceswithriskyhousing and borrowing constraint,

Understanding risk and return,

Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance

http://www.econ.ucla.edu/people/papers/Lustig/Lustig300.pdf

Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance

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Research Papers in Economics