Lars A. Lochstoer
Professor of Finance
Finance Area, Entrepreneurs Hall C519
UCLA Anderson School of Management
110 Westwood Plaza, Los Angeles, CA 90095
E-mail: lars.lochstoer (at) anderson.ucla.edu
Professor of Finance
Finance Area, Entrepreneurs Hall C519
UCLA Anderson School of Management
110 Westwood Plaza, Los Angeles, CA 90095
E-mail: lars.lochstoer (at) anderson.ucla.edu
PUBLISHED AND FORTHCOMING
"The Real Channel for Nominal Bond-Stock Puzzles." May 2025. Joint with Mikhail Chernov and Dongho Song. Forthcoming at The Journal of Finance.
"Pricing Currency Risk," joint with Mikhail Chernov and Magnus Dahlquist. The Journal of Finance 78(2), 2023, pp. 693-730.
"Volatility Expectations and Returns," joint with Tyler Muir. The Journal of Finance 77(2), 2022, pp 1055-1096. Online Appendix.
"Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off," joint with Mikhail Chernov and Stig Lundeby. The Review of Financial Studies 35(3), 2022, pp 1310-1347. Online Appendix. Code.
“What Drives Anomaly Returns?” with Paul Tetlock. The Journal of Finance 75(3), 2020, pp. 1417-1455. Online Appendix.
“Asset Pricing when 'This Time is Different',” joint with Pierre Collin-Dufresne and Michael Johannes. The Review of Financial Studies 30(2), 2017, pp. 505-535. Online Appendix.
“Parameter Learning in General Equilibrium: The Asset Pricing Implications,” joint with Pierre Collin-Dufresne and Michael Johannes. American Economic Review 106(3), 2016, pp. 664-698. Online Appendix.
“Learning about Consumption Dynamics,” with Michael Johannes and Yiqun Mou. Journal of Finance 71(2), 2016, pp. 551-600. Online Appendix.
“Comment on "Growth Uncertainty, generalized disappointment aversion and production-based asset pricing",” Journal of Monetary Economics 69, 2015, pp. 90-96. Carnegie-Rochester-NYU conference series.
“Limits to Arbitrage and Hedging: Evidence from Commodity Markets,” with Viral Acharya and Tarun Ramadorai. Journal of Financial Economics 109(2), 2013, pp. 441-465. Online Appendix. Data.
“Investor Inattention and the Market Impact of Summary Statistics,” with Thomas Gilbert, Shimon Kogan and Ataman Ozyildirim. Management Science 58, 2012, pp. 336-350. Special Issue on Behavioral Economics and Finance. Online Appendix.
“Long-Run Risk through Consumption Smoothing,” with Georg Kaltenbrunner. Review of Financial Studies 23, 2010, pp. 3141 - 3189. Online Appendix.
-An earlier working paper version of this article has some additional results on operating leverage through sticky wages, as well as on return predictability that I still find interesting (LRR Working Paper)
“Expected Returns and the Business Cycle: Heterogeneous Goods and Time-Varying Risk Aversion,” Review of Financial Studies 22, 2009, pp. 5251 - 5294.
"Estimation of a Stochastic-Volatility Jump-Diffusion Model," with Roger Craine and Knut Syrtveit, Revista de Analisis Economico, 2000, (15), pp 61-87
WORKING PAPERS
"Reassessing Sources of Risk Premiums in Currency Markets." April 2025. Joint with Mikhail Chernov and Magnus Dahlquist.
"Unpriced risks: Rethinking Cross-Sectional Asset Pricing." June 2025. Joint with Mikhail Chernov and Magnus Dahlquist.
"Model-free Mispricing Factors." May 2023. Joint with Paul Tetlock.
“A Robust Numerical Method for Solving Risk-Sharing Problems with Recursive Preferences.” 2018. Joint with Pierre Collin-Dufresne and Michael Johannes.