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
PUBLISHED AND FORTHCOMING
"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
"An Anatomy of Currency Strategies: The Role of Emerging Markets." May 2024. Joint with Mikhail Chernov and Magnus Dahlquist.
"The Real Channel for Nominal Bond-Stock Puzzles." April 2024. Joint with Mikhail Chernov and Dongho Song.
"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.