All Published Papers



  1. Michael Katz, Hanno Lustig and Lars Nielsen (2016), Are Stocks Real Assets? Sticky Discount Rates in Stock Markets, accepted Review of Financial Studies.[Link][code][slides][appendix
  2. Bryan Kelly, Hanno Lustig and Stijn VanNieuwerburgh (2016), Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees, American Economic Review [Link]  
  3. Bernard Herskovic, Bryan Kelly, Hanno Lustig and Stijn VanNieuwerburgh (2015), The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications, Journal of Financial Economics, forthcoming. [Link
  4. Priyank Gandhi and Hanno Lustig (2015), Size Anomalies in Bank Stock Returns, Journal of Finance. [Link] [Reply to Goyal][Identifying Banks in CRSP[Program Code for `Size Anomalies in Bank Stock Returns] [Portfolio Data for `Size Anomalies in Bank Stock Returns]
  5. Yi-Li Chien, Harold Cole and Hanno Lustig (2015), Implications of heterogeneity in preferences, beliefs and asset trading in an endowment economy, Review of Economic Dynamics.[Link]
  6. Hanno Lustig, Nick Roussanov and Adrien Verdelhan (2013), Countercyclical Currency Risk PremiaJournal of Financial Economics.[Link]
  7. Hanno Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan (2013), The Wealth-Consumption RatioReview of Asset Pricing Studies.[Link]
  8. Matthias Fleckenstein, Francis Longstaff and Hanno Lustig (2014), Why does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle, Journal of Finance [Link]
  9. YiLi Chien, Hal Cole and Hanno Lustig (2012), Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Rebalancing? American Economic Review, forthcoming [Link] 
  10. Hanno Lustig and Adrien Verdelhan (2012), Business Cycle Variation in the Risk-Return Trade-Off, Journal of Monetary Economics. [Link]
  11. Hanno Lustig, Nick Roussanov and Adrien Verdelhan. (2011), Common Risk Factors in Currency Markets, Review of Financial Studies [Link]
  12. YiLi Chien, Hal Cole and Hanno Lustig (2011), A Multiplier Approach to Understanding the Macro Implications of Household Finance. Review of Economic Studies [Link]
  13. Hanno Lustig, Chad Syverson and Stijn Van Nieuwerburgh. (2010). Technological Change and the Growing Inequality in Managerial Compensation. Journal of Financial Economics. [Link]
  14. Dirk Krueger and Hanno Lustig. (January 2010). When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?. Journal of Economic Theory, [Link]
  15. Hanno Lustig and Stijn Van Nieuwerbugh. (April 2010). How Much Does Household Collateral Constrain Regional Risk Sharing?. Review of Economic Dynamics, [Link]
  16. YiLi Chien and Hanno Lustig. (2009). The Market Price of Aggregate Risk and the Wealth Distribution. Review of Financial Studies, [Link]
  17. Hanno Lustig and Adrien Verdelhan. (2007). The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk. American Economic Review, [Link]
  18. Hanno Lustig and Adrien Verdelhan. (2012). The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk: A ReplyAmerican Economic Review,[Link]
  19.   Hanno Lustig, Chris Sleet and Sevin Yeltekin. (2008). Fiscal Hedging with Nominal Assets. Journal of Monetary Economics, [Link]
  20. Hanno Lustig and Stijn Van Nieuwerburgh. (2006). The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street. Review of Financial Studies, [Link]
  21. Hanno Lustig and Stijn Van Nieuwerburgh. (2005). Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perspective. Journal of Finance, [Link]


  1. Hanno Lustig and Adrien Verdelhan. (2008). Discussion of Carry Trades and Currency Crashes. NBER Macro Annual, [Link]
  2. Dirk Krueger and Hanno Lustig and Fabrizio Perri. (2008). Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data. Journal of the European Economic Association, [Link]
  3. Hanno Lustig and Adrien Verdelhan. (2006). Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution. JEEA Papers and Proceedings[Link]
  4. Ralph S. J. Koijen, Hanno Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan. (2010).  Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk." American Economic Review, Papers and Proceedings [Link]