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The cross-section and time series of stock and bond returns
Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2010
"We propose an arbitrage-free stochastic discount factor (SDF) model that jointly prices the cross-section of returns on portfolios of stocks sorted on book-to-market dimension, the cross-section of government bonds sorted by maturity, the dynamics of bond yields, and time series variation in...
Persistent link: https://www.econbiz.de/10003933912
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The cross-section and time-series of stock and bond returns
Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2012
Persistent link: https://www.econbiz.de/10009577595
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Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy
Chien, YiLi; Cole, Harold L.; Lustig, Hanno - 2014
Persistent link: https://www.econbiz.de/10010394652
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Firm volatility in granular networks
Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - In: Journal of political economy 128 (2020) 11, pp. 4097-4162
Persistent link: https://www.econbiz.de/10012599940
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The common factor in idiosyncratic volatility : quantitative asset pricing implications
Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - In: Journal of financial economics 119 (2016) 2, pp. 249-283
Persistent link: https://www.econbiz.de/10011589843
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The impact of heterogeneity of discount factors and asset returns on inequality
Ferreira, Pedro Cavalcanti; Guimarães, Guido Penido - In: Applied economics 50 (2018) 4, pp. 371-388
Persistent link: https://www.econbiz.de/10011846955
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Firm volatility in granual networks
Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - 2017
Persistent link: https://www.econbiz.de/10011739882
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Implications of heterogeneity in preferences, beliefs and asset trading technologies in an endowment economy
Chien, YiLi; Cole, Harold L.; Lustig, Hanno - In: Review of economic dynamics 20 (2016), pp. 215-239
Persistent link: https://www.econbiz.de/10011635806
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The cross-section and time series of stock and bond returns
Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - In: Journal of monetary economics 88 (2017), pp. 50-69
Persistent link: https://www.econbiz.de/10011799154