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Equity is cheap for large financial institutions
Gandhi, Priyank; Lustig, Hanno; Plazzi, Alberto - In: The review of financial studies 33 (2020) 9, pp. 4231-4271
Persistent link: https://www.econbiz.de/10012387369
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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 irrelevance of market incompleteness for the price of aggregate risk
Krueger, Dirk; Lustig, Hanno - 2006
Persistent link: https://www.econbiz.de/10003394805
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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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Too-systemic-to-fail : what option markets imply about sector-wide government guarantees
Kelly, Bryan; Lustig, Hanno; Nieuwerburgh, Stijn van - 2012
Persistent link: https://www.econbiz.de/10009577599
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Too-systemic-to-fail : what option markets imply about sector-wide government guarantees
Kelly, Bryan T.; Lustig, Hanno; Nieuwerburgh, Stijn van - In: The American economic review 106 (2016) 6, pp. 1278-1319
Persistent link: https://www.econbiz.de/10011537896
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Too-systemic-to-fail : what option markets imply about sector-wide government guarantees
Kelly, Bryan T.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2011
Persistent link: https://www.econbiz.de/10009231439
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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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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