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Hanno Lustig
Hanno Lustig
Professor, Finance
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HannoLustig
The Mizuho Financial Group Professor of Finance
Senior Fellow, Stanford Institute for Economic Policy Research
Academic Area: 
Finance

Research Statement

Hanno Lustig has worked at the intersection of macroeconomics and finance. Recently, his research has focused on understanding the forces that determine exchange rates in currency markets. His research has shown how currencies have different risk characteristics that are determined by a country's role in the global economy. These risk characteristics help to understand the behavior of exchange rates. In addition, Lustig has explored the impact of government guarantees on the pricing of tail risk borne by large financial institutions. More recently, Lustig has also worked on understanding the determinants of a firm's volatility (volatility of sales, cash flows, stock returns etc).

Research Interests

  • International Finance
  • Currency Markets
  • Asset Management
  • Volatility

Bio

Hanno Lustig joined the GSB in 2015. Prior to that, he taught at the University of Chicago, the UCLA Economics department and UCLA’s Anderson School of Management. He graduated in 2002 from Stanford University with a PhD in economics. He has been awarded the JP Morgan Award for the Best Paper on Financial Institutions and Markets in 2012 as well as the NASDAQ OMX Award for the Best Paper on Asset Pricing in 2010. Lustig is a Faculty Research Fellow at the NBER and an associate editor at the Journal of Finance and Econometrica. Francis Longstaff and Lustig were also awarded a Distinguished paper distinction as part of the Amundi Smith Breeden Prize for the best paper in the Journal of Finance on capital markets for their work on TIPS markets with Matthias Fleckenstein.

Academic Degrees

  • PhD, Economics, Stanford University, 2002
  • MS in Economics, Catholic University of Louvain (Belgium), 1997
  • MA in Economics, Catholic University of Louvain (Belgium), 1997
  • Kandidaat in de Economische Wetenschappen, UFSIA (University Faculties St-Ignatius Antwerp, Belgium), 1993

Academic Appointments

  • Professor, Stanford GSB, 2015-present
  • Professor, Anderson School of Management, UCLA, 2013-2015
  • Visiting Professor, Berkeley Haas School of Management, 2012
  • Research Associate, NBER EFG and Asset Pricing, 2010
  • Associate Professor, Anderson School of Management, UCLA, 2010
  • Assistant Professor, Anderson School of Management, UCLA, 22008-2010
  • Assistant Professor, Economics, UCLA< 2004-2008
  • Faculty Research Fellow, NBER EFG and Asset Pricing, 2003-2010
  • Assistant Professor, Economics, University of Chicago, 2002-2004

Awards and Honors

  • GSB Trust Faculty Fellow for 2016-2017

Publications

Journal Articles

Deflation Risk
Matthias Fleckenstein, Francis A. Longstaff, Hanno Lustig. The Review of Financial Studies. August 2017, Vol. 30, Issue 8, Pages 2719-2760.
The Cross-Section and Time-Series of Stock and Bond Returns
Ralph S. J. Koijen, Hanno Lustig, Stijn Van Nieuwerburgh. Journal of Monetary Economics . June 2017, Vol. 88, Pages 50-69.
Are Stocks Real Assets? Sticky Discount Rates in Stock Markets
Hanno Lustig, Michael Katz, Lars Nielson. The Review of Financial Studies. February 2017, Vol. 30, Issue 2, Pages 539-587.
Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees
Bryan T. Kelly, Hanno Lustig, Stijn Van Nieuwerburgh. American Economic Review . June 2016, Vol. 1106, Issue 6, Pages 1278-1319.
Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy
YiLi Chien, Harold Cole, Hanno Lustig. Review of Economics Dynamics. April 2016, Vol. 20, Pages 215-239.
The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
Hanno Lustig, Bernard Herskovic, Bryan Kelly, Stijn Van Nieuwerburgh. Journal of Financial Economics. February 2016, Vol. 119, Issue 2, Pages 249-283.
Size Anomalies in U.S. Bank Stock Returns
Priyank Gandhi, Hanno Lustig. The Journal of Finance. March 12, 2015, Vol. 70, Issue 2, Pages 733-768.
The TIPS-Treasury Bond Puzzle
Hanno Lustig, Matthias Fleckenstein, Francis A. Longstaff. The Journal of Finance. September 12, 2014, Vol. 69, Issue 5, Pages 2151-2197.
Countercyclical Currency Risk Premia
Hanno Lustig, Nikolai Roussanov, Adrien Verdelhan. Journal of Financial Economics. March 2014, Vol. 111, Issue 3, Pages 527-553.
The Wealth-Consumption Ratio
Hanno Lustig, Stijn Van Nieuwerburgh, Adrien Verdelhan. The Review of Asset Pricing Studies. April 11, 2013, Vol. 3, Issue 1, Pages 38-94.
Business Cycle Variation in the Risk-Return Trade-Off
Hanno Lustig, Adrien Verdelhan. Journal of Monetary Economics. December 2012, Vol. 59, Pages S35-S49.
Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?
YiLi Chien, Harold Cole, Hanno Lustig. American Economic Review. October 2012, Vol. 102, Issue 6, Pages 2859-2896.
How Does the US Government Finance Fiscal Shocks?
Berndt Antje, Hanno Lustig, Sevin Yeltekin. American Economic Journal: Macroecomics. January 2012, Vol. 4, Issue 1, Pages 69-104.
The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply
Hanno Lustig, Adrien Verdelhan. American Economic Review. December 2011, Vol. 101, Issue 7, Pages 3477-3500.
Common Risk Factors in Currency Markets
Hanno Lustig, Nikolai Roussanov, Adrien Verdelhan. The Review of Financial Studies. August 30, 2011, Vol. 24, Issue 11, Pages 3731-3777.
Technological Change and the Growing Inequality in Managerial Compensation
Hanno Lustig, Chad Syverson, Stijn Van Nieuwerburgh. The Journal of Financial Economics. March 2011, Vol. 99, Issue 3, Pages 601-627.
A Multiplier Approach to Understanding the Macro Implications of Household Finance
Yili Chien, Harold Cole, Hanno Lustig. The Review of Economic Studies. 2011, Vol. 78, Issue 1, Pages 199-234.
How much does household collateral constrain regional risk sharing?
Hanno Lustig, Stijn Van Nieuwerburgh. Review of Economics Dynamics. April 2010, Vol. 13, Issue 2, Pages 265-294.
The Market Price of Aggregate Risk and the Wealth Distribution
Hanno Lustig, YiLi Chien. The Review of Financial Studies. April 2010, Vol. 23, Issue 4, Pages 1596-1650.
When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
Hanno Lustig, Dirk Krueger. Journal of Economic Theory. January 2010, Vol. 145, Issue 1, Pages 1-41.
Fiscal hedging with nominal assets
Hanno Lustig, Christopher Sleet, Sevin Yeltekin. Journal of Monetary Economics. May 2008, Vol. 55, Issue 4, Pages 710-727.
The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
Hanno Lustig, Adrien Verdelhan. American Economic Review. March 2007, Vol. 97, Issue 1, Pages 89-117.
Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective
Hanno Lustig, Stijn G. Nieuwerburgh. The Journal of Finance. May 3, 2005, Vol. 60, Issue 3, Pages 1167-1219.

Working Papers

Post-FOMC Announcement Drift in U.S. Bond Markets | PDF
Jordan Brooks, Michael Katz, Hanno Lustig, December 122017
Foreign Safe Asset Demand for U.S. Treasurys and the Dollar | PDF
Zhengyang Jiang, Arvind Krishnamurthy, Hanno Lustig, December 42017
The Term Structure of Currency Carry Trade Risk Premia | PDF
Hanno Lustig, Andreas Stathopoulos, Adrien Verdelhan, October 2017
Complex Asset Markets | PDF
Andrea L. Eisdeldt, Hanno Lustig, Lei Zhang, May 232017
Capital Share Dynamics When Firms Insure Workers | PDF
Barney Hartman-Glaser, Hanno Lustig, Mindy X. Zhang, April 222017
Equity is Cheap for Large Financial Institutions: The International Evidence | PDF
Priyank Gandhi, Hanno Lustig, Alberto Plazzi, June 112016
Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates? | PDF
Hanno Lustig, Adrien Verdelhan, March 12016
Why are Exchange Rates so Smooth? A Segmented Asset Markets Explanation | PDF
YiLi Chien, Hanno Lustig, Kanda Naknoi, November 2015
Gravity in FX Rsquared: Understanding the Factor Structure in Exchange Rates | PDF
Hanno Lustig, Robert J. Richmond, October 262015
Firm Volatility in Granular Networks | PDF
Bryan T. Kelly, Hanno Lustig, Stijn Van Nieuwerburgh, March 272013

Teaching

Degree Courses

2017-18

FINANCE 305: Capital Markets and Institutional Investing

This course teaches recent advances in asset allocation and management. We focus on the practical implementation of asset allocation and management tools in allocating assets, selecting asset managers and managing risk. Students apply these tools...

FINANCE 305A: Capital Markets and Institutional Investing

(Same as FINANCE 305) This course teaches recent advances in asset allocation and management. We focus on the practical implementation of asset allocation and management tools in allocating assets, selecting asset managers and managing risk....

FINANCE 625: Empirical Asset Pricing

This course is an introduction to empirical research in asset pricing. The focus of the course is on the interplay between financial economic theory, econometric method, and that analysis of financial market data. Topics include tests of asset...

GSBGEN 697: Research Fellows Practicum

2016-17

FINANCE 310: Finance - Advanced

This advanced applications course brings recent advances in finance to bear on real-world challenges in investment management and corporate finance. The goal of this course is to develop a deeper understanding of how capital markets actually work...

FINANCE 625: Empirical Asset Pricing

This course is an introduction to empirical research in asset pricing. The focus of the course is on the interplay between financial economic theory, econometric method, and that analysis of financial market data. Topics include tests of asset...

GSBGEN 697: Research Fellows Practicum

Conferences, Talks, and Speaking Engagements

Insights by Stanford Business

writtenIs Capitalism Bad for Workers?
June 7, 2017
Labor’s share of national income is shrinking. But don’t hit the barricades just yet.
writtenHow the Big-Bank Bailout Helped Investors Save Billions on “Crash Insurance”
June 28, 2016
Confident that help was pending, financial-sector investors had less incentive to buy protective options.

School News

writtenStanford GSB Welcomes New Faculty to Enrich, Broaden its Educational Experience
October 6, 2015
New faculty and lecturers offer unique perspectives and experience to augment program offerings.

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