Hanno Lustig

Associate Professor

Phone: (310) 206-6077

hanno.lustig@anderson.ucla.edu

Biography

Hanno Lustig joined Anderson finance in 2008. Prior to that, he taught at the University of Chicago and the UCLA Economics department. He graduated in 2002 from Stanford University with a PhD in economics. He has worked at the intersection of macroeconomics and finance. Recently, his research has focused on the global currency carry trade. In addition, Lustig has explored the impact of government guarantees on the pricing of tail risk borne by large financial institutions. 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.

Education

Ph.D. Economics, 2002, Stanford University
M.S. Economics, 1997, Catholic University of Louvain, Belgium
M.A. Economics, 1995, Catholic University of Louvain, Belgium
B.S. Economic Sciences, 1993, University Faculties St-Ignatius Antwerp, Belgium

Interests

Asset Pricing, Exchange Rates

Recognition

1) 2009 Terker Family Prize (First Prize) for `Common Risk Factors in Currency Markets' awarded by the Rodney. L. White Center for Financial research at Wharton

2) 2010 NASDAQ OMX award for the best paper on Asset Pricing for `Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?'

  • Hanno Lustig and Adrien Verdelhan. (2007). The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk. American Economic Review, [ Link ]
  • 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 ]
  • 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 ]
  • Hanno Lustig and Stijn Van Nieuwerburgh. (2005). Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perspective. Journal of Finance, [ Link ]
  • YiLi Chien and Hanno Lustig. (2010). The Market Price of Aggregate Risk and the Wealth Distribution. Review of Financial Studies, [ Link ]
  • Hanno Lustig, Chris Sleet and Sevin Yeltekin. (2008). Fiscal Hedging with Nominal Assets. Journal of Monetary Economics, [ Link ]
  • Hanno Lustig and Adrien Verdelhan. (2008). Discussion of Carry Trades and Currency Crashes. NBER Macro Annual, [ Link ]
  • 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 ]
  • 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 ]
  • Hanno Lustig and Stijn Van Nieuwerbugh. (April 2010). How Much Does Household Collateral Constrain Regional Risk Sharing?. Review of Economic Dynamics, [ Link ]
  • Hanno Lustig, Chad Syverson and Stijn VanNieuwerburgh. (2010). Technological Change and the Growing Inequality in Managerial Compensation. Journal of Financial Economics, forthcoming. [ Link ]
  • YiLi Chien, Harold Cole and Hanno Lustig. (2011). A Multiplier Approach to Understanding the Macro Implications of Household Finance. Review of Economic Studies, [ Link ]
  • Hanno Lustig, Nick Roussanov and Adrien Verdelhan. (2011). Common Risk Factors in Currency Markets. Review of Financial Studies, [ Link ]
  • Antje Berndt, Hanno Lustig and Sevin Yeltekin. (2011). How does the U.S. government finance fiscal shocks?. American Economic Journal: Macroeconomics, [ Link ]
  • Yi-Li Chien, Hal Cole and Hanno Lustig. Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Rebalancing?. forthcoming American Economic Review, [ Link ]
  • Matthias Fleckenstein, Francis Longstaff and Hanno Lustig. Why does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle. Journal of Finance (forthcoming), [ Link ]
  • Hanno Lustig and Priyank Gandhi. (forthcoming). Size Anomalies in U.S. Bank Stock returns. Journal of Finance, [ Link ]
  • Hanno Lustig, Adrien Verdelhan and Stijn Van Nieuwerburgh. (forthcoming). The Wealth-Consumption Ratio. Review of Asset Pricing Studies, [ Link ]
  • Hanno Lustig, Nick Roussanov and Adrien Verdelhan. (forthcoming). Countercyclical Currency Risk Premia. Journal of Financial Economics, [ Link ]

Video: Hanno Lustig

  • Hanno Lustig
    TIME: 7 min. 16 sec.
    What is the Dollar Value of ‘Too Big to Fail’ for the Financial Sector? A look at Option Markets
    Hanno Lustig, Associate Professor of Finance

Video

  • Hanno Lustig
    TIME: 11 min. 55 sec.
    Researchers Find “Massive” Arbitrage in U.S. Treasuries
    Hanno Lustig, Associate Professor of Finance