Hanno Lustig

HannoLustig
Senior Fellow, Stanford Institute for Economic Policy Research
Spence Faculty Fellow for 2019-2020
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. In 2019, Hanno Lustig joined the NBIM Allocation Advisory board which provides the CIO Allocation Strategies of the NBIM with input regarding key areas in economics and finance that pertain to asset allocation.

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, 2008 - 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

  • Spence Faculty Fellow for 2019 - 2020
  • GSB Trust Faculty Fellow, 2016 - 2017

Publications

Journal Articles

Hanno Lustig, Adrien Verdelhan. American Economic Review. June 2019, Vol. 109, Issue 6, Pages 2208-2244.
Hanno Lustig, Adrien Verdelhan, Andreas Stathopoulos. American Economic Review (accepted). June 2019.
Hanno Lustig, Robert Richmond. Review of Financial Studies (accepted). April 1, 2019.
Barney Hartman-Glaser, Hanno Lustig, Mindy Z. Xiaolan. Journal of Finance. March 30, 2019.
YiLi Chien, Hanno Lustig, Kanda Naknoi. Journal of Monetary Economics (in press). February 2019.
Priyank Gandhi, Hanno Lustig, Alberto Plazzi. Review of Financial Studies (accepted). January 2019.
Zhengyang Jiang, Arvind Krishnamurthy, Hanno Lustig. America Economic Association Papers and Proceedings. May 2018, Vol. 108, Pages 537-541.
Matthias Fleckenstein, Francis A. Longstaff, Hanno Lustig. The Review of Financial Studies. August 2017, Vol. 30, Issue 8, Pages 2719-2760.
Ralph S. J. Koijen, Hanno Lustig, Stijn Van Nieuwerburgh. Journal of Monetary Economics . June 2017, Vol. 88, Pages 50-69.
Hanno Lustig, Michael Katz, Lars Nielson. The Review of Financial Studies. February 2017, Vol. 30, Issue 2, Pages 539-587.
Bryan T. Kelly, Hanno Lustig, Stijn Van Nieuwerburgh. American Economic Review . June 2016, Vol. 1106, Issue 6, Pages 1278-1319.
YiLi Chien, Harold Cole, Hanno Lustig. Review of Economics Dynamics. April 2016, Vol. 20, Pages 215-239.
Hanno Lustig, Bernard Herskovic, Bryan Kelly, Stijn Van Nieuwerburgh. Journal of Financial Economics. February 2016, Vol. 119, Issue 2, Pages 249-283.
Priyank Gandhi, Hanno Lustig. The Journal of Finance. March 12, 2015, Vol. 70, Issue 2, Pages 733-768.
Hanno Lustig, Matthias Fleckenstein, Francis A. Longstaff. The Journal of Finance. September 12, 2014, Vol. 69, Issue 5, Pages 2151-2197.
Hanno Lustig, Nikolai Roussanov, Adrien Verdelhan. Journal of Financial Economics. March 2014, Vol. 111, Issue 3, Pages 527-553.
Hanno Lustig, Stijn Van Nieuwerburgh, Adrien Verdelhan. The Review of Asset Pricing Studies. April 11, 2013, Vol. 3, Issue 1, Pages 38-94.
Hanno Lustig, Adrien Verdelhan. Journal of Monetary Economics. December 2012, Vol. 59, Pages S35-S49.
YiLi Chien, Harold Cole, Hanno Lustig. American Economic Review. October 2012, Vol. 102, Issue 6, Pages 2859-2896.
Berndt Antje, Hanno Lustig, Sevin Yeltekin. American Economic Journal: Macroecomics. January 2012, Vol. 4, Issue 1, Pages 69-104.
Hanno Lustig, Adrien Verdelhan. American Economic Review. December 2011, Vol. 101, Issue 7, Pages 3477-3500.
Hanno Lustig, Nikolai Roussanov, Adrien Verdelhan. The Review of Financial Studies. August 30, 2011, Vol. 24, Issue 11, Pages 3731-3777.
Hanno Lustig, Chad Syverson, Stijn Van Nieuwerburgh. The Journal of Financial Economics. March 2011, Vol. 99, Issue 3, Pages 601-627.
Yili Chien, Harold Cole, Hanno Lustig. The Review of Economic Studies. 2011, Vol. 78, Issue 1, Pages 199-234.
Hanno Lustig, Stijn Van Nieuwerburgh. Review of Economics Dynamics. April 2010, Vol. 13, Issue 2, Pages 265-294.
Hanno Lustig, YiLi Chien. The Review of Financial Studies. April 2010, Vol. 23, Issue 4, Pages 1596-1650.
Hanno Lustig, Dirk Krueger. Journal of Economic Theory. January 2010, Vol. 145, Issue 1, Pages 1-41.
Hanno Lustig, Christopher Sleet, Sevin Yeltekin. Journal of Monetary Economics. May 2008, Vol. 55, Issue 4, Pages 710-727.
Hanno Lustig, Adrien Verdelhan. American Economic Review. March 2007, Vol. 97, Issue 1, Pages 89-117.
Hanno Lustig, Stijn G. Nieuwerburgh. The Journal of Finance. May 3, 2005, Vol. 60, Issue 3, Pages 1167-1219.

Working Papers

Spending Less After (Seemingly) Bad New | PDF
Mark J. Garmaise, Yaron Levi, Hanno Lustig, October 172019
The Government Risk Premium Puzzle | PDF
Zhengyang Jiang, Hanno Lustig, Stijn Van Nieuwerburgh, Mindy Z. Xiaolan, October 102019
Dollar Safety and the Global Financial Cycle | PDF
Zhengyang Jiang, Arvind Krishnamurthy, Hanno Lustig, September 242019
Foreign Safe Asset Demand and the Dollar Exchange Rate | PDF
Zhengyang Jiang, Arvind Krishnamurthy, Hanno Lustig, March 192019
Post-FOMC Announcement Drift in U.S. Bond Markets | PDF
Jordan Brooks, Michael Katz, Hanno Lustig, December 122017
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
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

2019-20

This course teaches recent advances in asset allocation and management. We emphasize the practical implementation of asset allocation and management tools in allocating assets, selecting asset managers and managing risk. The course focuses on...

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...

2018-19

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...

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...

2017-18

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...

(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....

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...

Conferences, Talks, and Speaking Engagements

Insights by Stanford Business

June 7, 2017
Labor’s share of national income is shrinking. But don’t hit the barricades just yet.
June 28, 2016
Confident that help was pending, financial-sector investors had less incentive to buy protective options.

School News

October 6, 2015
New faculty and lecturers offer unique perspectives and experience to augment program offerings.