Hanno Lustig

HannoLustig
Professor of Finance
GSB Trust Faculty Fellow for 2016-2017
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

Publications

Journal Articles

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 Association. October 2012, Vol. 102, Issue 6, Pages 2859-2896.
Hanno Lustig, Adrien Verdelhan. American Economic Association. 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 Association. 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

Equity is Cheap for Large Financial Institutions: The International Evidence | PDF
Priyank Gandhi, Hanno Lustig, Alberto Plazzi, June 112016
Nominal Exchange Rate Stationarity and Long-Term Bond Returns | PDF
Hanno Lustig, Andreas Stathopoulos, Adrien Verdelhan, January 2016
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
Are Stocks Real Assets? Sticky Discount Rates in Stock Markets | PDF
Michael Katz, Hanno Lustig, Lars N. Nielsen, September 12015
Firm Volatility in Granular Networks | PDF
Bryan T. Kelly, Hanno Lustig, Stijn Van Nieuwerburgh, March 272013
Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees | PDF
Bryan T. Kelly, Hanno Lustig, Stijn Van Nieuwerburgh, March 212012

Teaching

Degree Courses

2016-17

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...

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...

2015-16

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

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...

Insights by Stanford Business

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.