Link to Google Scholar Webpage
Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective, with Hanno Lustig,
Nominated for the 2005 Smith Breeden Prize for the Best Paper in the Journal of Finance,
Journal of Finance, June 2005, Vol. 60 (3), pp.1167-1219
- annual data file (xls, updated August 2005)
-
quarterly data file (xls, updated August 2005)
- data appendix (pdf)
Stock Market Development and Economic Growth in Belgium, with Frans Buelens and Ludo Cuyvers,
Explorations in Economic History, January 2006, Vol. 43 (1), pp. 13-38
Inside Information and the Own Company Stock Puzzle, with Laura Veldkamp,
Journal of the European Economic Association P&P, Vol. 4(2-3), April-May 2006
Learning Asymmetries in Real Business Cycles, with Laura Veldkamp,
Journal of Monetary Economics, May 2006, Vol. 53(4), pp. 753-772
Reconciling the Return Predictability Evidence, with Martin Lettau,
Review of Financial Studies, July 2008, Vol. 21(4), pp. 1607-1652
The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street, with Hanno Lustig,
Review of Financial Studies, September 2008, Vol. 21(5), pp. 2097-2137
- separate appendix
- quarterly data (xls)
-
annual data (xls)
Information Immobility and the Home Bias Puzzle, with Laura Veldkamp,
2005 FMA Competitive Paper Award in Investments - First Prize
2006 Glucksman Institute Research Prize - First Prize
Journal of Finance, June 2009, Vol. 64 (3), pp. 1187-1215
- separate appendix
Mortgage Timing, with Ralph Koijen and Otto van Hemert,
2007-08 Glucksman Institute Research Prize - First Prize
Journal of Financial Economics, August 2009, Vol. 93 (2), pp. 292-324
Information Acquisition and Under-Diversification, with Laura Veldkamp,
Review of Economic Studies, April 2010, Vol. 77 (2), pp. 779-805
How Much Does Household Collateral Constrain Regional Risk Sharing?, with Hanno Lustig,
Review of Economic Dynamics, April 2010, Vol. 13(2), pp. 265-294
- Separate appendix for non-separable preferences
-
data appendix (pdf)
Long-Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk, with Ralph Koijen, Hanno Lustig, and Adrien Verdelhan,
American Economic Review P&P, May 2010, Vol. 100 (2), pp. 552-556
- Online Appendix
Why Has House Price Dispersion Gone up?, with Pierre-Olivier Weill,
Review of Economic Studies, October 2010, Vol. 77 (4), pp. 1567-1606
Technological Change and the Growing Inequality in Managerial Compensation, with Hanno Lustig and Chad Syverson,
Journal of Financial Economics, March 2011, Vol 99(3), pp. 601-627
The Joy of Giving or Assisted Living? Using Strategic Surveys to Separate Bequest and Precautionary Motives, with with John Ameriks, Andrew Caplin, and Steven Laufer,
Journal of Finance, April 2011, Vol 66(2), pp. 519-561
-Internet Appendix
Predictability of Stock Returns and Cash Flows, with Ralph Koijen,
Annual Review of Financial Economics, December 2011, Vol 3, pp. 467-491
The Wealth-Consumption Ratio, with Hanno Lustig and Adrien Verdelhan,
Review of Asset Pricing Studies, 2013, vol. 3(1), pp. 38-94
Guaranteed to Fail: Fannie Mae and Freddie Mac and What to Do about Them, with V. Acharya, M. Richardson, S. Van Nieuwerburgh and L. White,
Economist Voice, 2013, vol. 10 (1), pp. 15-19
Time-Varying Fund Manager Skill, with Marcin Kacperczyk and Laura Veldkamp,
Q-group Research Grant, 2009
Journal of Finance, August 2014, vol. 69(4), pp. 1455-1484 - lead article
The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications, with Bernard Herskovic, Bryan Kelly, and Hanno Lustig,
Journal of Financial Economics, February 2016, vol. 119(2), pp. 249-283 - lead article
-
updated CIV data
Rational Attention Allocation Over the Business Cycle, with Marcin Kacperczyk and Laura Veldkamp,
Econometrica, March 2016, vol. 84(2), pp. 571-626
- separate appendix (pdf)
Breaking the Sovereign-Bank Diabolic Loop: A Case for ESBies, with Markus Brunnermeier, Luis Garicano, Philip Lane, Marco Pagano, Ricardo Reis, Tano Santos, David Thesmar, and Dimitri Vayanos,
American Economic Review P&P, May 2016, Vol. 106 (5), pp. 1-5
- Online Appendix
Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice, with Ralph Koijen and Motohiro Yogo
Netspar Grant 2010
Utah Winter finance Conference Best Paper Award 2012
Q-group Best Paper Prize (3rd prize) 2013
Journal of Finance, April 2016, Vol. 71 (2), pp. 957-1010
Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees, with Bryan Kelly and Hanno Lustig
JP Morgan Best Paper Award, WFA 2012
2014 Glucksman Institute Research Prize - First Prize
American Economic Review, June 2016, Vol. 106 (6), pp. 1278-1319
Phasing Out the GSEs, with Vadim Elenev and Tim Landvoigt,
Journal of Monetary Economics, August 2016, Vol. 81, pp. 111-132
Macroeconomic Implications of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium, with Jack Favilukis and Sydney Ludvigson
Utah Winter finance Conference Best Paper Award 2010
Journal of Political Economy, February 2017, Vol. 125 (1), pp. 140-223
ESBies: Safety in the Tranches, with Markus Brunnermeier, Sam Langfield, Marco Pagano, Ricardo Reis, and Dimitri Vayanos
Economic Policy, April 2017, Vol. 32, pp. 175-219
The Cross-Section and Time Series of Stock and Bond Returns, with Ralph Koijen and Hanno Lustig
Journal of Monetary Economics, June 2017, Vol. 88, pp. 50-69
What To Do About The GSEs, with Matthew Richardson and Lawrence White
Annual Review of Financial Economics, November 2017, Vol. 9, pp. 21-41
Are Mutual Fund Managers Paid For Investment Skill?, with Markus Ibert, Ron Kaniel, and Roine Vestman,
Review of Financial Studies, February 2018, Vol. 31(2), pp. 715-772
- Harvard Law Review
-
VoxEU
Why Are REITS Currently So Expensive?
Real Estate Economics, Spring
2019, vol. 47(1), pp. 18‐65 (lead article).
- ETF.com
Combining Life and Health Insurance, with Ralph. Koijen,
Quarterly Journal of Economics, 2020, vol. 135, pp. 913‐958.
New Methods in the Cross-Section of Stock Returns, with G. Andrew Karolyi and Stijn Van Nieuwerburgh
Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 1879–1890
Firm Volatility in Granular Networks, with Bryan Kelly and Hanno Lustig,
Journal of Political Economy, November 2020, vol. 128 (11)
Financial Fragility with SAM?, with Daniel Greenwald and Tim Landvoigt, August 2018
Journal of Finance, forthcoming
A Macroeconomic Model with Financially Constrained Producers and Intermediaries, with Vadim Elenev and Tim Landvoigt, March 2020
Econometrica, forthcomining
Out-of-town Home Buyers and City Welfare, with Jack Favilukis, July 2020
Journal of Finance, forthcoming
Valuing Private Equity Strip by Strip, with Arpit Gupta, July 2020
Journal of Finance, forthcoming
- updated dividend and gain strip data
list of Books, Book Chapters, and Conference Volume Contributions
Exercises in Recursive Macroeconomic Theory, 1st Edition, with Lars Ljungqvist, Thomas Sargent, and Pierre-Olivier Weill
Annuity Valuation Given Long-term Care Concerns and Bequest Motives, with John Ameriks, Andrew Caplin, and Steven Laufer, in Recalibrating Retirement Spending and Saving, John Ameriks and Olivia S. Mitchell, Editors, Pension Research Council, September 2008
Financial Economics, Market Efficiency and Return Predictability, with Ralph Koijen, Encyclopedia of Complexity & System Science, Robert Meyers (Ed.), 2009, pp. 3448-3456
Mortgage Origination and Securitization in the Financial Crisis, with Dwight Jaffee, Anthony Lynch, and Matthew Richardson, in Restoring Financial Stability: How to Repair a Failed System, John Wiley and Sons, 2009, edited by V. Acharya and M. Richardson, Chapter 1.
What to Do About the Government Sponsored Enterprises?, with Dwight Jaffee, Matthew Richardson, Lawrence White, and Robert Wright, in Restoring Financial Stability: How to Repair a Failed System, John Wiley and Sons, 2009, edited by V. Acharya and M. Richardson, Chapter 4.
Towards a New Architecture for U.S. Mortgage Markets: The Future of the Government Sponsored Enterprises, with Viral Acharya, Stanley Kon, Matthew Richardson, Sabri Oncu, and Lawrence White, in Regulating Wall Street, John Wiley and Sons, 2010, edited by V. Acharya, T. Cooley, M. Richardson, and I. Walter.
Consumer Financial Protection, with Thomas Cooley, Xavier Gabaix, Samuel Lee, Thomas Mertens, Vicki Morowitz, Shelle Sanatana, Anjolein Schmeits, and Robert Whitelaw, in Regulating Wall Street, John Wiley and Sons, 2010, edited by V. Acharya, T. Cooley, M. Richardson, and I. Walter.
Guaranteed To Fail: Freddie, Fannie, and the Debacle of U.S. Mortgage Finance, V. Acharya, M. Richardson, S. Van Nieuwerburgh, and L. White, Princeton University ress, March 2011
Reforming the U.S. Housing Finance System: A Proposal, with Thomas Cooley, Xavier Gabaix, Samuel Lee, Thomas Mertens, Vicki Morowitz, Shelle Sanatana, Anjolein Schmeits, and Robert Whitelaw, Viral Acharya, Matthew Richardson, and Lawrence White, in Financial Development Report 2011, World Economic Forum, Chapter 1.4
ESBies: A realistic reform of Europe's financial architecture, with Markus Brunnermeier, Luis Garicano, Philip Lane, Marco Pagano, Ricardo Reis, Tano Santos, David Thesmar, and Dimitri Vayanos Vayanos in The Future of Banking, Ed. T. Beck
The Research Agenda: Stijn Van Nieuwerburgh on Housing and the Macroeconomy, in Economic Dynamics Newsletter, vol. 13 (2), April 2012
International Capital Flows and House Prices: Theory and Evidence, Jack Favilukis, David Kohn, and Sydney Ludvigson, in Housing and the Financial Crisis, NBER, Cambridge, MA. Chapter 8, 2013
Judging the Quality of Survey Data by Comparison with "Truth" as Measured By Administrative Records: Evidence from Sweden, with Ralph Koijen and Roine Vestman,
in Improving the Measurement of Consumption Expenditures, NBER Book Series in Income and Wealth, University of Chicago Press, edited by C. Carroll, T. Crossley, and J. Sabelhaus, 2015
- SSRN paper
Housing, Finance, and the Macroeconomy, with Morris Davis, in Handbook of Regional and Urban Economics, Volume 5, Chapter 12, 2015
A review of real estate and infrastructure investments by the Norwegian Government Pension Fund Global, with Richard Stanton and Leo de Bever,
The Infrastructure Finance Challenge, NYU Stern faculty team, ed. I. Walter, Open Book Publishers, December 2016
Regulating Wall Street: CHOICE Act vs. Dodd-Frank, NYU Stern faculty team, Eds. M. Richardson, K. Schoenholtz, B. Tuckman, and L. White, March 2017
list of Papers Under Submission or revision
Affordable Housing and City Welfare, with Jack Favilukis and Pierre Mabille, May 2019
Foreign Ownership of U.S. Safe Assets: Good or Bad?, with J. Favilukis, S. Ludvigson, S. Van Nieuwerburgh, SSRN Working Paper, January 2016
Identifying the Benefits from Home Ownership: A Swedish Experiment, with Paolo Sodini, Roine Vestman, and Ulf von Lilienfeld-Toal, September 2017
Take the Q Train: Measuring the Returns from Infrastructure Investment from Real Estate, with Arpit. Gupta and Constantine Kontakosta, August 2020
The U.S. Public Debt Valuation Puzzle, with Zhengyang Jiang, Hanno Lustig, and Mindy Xiaolan Zhang, February 2019
Response to Cochrane's blog posts
list of Working Papers
Quantifying Treasury Investor Optimism, with Zhengyang Jiang, Hanno Lustig, Stijn Van Nieuwerburgh, and Mindy Xiaolan‐Zhang, January 2021
Can Housing Collateral Explain Long-Run Swings in Asset Returns?, with Hanno Lustig, December 2006, 2009 Q-Group Research Award
- separate appendix
Can the Covid Bailouts Save the Economy?, with Vadim Elenev, Tim Landvoigt, and Stijn Van Nieuwerburgh, CEPR working Paper DP14714
Manufacturing Risk-free Government Debt, with Zhengyang Jiang, Hanno Lustig, and Mindy Xiaolan Zhang, August 2020