Lars A. Lochstoer

University of California, Los Angeles (UCLA) - Anderson School of Management

Associate Professor of Finance

110 Westwood Plaza

Los Angeles, CA 90095-1481

United States

SCHOLARLY PAPERS

13

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5,542

SSRN CITATIONS
Rank 1,590

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Top 1,590

in Total Papers Citations

383

CROSSREF CITATIONS

400

Scholarly Papers (13)

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper
Number of pages: 57 Posted: 14 Mar 2008 Last Revised: 15 Dec 2015
ProfessorNew York University - Leonard N. Stern School of Business, Imperial College London and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 874 (35,151)
Citation 5

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Corporate Hedging, Commodity Pricing, Default Risk, Incomplete Markets, Limits to Arbitrage

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 51 Posted: 09 Mar 2009 Last Revised: 08 Jan 2013
ProfessorNew York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London
Downloads 554 (64,472)
Citation 7

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commodities, hedging, limits to arbitrage, oil and gas, futures

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

NYU Working Paper No. 2451/29543
Number of pages: 57 Posted: 10 Sep 2013
ProfessorNew York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London
Downloads 59 (464,666)

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Limits to Arbitrage and Hedging: Evidence from Commodity Markets

NBER Working Paper No. w16875
Number of pages: 57 Posted: 14 Mar 2011 Last Revised: 12 Aug 2021
ProfessorNew York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London
Downloads 46 (520,350)
Citation 4

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Limits to Arbitrage and Hedging: Evidence from Commodity Markets

Number of pages: 57 Posted: 15 Jul 2009
ProfessorNew York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London
Downloads 1 (850,441)
Citation 17
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Commodities, Futures, Hedging, Limits to Arbitrage

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

NYU Working Paper No. 2451/29543, Columbia Business School Research Paper No. 13-48
Posted: 26 Jun 2013
ProfessorNew York University - Leonard N. Stern School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and Imperial College London

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2.

What Drives Anomaly Returns?

Columbia Business School Research Paper No. 16-50, 8th Miami Behavioral Finance Conference 2017, Journal of Finance, Forthcoming
Number of pages: 88 Posted: 13 Jul 2016 Last Revised: 22 Aug 2019
Lars A. Lochstoer and Paul C. Tetlock
University of California, Los Angeles (UCLA) - Anderson School of Management and Columbia Business School - Finance
Downloads 1,056 (27,300)
Citation 11

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anomalies, expected stock returns, efficient portfolio, present value, return decomposition, cash flow news, discount rate news

3.
Downloads 590 ( 60,189)
Citation 2

Volatility Expectations and Returns

Number of pages: 84 Posted: 30 Oct 2019 Last Revised: 12 Dec 2020
Lars A. Lochstoer and Tyler Muir
University of California, Los Angeles (UCLA) - Anderson School of Management and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 579 (60,902)
Citation 2

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Volatility Expectations and Returns

NBER Working Paper No. w28102
Number of pages: 85 Posted: 16 Nov 2020 Last Revised: 18 Nov 2021
Lars A. Lochstoer and Tyler Muir
University of California, Los Angeles (UCLA) - Anderson School of Management and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 11 (755,741)
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4.

Investor Inattention and the Market Impact of Summary Statistics

Management Science, Forthcoming
Number of pages: 29 Posted: 27 Mar 2008 Last Revised: 17 Sep 2011
IDC Herzliya - Arison School of Business, University of Washington - Department of Finance and Business Economics, University of California, Los Angeles (UCLA) - Anderson School of Management and The Conference Board
Downloads 476 (78,552)
Citation 4

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Limited attention, macroeconomic news, informational efficiency

5.

Learning about Consumption Dynamics

Journal of Finance, Forthcoming
Number of pages: 71 Posted: 17 Mar 2010 Last Revised: 29 Jan 2016
Michael S. Johannes, Lars A. Lochstoer and Yiqun Mou
Columbia Business School - Finance and Economics, University of California, Los Angeles (UCLA) - Anderson School of Management and Columbia Business School
Downloads 432 (88,164)
Citation 28

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6.

Asset Pricing When 'This Time is Different'

Swiss Finance Institute Research Paper No. 13-73, Columbia Business School Research Paper No. 14-8
Number of pages: 70 Posted: 02 Jan 2014 Last Revised: 29 Jan 2016
Pierre Collin-Dufresne, Michael Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 425 (89,856)
Citation 17

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Asset pricing

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Number of pages: 45 Posted: 18 Mar 2012 Last Revised: 19 Sep 2015
Pierre Collin-Dufresne, Michael Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 263 (151,049)

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Parameter learning, asset pricing, general equilibrium

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Netspar Discussion Paper No. 05/2012-039
Number of pages: 69 Posted: 26 Nov 2012 Last Revised: 05 Apr 2013
Pierre Collin-Dufresne, Michael Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 91 (363,496)

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Parameter Learning in General Equilibrium: The Asset Pricing Implications

NBER Working Paper No. w19705
Number of pages: 70 Posted: 10 Dec 2013 Last Revised: 05 Nov 2021
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 12 (747,218)
Citation 42

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8.

Long-Run Risk Through Consumption Smoothing

EFA 2007 Ljubljana Meetings Paper
Number of pages: 67 Posted: 27 Feb 2007 Last Revised: 27 Jul 2011
Georg Kaltenbrunner and Lars A. Lochstoer
London Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 330 (120,004)
Citation 57

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Asset Pricing, Long-Run Risk, Asset Prices and the Macroeconomy

Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

Number of pages: 59 Posted: 24 Dec 2018 Last Revised: 07 Aug 2020
Mikhail Chernov, Lars A. Lochstoer and Stig H.R. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Norwegian School of Economics (NHH)
Downloads 151 (251,689)

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multi-horizon returns, linear factor models, stochastic discount factor

Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

NBER Working Paper No. w25361
Number of pages: 60 Posted: 17 Dec 2018 Last Revised: 18 Oct 2021
Mikhail Chernov, Lars A. Lochstoer and Stig H.R. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Norwegian School of Economics (NHH)
Downloads 25 (642,679)
Citation 1

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Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

Number of pages: 62 Posted: 11 Dec 2018 Last Revised: 16 Aug 2020
Mikhail Chernov, Lars A. Lochstoer and Stig H.R. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Norwegian School of Economics (NHH)
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Citation 1
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linear factor models, multi-horizon returns, Stochastic discount factor

10.

Expected Returns and the Business Cycle: Heterogeneous Goods and Time-Varying Risk Aversion

Number of pages: 53 Posted: 04 Nov 2008
Lars A. Lochstoer
University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 90 (362,900)
Citation 4

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Asset Pricing, Consumption, Heterogeneous Goods, Habit Formation, Predictability,

The Real Explanation of Nominal Bond-Stock Puzzles

Number of pages: 60 Posted: 22 Jul 2021
Mikhail Chernov, Lars A. Lochstoer and Dongho Song
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
Downloads 56 (476,541)

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Consumption dynamics, Stocks, Bonds, Term Structure

The Real Channel for Nominal Bond-Stock Puzzles

NBER Working Paper No. w29085
Number of pages: 60 Posted: 26 Jul 2021 Last Revised: 22 Dec 2021
Mikhail Chernov, Lars A. Lochstoer and Dongho Song
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
Downloads 7 (790,785)
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The Real Explanation of Nominal Bond-Stock Puzzles

Number of pages: 63 Posted: 22 Sep 2021
Mikhail Chernov, Lars A. Lochstoer and Dongho Song
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
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bond yield curve, bond-stock comovement, equity yield curve, permanent and transitory components of consumption

12.
Downloads 4 (783,655)

Pricing Currency Risks

NBER Working Paper No. w28260
Number of pages: 51 Posted: 21 Mar 2021 Last Revised: 18 Nov 2021
Mikhail Chernov, Magnus Dahlquist and Lars A. Lochstoer
UCLA Anderson, Stockholm School of Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 3 (825,863)
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Pricing Currency Risks

Number of pages: 57 Posted: 23 Dec 2020 Last Revised: 11 Feb 2021
Mikhail Chernov, Magnus Dahlquist and Lars A. Lochstoer
UCLA Anderson, Stockholm School of Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 1 (850,441)
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13.

Expected Returns and the Business Cycle: Heterogeneous Goods and Time-Varying Risk Aversion

The Review of Financial Studies, Vol. 22, Issue 12, pp. 5251-5294, 2009
Posted: 24 Nov 2009
Lars A. Lochstoer
University of California, Los Angeles (UCLA) - Anderson School of Management

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E2, G1