Finance, Economics, and Asset Pricing Research by Hanno Lustig
Hanno Lustig is Professor of Finance at Stanford Graduate School of Business and an affiliated researcher with the National Bureau of Economic Research. His academic work centers on international asset pricing, risk premia, and currency valuation under incomplete markets. More than 11,000 citations reflect Lustig’s influence across both academic finance and institutional capital markets. Notable models include his currency convenience yield framework and a stochastic discount factor approach to sovereign spreads, both widely used in global asset allocation and crypto portfolio risk modeling.
Lustig’s 2024 research explores digital currencies in international capital flows, evaluating how Bitcoin and stablecoins influence cross-border arbitrage. Recent collaborations involve empirical testing of DeFi yield volatility against short-term treasury equivalents. He has advised IMF panels on foreign exchange risk and participated in BIS-hosted roundtables on decentralized financial supervision. His teaching spans quantitative asset pricing and macro-financial policy design, with multiple awards for teaching excellence at Stanford and Yale. Lustig's theoretical work on tail risk and liquidity spirals has gained renewed attention among digital asset custodians seeking to hedge against systemic volatility.
Promises made by advanced economies are fiscally unsustainable during zero growth, Hanno Lustig notes
Hanno Lustig highlights that governments in advanced economies have made numerous risk-free commitments, such as Social Security, Medicare, and Medicaid in the U.S., which do not diminish even ...
Hanno Lustig: Hidden fee for passive investors during index inclusion in 1999 was 15 to 30 basis points
Hanno Lustig draws attention to the hidden fees encountered by passive investors when a large company with a small float is added to stock indexes. He cites data from Yahoo’s inclusion in the ...
FTSE Russell fast-tracks SpaceX index entry, Hanno Lustig notes
Hanno Lustig reports that FTSE Russell is fast-tracking SpaceX for index inclusion, which is expected to generate increased passive fund flows. According to Lustig, the expedited process, first ...
Hanno Lustig: ECB questioned on potential policy steps for fertility concerns
Hanno Lustig raises the question of whether the European Central Bank (ECB) should alter its monetary policy approach if it becomes concerned about declining fertility rates in the Eurozone. He ...
Price of global privilege could be much higher with higher defense outlays, Hanno Lustig argues
Hanno Lustig examines the potential cost associated with the so-called "exorbitant privilege," suggesting that if such privilege requires outspending adversaries on defense, the price may be ...
Hanno Lustig: BoE selling gilts to avoid BoJ-style balance sheet risks
Hanno Lustig questions the Bank of England's decision to sell gilts, arguing that the move appears driven primarily by a desire to avoid accumulating a balance sheet similar to that of the Bank of ...
Russian per-capita GDP rises from 19.6% to 55.2% of U.S., Hanno Lustig notes
Hanno Lustig raises the question of a Russian growth miracle by comparing Russia's recent economic performance to that of the U.S. He highlights that, using Krugman's logic, Russia is quickly ...
Hanno Lustig: Eurozone challenges belief in central bank independence
Hanno Lustig highlights that economists are generally trained to believe central banks succeed when they remain independent and maintain a narrowly focused mandate. He points to discussion at ...
Low rate policies and financial repression featured in Japan and globally, Hanno Lustig notes
Hanno Lustig shared his perspectives on low interest rate policies and financial repression in Japan and other regions during an episode of the Monetary Matters Podcast. He also mentioned that ...
Hanno Lustig: Ignore short-term moves in your 60/40 portfolio
Hanno Lustig suggests that investors may benefit from ignoring day-to-day fluctuations in their 60/40 portfolios. Instead, he recommends closing your eyes to daily performance checks, implying a ...
Japan funds sovereign wealth at below-market rates through BoJ, Hanno Lustig notes
Japan is operating a risky sovereign wealth fund (SWF) largely financed through borrowed funds, with the Japanese public sector issuing bank reserves at the Bank of Japan (BoJ) at below-market ...
Hanno Lustig: Pandemic-era low rates fueled house price surge and hurt young buyers
Hanno Lustig argues that the pandemic period was especially damaging for younger generations seeking to buy homes. He explains that while low interest rates might seem to make housing more ...
Eurobonds face major barriers to adoption, Hanno Lustig writes
Sovereign governments typically do not issue joint debt, says Hanno Lustig. He notes that households rarely do so as well, citing good reasons for this common practice. Lustig questions the ...
Hanno Lustig: Eurozone bond market needs accurate risk pricing
Hanno Lustig stated that the Eurozone requires a bond market in which the marginal Euro borrowed by countries like Belgium or France is priced in a way that reflects the true credit risk of each ...
Hanno Lustig highlights need for clearer Fed intervention rules
Hanno Lustig emphasizes the urgency for clear regulations surrounding the Federal Reserve's interventions in the financial sector. He highlights concerns over the recent increase in improvised ...
Hanno Lustig examines S&P 500 10-year return outlook
Hanno Lustig presents an analysis of the S&P 500's future returns by examining the correlation between the price-to-earnings (P/E) ratio and subsequent market performance. While short-term ...
Hanno Lustig: Bitcoin faces sell-off amid shutdown fears
Hanno Lustig draws attention to the volatile nature of Bitcoin, citing a headline about a sell-off. Concerns over a government shutdown and slowing economic growth are blamed for the decline in ...
Hanno Lustig warns complex models obscure macro-economy insights
Economist Hanno Lustig underscores the challenges in understanding macroeconomic trends when models become overly complex. He suggests that simple models serve a crucial role in clarifying ...
Hanno Lustig: Valuation multiples up as real rates decline
Hanno Lustig, a notable finance expert, explains how declining real interest rates over the past 30 years have influenced valuation multiples. He suggests that as real rates decrease, valuation ...
Hanno Lustig showcases Chris Kontz passive investing study impacts
Hanno Lustig, a well-regarded scholar, draws interest to his PhD student Chris Kontz and Kontz's latest job market paper. The paper assesses the effects of increased passive investing on the ...
Hanno Lustig scrutinizes credit card records amid financial unease
Hanno Lustig, an economist, expresses concern over financial trust by meticulously reviewing his credit card statements. Lustig, a well-regarded academic in finance, implies potential issues with ...
