Lars Lochstoer

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We build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases in producers' hedging demand or speculators' capital constraints increase hedging costs via price-pressure on futures. These in turn affect producers' equilibrium hedging and supply(More)
Value stocks have higher exposure to innovations in the nominal bond risk premium than growth stocks. Since the nominal bond risk premium measures cyclical variation in the market’s assessment of future output growth, this results in a value risk premium provided that good news about future output lowers the marginal utility of wealth today. In support of(More)
This paper investigates the effect of short-sale constraints on price efficiency. We use a unique global dataset on equity lending collected from several custodians from January 2004 to June 2006. This information is available weekly for 17,015 stocks from 26 countries. Our main findings are as follows. Stocks with limited lending supply and high borrowing(More)
In this paper, we analyze the usefulness of technical analysis, specifically the widely employed moving average trading rule from an asset allocation perspective. We show that, when stock returns are predictable, technical analysis adds value to commonly used allocation rules that invest fixed proportions of wealth in stocks. When uncertainty exists about(More)
This paper studies the asset pricing implications of parameter learning in general equilibrium macro-finance models. Learning about the structural parameters governing the exogenous endowment process introduces long-run risks in the subjective consumption dynamics, as posterior mean beliefs are martingales and shocks to mean beliefs are permanent. These(More)
The large and growing literature on hedge funds has primarily analyzed data from publicly available datasets, to which hedge funds self-report. This paper analyzes a new dataset of transactions between 1998 and the present, from one of the only known venues for secondary trading of ownership stakes in hedge funds. Transactions are conducted at the end of(More)
Recent empirical evidence suggest that the young update beliefs about macro outcomes more in response to aggregate shocks than the old. We embed this form of ’this time is different’-bias in an overlapping generations general equilibrium macro-finance model where agents have recursive preferences and are unsure about the specification of the exogenous(More)
W show that U.S. stock and Treasury futures prices respond sharply to recurring stale information releases. In particular, we identify a unique macroeconomic series—the U.S. Leading Economic Index® (LEI)— which is released monthly and constructed as a summary statistic of previously released inputs. We show that a front-running strategy that trades S&P 500(More)
Recent empirical evidence suggest that the young update beliefs about macro outcomes more in response to aggregate shocks than the old. We embed this form of experiential learning bias in a general equilibrium macro-…nance model where agents have recursive preferences and are unsure about the speci…cation of the exogenous aggregate stochastic process. The(More)