Lars Lochstoer

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  • Ralph S J Koijen, John Campbell, John Cochrane, George Constantinides, Wayne Ferson, Eugene Fama +13 others
  • 2009
We show that the cross-section of expected returns of stock portfolios sorted along the book-to-market dimension can be explained using a factor, which we call the KLN factor, that is a linear combination of (contemporaneous) forward rates. It has a correlation of 82% with the Cochrane-Piazzesi (2005, CP) factor, itself a linear combination of the same(More)
This paper studies the asset pricing implications of parameter learning in general equilibrium macro-…nance 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)
Frictions in the labor market are important for understanding the equity premium in the financial market. We embed the Diamond-Mortensen-Pissarides search framework into a dynamic stochastic general equilibrium model with recursive preferences. The model produces realistic equity premium and stock market volatility, as well as a low and stable interest(More)
We provide new estimates of the importance of growth rate and uncertainty shocks for developed countries. The shocks we estimate are large and correspond to well-known macroeconomic episodes such as the Great Moderation and the productivity slowdown. We compare our results to earlier estimates of " long-run risks " and assess the implications for asset(More)
W e 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(More)
  • Martin Lettau, Sydney C Ludvigson, Ma Sai, Nyu, John Y Campbell, Kent Daniel +3 others
  • 2015
Value and momentum strategies earn persistently large return premia yet are negatively correlated. Why? We show that a quantitatively large fraction of the negative correlation is explained by strong opposite signed exposure of value and momentum portfolios to a single aggregate risk factor based on low frequency ‡uctuations in the national capital share.(More)
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