Lars Lochstoer

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This paper studies the asset pricing implications of Bayesian learning about the parameters, states, and models determining aggregate consumption dynamics. Our approach is empirical and focuses on the quantitative implications of learning in real-time using post World War II consumption data. We characterize this learning process and provide empirical(More)
We propose an arbitrage-free stochastic discount factor (SDF) model that jointly prices the cross-section of returns on portfolios of stocks sorted on book-to-market dimension, the cross-section of government bonds sorted by maturity, the dynamics of bond yields, and time series variation in expected stock and bond returns. Its pricing factors are motivated(More)
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)
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)
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 makes two contributions: (1) it presents estimates of a continuous-time stochastic-volatility jump-diffusion process (SVJD) using a simulation-based estimator, and (2) it shows that misspecified models that allow for jumps, but not stochastic volatility, can give very bad estimates of the true process. Simulation-based estimation is a very(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)
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 di¤erent'-bias in an overlapping generations general equilibrium macro-…nance model where agents have recursive preferences and are unsure about the speci…cation of the exogenous(More)
We document that a recurring release of already publicly available macro economic information, in the form of the U.S. Leading Economic Index (LEI), has a significant impact on aggregate stock returns, volatility and volume. This is despite the fact that a) it is widely known that the index is based on previously published data, and b) the exact procedure(More)
We examine the implications of introducing anticipated productivity shocks for the ability of a real-business-cycle model to explain asset prices. Our theoretical framework is a real-business-cycle model in which agents receive news about future productivity shocks. We show that incorporating anticipated shocks, or news, creates a persistent predictable(More)