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Housing collateral, consumption insurance and risk premia : an empirical perspective

Lustig, Hanno; Nieuwerburgh, Stijn van - 2003

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Housing collateral and consumption insurance across US regions

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A theory of housing collateral, consumption insurance and risk premia

Lustig, Hanno; Nieuwerburgh, Stijn van - 2004

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Housing collateral, consumption insurance and risk premia

Lustig, Hanno (contributor); … - 2002 - [Elektronische Ressource]

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The returns on human capital : good news on Wall Street is bad news on main street

Lustig, Hanno; Nieuwerburgh, Stijn van - 2005

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Housing collateral, consumption insurance, and risk premia : an empirical perspective

Lustig, Hanno; Nieuwerburgh, Stijn van - In: The journal of finance : the journal of the American … 60 (2005) 3, pp. 1167-1219

Persistent link: https://www.econbiz.de/10002888793

The returns on human capital : good news on Wall Street is bad news on Main Street

Lustig, Hanno; Nieuwerburgh, Stijn van - In: The review of financial studies 21 (2008) 5, pp. 2097-2137

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The common factor in idiosyncratic volatility : quantitative asset pricing implications

Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - In: Journal of financial economics 119 (2016) 2, pp. 249-283

Persistent link: https://www.econbiz.de/10011589843

The cross-section and time series of stock and bond returns

Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - In: Journal of monetary economics 88 (2017), pp. 50-69

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A Theory of Housing Collateral, Consumption Insurance and Risk Premia

Lustig, Hanno; Nieuwerburgh, Stijn van - 2021

In a model with housing collateral, a decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the conditional market price of risk. This collateral mechanism can quantitatively replicate the conditional and the...

Persistent link: https://www.econbiz.de/10013224421