Martin Lettau
Personal Details
First Name: | Martin |
Middle Name: | |
Last Name: | Lettau |
Suffix: | |
RePEc Short-ID: | ple572 |
[This author has chosen not to make the email address public] | |
Terminal Degree: | 1994 Department of Economics; Princeton University (from RePEc Genealogy) |
Affiliation
Finance Group
Walter A. Haas School of Business
University of California-Berkeley
Berkeley, California (United States)http://www.haas.berkeley.edu/groups/finance/
RePEc:edi:fgbrkus (more details at EDIRC)
Research output
Jump to: Working papers Articles Software ChaptersWorking papers
- Martin Lettau, 2024. "3D-PCA: Factor Models with Restrictions," NBER Working Papers 32261, National Bureau of Economic Research, Inc.
- Martin Lettau, 2023. "High-Dimensional Factor Models and the Factor Zoo," NBER Working Papers 31719, National Bureau of Economic Research, Inc.
- John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2022.
"Idiosyncratic Equity Risk Two Decades Later,"
NBER Working Papers
29916, National Bureau of Economic Research, Inc.
- John Y. Campbell & Martin Lettau & Burton Malkiel & Yexiao Xu, 2023. "Idiosyncratic Equity Risk Two Decades Later," Critical Finance Review, now publishers, vol. 12(1-4), pages 203-223, August.
- Martin Lettau, 2022.
"High-Dimensional Factor Models with an Application to Mutual Fund Characteristics,"
NBER Working Papers
29833, National Bureau of Economic Research, Inc.
- Lettau, Martin, 2021. "High Dimensional Factor Models with an Application to Mutual Fund Characteristics," MPRA Paper 112192, University Library of Munich, Germany.
- Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2019.
"How the Wealth Was Won: Factor Shares as Market Fundamentals,"
CEPR Discussion Papers
14200, C.E.P.R. Discussion Papers.
- Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2019. "How the Wealth Was Won: Factor Shares as Market Fundamentals," NBER Working Papers 25769, National Bureau of Economic Research, Inc.
- Lettau, Martin & Madhavan, Ananth, 2018.
"Exchange Traded Funds 101 For Economists,"
CEPR Discussion Papers
12629, C.E.P.R. Discussion Papers.
- Martin Lettau & Ananth Madhavan, 2018. "Exchange-Traded Funds 101 for Economists," Journal of Economic Perspectives, American Economic Association, vol. 32(1), pages 135-154, Winter.
- Martin Lettau & Ananth Madhavan, 2018. "Exchange Traded Funds 101 For Economists," NBER Working Papers 24250, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney & Manoel, Paulo, 2018.
"Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?,"
CEPR Discussion Papers
13395, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson & Paulo Manoel, 2018. "Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?," NBER Working Papers 25381, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2018.
"Capital Share Risk in U.S. Asset Pricing,"
CEPR Discussion Papers
12628, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2019. "Capital Share Risk in U.S. Asset Pricing," Journal of Finance, American Finance Association, vol. 74(4), pages 1753-1792, August.
- Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2014. "Capital Share Risk in U.S. Asset Pricing," NBER Working Papers 20744, National Bureau of Economic Research, Inc.
- Lettau, Martin & Pelger, Markus, 2018.
"Estimating Latent Asset-Pricing Factors,"
CEPR Discussion Papers
12926, C.E.P.R. Discussion Papers.
- Lettau, Martin & Pelger, Markus, 2020. "Estimating latent asset-pricing factors," Journal of Econometrics, Elsevier, vol. 218(1), pages 1-31.
- Martin Lettau & Markus Pelger, 2018. "Estimating Latent Asset-Pricing Factors," NBER Working Papers 24618, National Bureau of Economic Research, Inc.
- Lettau, Martin & Pelger, Markus, 2018.
"Factors that Fit the Time Series and Cross-Section of Stock Returns,"
CEPR Discussion Papers
13049, C.E.P.R. Discussion Papers.
- Martin Lettau & Markus Pelger & Stijn Van Nieuwerburgh, 2020. "Factors That Fit the Time Series and Cross-Section of Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2274-2325.
- Martin Lettau & Markus Pelger, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," NBER Working Papers 24858, National Bureau of Economic Research, Inc.
- Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017.
"Monetary Policy and Asset Valuation,"
CEPR Discussion Papers
12275, C.E.P.R. Discussion Papers.
- Francesco Bianchi, 2017. "Monetary Policy and Asset Valuation," 2017 Meeting Papers 500, Society for Economic Dynamics.
- Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney & Bianchi, Francesco, 2018. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12671, C.E.P.R. Discussion Papers.
- Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2015.
"Origins of Stock Market Fluctuations,"
CEPR Discussion Papers
10336, C.E.P.R. Discussion Papers.
- Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2014. "Origins of Stock Market Fluctuations," NBER Working Papers 19818, National Bureau of Economic Research, Inc.
- Sydney Ludvigson & Martin Lettau & Daniel Greenwald, 2014. "The Origins of Stock Market Fluctuations," 2014 Meeting Papers 542, Society for Economic Dynamics.
- Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2015. "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," CEPR Discussion Papers 10335, C.E.P.R. Discussion Papers.
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2013.
"Conditional Risk Premia in Currency Markets and Other Asset Classes,"
CEPR Discussion Papers
9484, C.E.P.R. Discussion Papers.
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014. "Conditional risk premia in currency markets and other asset classes," Journal of Financial Economics, Elsevier, vol. 114(2), pages 197-225.
- Martin Lettau & Matteo Maggiori & Michael Weber, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers 18844, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney C. Ludvigson, 2011.
"Shocks and Crashes,"
NBER Working Papers
16996, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
- Martin Lettau & Jessica A. Wachter, 2009.
"The Term Structures of Equity and Interest Rates,"
NBER Working Papers
14698, National Bureau of Economic Research, Inc.
- Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
- Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007.
"Investor Information, Long-Run Risk, and the Term Structure of Equity,"
NBER Working Papers
12912, National Bureau of Economic Research, Inc.
- Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2015. "Investor Information, Long-Run Risk, and the Term Structure of Equity," The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 706-742.
- Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006.
"The Declining Equity Premium: What Role Does Macroeconomic Risk Play?,"
CEPR Discussion Papers
5519, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2005. "The declining equity premium: what role does macroeconomic risk play?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1653-1687, July.
- Martin Lettau & Sydney C. Ludvigson, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," 2004 Meeting Papers 644, Society for Economic Dynamics.
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," NBER Working Papers 10270, National Bureau of Economic Research, Inc.
- Mariano M. Croce & Martin Lettau & Sydney Ludvigson, 2006. "Investor Information, Long-Run Risk, and the Duration fo Risky Assets," 2006 Meeting Papers 628, Society for Economic Dynamics.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006.
"Reconciling the Return Predictability Evidence,"
NBER Working Papers
12109, National Bureau of Economic Research, Inc.
- Martin Lettau & Stijn Van Nieuwerburgh, 2008. "Reconciling the Return Predictability Evidence," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1607-1652, July.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
- Lettau, Martin & Van Nieuwerburgh, Stijn, 2005. "Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability," CEPR Discussion Papers 5355, C.E.P.R. Discussion Papers.
- Lettau, Martin & Ludvigson, Sydney, 2005.
"Euler Equation Errors,"
CEPR Discussion Papers
4922, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney Ludvigson, 2009. "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 255-283, April.
- Martin Lettau & Sydney C. Ludvigson, 2005. "Euler Equation Errors," NBER Working Papers 11606, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 5245, C.E.P.R. Discussion Papers.
- Sydney C. Ludvigson & Martin Lettau, 2005. "Euler Equation Errors," 2005 Meeting Papers 487, Society for Economic Dynamics.
- Lettau, Martin & Wachter, Jessica, 2005.
"Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium,"
CEPR Discussion Papers
4921, C.E.P.R. Discussion Papers.
- Martin Lettau & Jessica A. Wachter, 2007. "Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium," Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, February.
- Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers 302, Society for Economic Dynamics.
- Martin Lettau & Jessica Wachter, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," NBER Working Papers 11144, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney Ludvigson, 2003.
"Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption,"
NBER Working Papers
9848, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney C. Ludvigson, 2004. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," American Economic Review, American Economic Association, vol. 94(1), pages 276-299, March.
- Lettau, Martin & Ludvigson, Sydney, 2002.
"Expected Returns and Expected Dividend Growth,"
CEPR Discussion Papers
3507, C.E.P.R. Discussion Papers.
- Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
- Martin Lettau & Sydney Ludvigson, 2003. "Expected Returns and Expected Dividend Growth," NBER Working Papers 9605, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney, 2001. "Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption," CEPR Discussion Papers 3104, C.E.P.R. Discussion Papers.
- Lettau, Martin & Ludvigson, Sydney, 2001. "Measuring and Modelling Variation in the Risk-Return Trade-off," CEPR Discussion Papers 3105, C.E.P.R. Discussion Papers.
- Lettau, Martin & Ludvigson, Sydney, 2001.
"Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment,"
CEPR Discussion Papers
3103, C.E.P.R. Discussion Papers.
- Lettau, Martin & Ludvigson, Sydney, 2002. "Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 31-66, January.
- Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001.
"Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk,"
Scholarly Articles
3128707, Harvard University Department of Economics.
- John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
- John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc.
- Van Zandt, Timothy & Lettau, Martin, 2001.
"Robustness of Adaptive Expectations as an Equilibrium Selection Device,"
CEPR Discussion Papers
2882, C.E.P.R. Discussion Papers.
- Van Zandt, Timothy & Lettau, Martin, 2003. "Robustness Of Adaptive Expectations As An Equilibrium Selection Device," Macroeconomic Dynamics, Cambridge University Press, vol. 7(1), pages 89-118, February.
- Lettau, M. & Van Zandt, T., 1995. "Robustness of adaptive expectations as an equilibrium selection device," Other publications TiSEM df555a8d-4472-4491-b65e-7, Tilburg University, School of Economics and Management.
- Lettau, M. & Van Zandt, T., 1995. "Robustness of adaptive expectations as an equilibrium selection device," Discussion Paper 1995-98, Tilburg University, Center for Economic Research.
- Lettau, M. & Van Zandt, T., 1995. "Robustness of Adaptive Expections as an Equilibrium Selection Device," Papers 9598, Tilburg - Center for Economic Research.
- Nathan Barczi & Martin Lettau & Sydney C. Ludvigson, 2001. "A primer on the economics and time series econometrics of wealth effects: a comment," Staff Reports 131, Federal Reserve Bank of New York.
- Peter Woehrmann & Willi Semmler & Martin Lettau, 2000. "Large Nonparametric Estimation Of Time Varying Characteristics Of Intertemporal Asset Pricing Models," Computing in Economics and Finance 2000 8, Society for Computational Economics.
- Lettau, Martin & Ludvigson, Sydney, 1999.
"Consumption, Aggregate Wealth and Expected Stock Returns,"
CEPR Discussion Papers
2223, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney Ludvigson, 2001. "Consumption, Aggregate Wealth, and Expected Stock Returns," Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, June.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
- Martin Lettau & Sydney C. Ludvigson, 1999.
"Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying,"
Staff Reports
93, Federal Reserve Bank of New York.
- Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
- Lettau, Martin, 1998. "Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model," CEPR Discussion Papers 1884, C.E.P.R. Discussion Papers.
- Lettau, Martin, 1998.
"Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?,"
CEPR Discussion Papers
1795, C.E.P.R. Discussion Papers.
- Martin Lettau, 2001. "Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?," Staff Reports 130, Federal Reserve Bank of New York.
- Campbell, John Y & Kim, Sangjoon & Lettau, Martin, 1998.
"Dispersion and Volatility in Stock Returns: An Empirical Investigation,"
CEPR Discussion Papers
1923, C.E.P.R. Discussion Papers.
- John Y. Campbell & Martin Lettau, 1999. "Dispersion and Volatility in Stock Returns: An Empirical Investigation," NBER Working Papers 7144, National Bureau of Economic Research, Inc.
- Lettau, Martin & Uhlig, Harald, 1997.
"Preferences, Consumption Smoothing, and Risk Premia,"
CEPR Discussion Papers
1678, C.E.P.R. Discussion Papers.
- Lettau, M. & Uhlig, H.F.H.V.S., 1997. "Preferences, Consumption Smoothing and Risk Premia," Discussion Paper 1997-60, Tilburg University, Center for Economic Research.
- Lettau, M. & Uhlig, H.F.H.V.S., 1997. "Preferences, Consumption Smoothing and Risk Premia," Other publications TiSEM 129a8e4c-f593-4f03-b35b-2, Tilburg University, School of Economics and Management.
- Lettau, M., 1997.
"Comment on "The Spirit of Capitalism and Stock Market Prices" By G.S. Bakshi and Z. Chen (AER, 1996),"
Discussion Paper
1997-49, Tilburg University, Center for Economic Research.
- Lettau, M., 1997. "Comment on "The Spirit of Capitalism and Stock Market Prices" By G.S. Bakshi and Z. Chen (AER, 1996)," Other publications TiSEM 4e353018-6c52-453c-8d89-4, Tilburg University, School of Economics and Management.
- Lettau, M. & Uhlig, H.F.H.V.S., 1995.
"Can Habit Formation be Reconciled with Business Cycle Facts?,"
Discussion Paper
1995-54, Tilburg University, Center for Economic Research.
- Martin Lettau & Harald Uhlig, 2000. "Can Habit Formation be Reconciled with Business Cycle Facts?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(1), pages 79-99, January.
- Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Other publications TiSEM b152dad0-97de-48c9-bde6-6, Tilburg University, School of Economics and Management.
- Lettau, M. & Uhlig, H.F.H.V.S., 1995.
"Rule of Thumb and Dynamic Programming,"
Discussion Paper
1995-27, Tilburg University, Center for Economic Research.
- Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Rule of Thumb and Dynamic Programming," Other publications TiSEM 30ad8072-6a3b-4e5b-8227-9, Tilburg University, School of Economics and Management.
- Peter Woehrmann & Willi Semmler & Martin Lettau, "undated". "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
- Martin Lettau & Willi Semmler & University of Bielefeld, "undated". "Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market," Computing in Economics and Finance 1997 36, Society for Computational Economics.
Articles
- Lettau, Martin & Pelger, Markus, 2020.
"Estimating latent asset-pricing factors,"
Journal of Econometrics, Elsevier, vol. 218(1), pages 1-31.
- Martin Lettau & Markus Pelger, 2018. "Estimating Latent Asset-Pricing Factors," NBER Working Papers 24618, National Bureau of Economic Research, Inc.
- Lettau, Martin & Pelger, Markus, 2018. "Estimating Latent Asset-Pricing Factors," CEPR Discussion Papers 12926, C.E.P.R. Discussion Papers.
- Martin Lettau & Markus Pelger & Stijn Van Nieuwerburgh, 2020.
"Factors That Fit the Time Series and Cross-Section of Stock Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2274-2325.
- Martin Lettau & Markus Pelger, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," NBER Working Papers 24858, National Bureau of Economic Research, Inc.
- Lettau, Martin & Pelger, Markus, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," CEPR Discussion Papers 13049, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2019.
"Capital Share Risk in U.S. Asset Pricing,"
Journal of Finance, American Finance Association, vol. 74(4), pages 1753-1792, August.
- Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2014. "Capital Share Risk in U.S. Asset Pricing," NBER Working Papers 20744, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2018. "Capital Share Risk in U.S. Asset Pricing," CEPR Discussion Papers 12628, C.E.P.R. Discussion Papers.
- Martin Lettau & Ananth Madhavan, 2018.
"Exchange-Traded Funds 101 for Economists,"
Journal of Economic Perspectives, American Economic Association, vol. 32(1), pages 135-154, Winter.
- Lettau, Martin & Madhavan, Ananth, 2018. "Exchange Traded Funds 101 For Economists," CEPR Discussion Papers 12629, C.E.P.R. Discussion Papers.
- Martin Lettau & Ananth Madhavan, 2018. "Exchange Traded Funds 101 For Economists," NBER Working Papers 24250, National Bureau of Economic Research, Inc.
- Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2015.
"Investor Information, Long-Run Risk, and the Term Structure of Equity,"
The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 706-742.
- Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007. "Investor Information, Long-Run Risk, and the Term Structure of Equity," NBER Working Papers 12912, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney C. Ludvigson, 2014.
"Shocks and Crashes,"
NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
- Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014.
"Conditional risk premia in currency markets and other asset classes,"
Journal of Financial Economics, Elsevier, vol. 114(2), pages 197-225.
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," CEPR Discussion Papers 9484, C.E.P.R. Discussion Papers.
- Martin Lettau & Matteo Maggiori & Michael Weber, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers 18844, National Bureau of Economic Research, Inc.
- Lettau, Martin & Wachter, Jessica A., 2011.
"The term structures of equity and interest rates,"
Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
- Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney Ludvigson, 2009.
"Euler Equation Errors,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 255-283, April.
- Martin Lettau & Sydney C. Ludvigson, 2005. "Euler Equation Errors," NBER Working Papers 11606, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 5245, C.E.P.R. Discussion Papers.
- Sydney C. Ludvigson & Martin Lettau, 2005. "Euler Equation Errors," 2005 Meeting Papers 487, Society for Economic Dynamics.
- Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 4922, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney Ludvigson, 2008. "Code and data files for "Euler Equation Errors"," Computer Codes 08-106, Review of Economic Dynamics.
- Martin Lettau & Stijn Van Nieuwerburgh, 2008.
"Reconciling the Return Predictability Evidence,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1607-1652, July.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
- Martin Lettau & Jessica A. Wachter, 2007.
"Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium,"
Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, February.
- Lettau, Martin & Wachter, Jessica, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers 4921, C.E.P.R. Discussion Papers.
- Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers 302, Society for Economic Dynamics.
- Martin Lettau & Jessica Wachter, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," NBER Working Papers 11144, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney C., 2005. "tay's as good as cay: Reply," Finance Research Letters, Elsevier, vol. 2(1), pages 15-22, March.
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2005.
"The declining equity premium: what role does macroeconomic risk play?,"
Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1653-1687, July.
- Martin Lettau & Sydney C. Ludvigson, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," 2004 Meeting Papers 644, Society for Economic Dynamics.
- Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," CEPR Discussion Papers 5519, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," NBER Working Papers 10270, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney C., 2005.
"Expected returns and expected dividend growth,"
Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
- Martin Lettau & Sydney Ludvigson, 2003. "Expected Returns and Expected Dividend Growth," NBER Working Papers 9605, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney, 2002. "Expected Returns and Expected Dividend Growth," CEPR Discussion Papers 3507, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson, 2004.
"Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption,"
American Economic Review, American Economic Association, vol. 94(1), pages 276-299, March.
- Martin Lettau & Sydney Ludvigson, 2003. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," NBER Working Papers 9848, National Bureau of Economic Research, Inc.
- Van Zandt, Timothy & Lettau, Martin, 2003.
"Robustness Of Adaptive Expectations As An Equilibrium Selection Device,"
Macroeconomic Dynamics, Cambridge University Press, vol. 7(1), pages 89-118, February.
- Lettau, M. & Van Zandt, T., 1995. "Robustness of adaptive expectations as an equilibrium selection device," Other publications TiSEM df555a8d-4472-4491-b65e-7, Tilburg University, School of Economics and Management.
- Lettau, M. & Van Zandt, T., 1995. "Robustness of adaptive expectations as an equilibrium selection device," Discussion Paper 1995-98, Tilburg University, Center for Economic Research.
- Lettau, M. & Van Zandt, T., 1995. "Robustness of Adaptive Expections as an Equilibrium Selection Device," Papers 9598, Tilburg - Center for Economic Research.
- Van Zandt, Timothy & Lettau, Martin, 2001. "Robustness of Adaptive Expectations as an Equilibrium Selection Device," CEPR Discussion Papers 2882, C.E.P.R. Discussion Papers.
- Martin Lettau, 2003. "Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models," Economic Journal, Royal Economic Society, vol. 113(489), pages 550-575, July.
- Lettau, Martin & Ludvigson, Sydney, 2002.
"Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment,"
Journal of Monetary Economics, Elsevier, vol. 49(1), pages 31-66, January.
- Lettau, Martin & Ludvigson, Sydney, 2001. "Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment," CEPR Discussion Papers 3103, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson & Charles Steindel, 2002. "Monetary policy transmission through the consumption-wealth channel," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(May), pages 117-133.
- Lettau, Martin & Uhlig, Harald, 2002. "The Sharpe Ratio And Preferences: A Parametric Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 6(2), pages 242-265, April.
- Martin Lettau & Sydney Ludvigson, 2001.
"Consumption, Aggregate Wealth, and Expected Stock Returns,"
Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, June.
- Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
- John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001.
"Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk,"
Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
- Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Scholarly Articles 3128707, Harvard University Department of Economics.
- John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney Ludvigson, 2001.
"Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying,"
Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
- Lettau, Martin & Gong, Gang & Semmler, Willi, 2001. "Statistical estimation and moment evaluation of a stochastic growth model with asset market restrictions," Journal of Economic Behavior & Organization, Elsevier, vol. 44(1), pages 85-103, January.
- Martin Lettau & Harald Uhlig, 2000.
"Can Habit Formation be Reconciled with Business Cycle Facts?,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(1), pages 79-99, January.
- Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Discussion Paper 1995-54, Tilburg University, Center for Economic Research.
- Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Other publications TiSEM b152dad0-97de-48c9-bde6-6, Tilburg University, School of Economics and Management.
- Martin Lettau, 2000. "Cross-variable restrictions in Euler equations and risk premia," Applied Economics Letters, Taylor & Francis Journals, vol. 7(2), pages 99-101.
- Harald Uhlig & Martin Lettau, 1999. "Rules of Thumb versus Dynamic Programming," American Economic Review, American Economic Association, vol. 89(1), pages 148-174, March.
- Lettau, Martin, 1997. "Explaining the facts with adaptive agents: The case of mutual fund flows," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1117-1147, June.
Software components
- Martin Lettau & Sydney Ludvigson, 2008.
"Code and data files for "Euler Equation Errors","
Computer Codes
08-106, Review of Economic Dynamics.
- Martin Lettau & Sydney Ludvigson, 2009. "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 255-283, April.
Chapters
- Martin Lettau & Sydney C. Ludvigson, 2013.
"Shocks and Crashes,"
NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354,
National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
- Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 45 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-FMK: Financial Markets (17) 2000-03-20 2001-06-08 2005-02-27 2005-06-14 2006-04-08 2009-01-31 2013-09-26 2014-01-24 2015-02-10 2015-02-11 2015-02-11 2018-02-19 2018-05-28 2018-07-30 2018-08-27 2019-01-07 2022-05-16. Author is listed
- NEP-FIN: Finance (15) 1999-06-08 1999-08-04 2000-03-20 2001-06-08 2003-04-09 2004-02-01 2005-02-01 2005-02-27 2005-06-14 2005-06-14 2005-09-29 2005-09-29 2005-12-09 2006-04-01 2006-04-08. Author is listed
- NEP-MAC: Macroeconomics (12) 2003-07-21 2004-02-01 2004-08-02 2006-04-08 2007-02-24 2011-05-07 2014-12-24 2015-02-11 2016-09-04 2017-09-24 2018-02-26 2018-03-05. Author is listed
- NEP-RMG: Risk Management (6) 2004-02-01 2005-02-01 2005-06-14 2006-04-01 2007-01-13 2022-05-16. Author is listed
- NEP-CFN: Corporate Finance (5) 2003-03-14 2003-04-09 2005-02-01 2007-02-24 2014-01-24. Author is listed
- NEP-DGE: Dynamic General Equilibrium (5) 2004-02-01 2004-08-02 2005-06-14 2005-09-29 2009-01-31. Author is listed
- NEP-ECM: Econometrics (5) 2000-03-06 2018-05-28 2018-07-30 2022-04-25 2024-04-22. Author is listed
- NEP-ETS: Econometric Time Series (5) 1999-06-08 2005-12-09 2006-04-01 2018-07-30 2023-10-16. Author is listed
- NEP-ORE: Operations Research (5) 2016-09-04 2018-05-28 2018-06-25 2018-07-30 2018-08-27. Author is listed
- NEP-MON: Monetary Economics (4) 2009-01-31 2016-09-04 2017-09-24 2018-02-26
- NEP-CBA: Central Banking (3) 2009-01-31 2016-09-04 2018-02-26
- NEP-FOR: Forecasting (3) 2005-12-09 2006-04-01 2007-01-13
- NEP-HIS: Business, Economic and Financial History (3) 2014-01-24 2015-02-11 2019-04-29
- NEP-BEC: Business Economics (2) 2006-04-08 2011-05-07
- NEP-FDG: Financial Development and Growth (2) 2019-04-29 2020-08-10
- NEP-BAN: Banking (1) 2022-05-16
- NEP-CWA: Central and Western Asia (1) 2022-04-25
- NEP-GER: German Papers (1) 2023-10-16
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