SSRN logo
Public User
Advanced Search

Martin Lettau

University of California - Haas School of Business

Professor

Haas School of Business

545 Student Services Building

Berkeley, CA 94720

United States

http://faculty.haas.berkeley.edu/lettau/

Centre for Economic Policy Research (CEPR)

Fellow

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • University of California - Haas School of Business

SCHOLARLY PAPERS

36

DOWNLOADS
Rank 3,593

SSRN RANKINGS

Top 3,593

in Total Papers Downloads

8,978

CITATIONS
Rank 119

SSRN RANKINGS

Top 119

in Total Papers Citations

2,385

Scholarly Papers (36)

Actions:
Email selected abstracts
1.

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Downloads 2,126 ( 5,143)
Citation 483

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Number of pages: 59 Posted: 25 Feb 2000
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management
Downloads 1,962 (5,731)
Citation 483

Abstract:

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

NBER Working Paper No. w7590
Number of pages: 59 Posted: 11 Jul 2000 Last Revised: 17 Oct 2010
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management
Downloads 164 (153,810)
Citation 483

Abstract:

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Journal of Finance
Posted: 24 Aug 2000
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management

Abstract:

2.

Resurrecting the (C)CAPM: A Cross-Sectional Test when Risk Premia wre Time-Varying

Eleventh Annual Utah Winter Conference; AFA 2001 New Orleans; FRB of New York Staff Reports, No. 93
Number of pages: 59 Posted: 31 Jan 2000
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 1,115 (14,330)
Citation 279

Abstract:

3.

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

Downloads 839 ( 22,827)
Citation 101

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

AFA 2005 Philadelphia Meetings; 14th Annual Utah Winter Finance Conference Paper
Number of pages: 59 Posted: 12 Aug 2004
Martin Lettau, Jessica A. Wachter and Sydney C. Ludvigson
University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics
Downloads 683 (30,011)
Citation 101

Abstract:

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

NBER Working Paper No. w10270
Number of pages: 62 Posted: 25 May 2006 Last Revised: 26 Jul 2010
Martin Lettau, Jessica A. Wachter and Sydney C. Ludvigson
University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics
Downloads 81 (261,333)
Citation 101

Abstract:

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

NYU Working Paper No. S-MF-04-08
Number of pages: 46 Posted: 12 Nov 2008
Martin Lettau, Sydney C. Ludvigson and Jessica A. Wachter
University of California - Haas School of Business, New York University - Department of Economics and University of Pennsylvania - Finance Department
Downloads 51 (335,689)
Citation 101

Abstract:

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

CEPR Discussion Paper No. 5519
Number of pages: 49 Posted: 09 Jun 2006
Martin Lettau, Jessica A. Wachter and Sydney C. Ludvigson
University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics
Downloads 24 (444,413)
Citation 101
  • Add to Cart

Abstract:

Equity premium, macroeconomic volatility, stock market boom, regime shifts

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1653-1687, 2008
Posted: 08 Aug 2008
Martin Lettau, Sydney C. Ludvigson and Jessica A. Wachter
University of California - Haas School of Business, New York University - Department of Economics and University of Pennsylvania - Finance Department

Abstract:

G12

4.

Expected Returns and Expected Dividend Growth

Downloads 797 ( 24,594)
Citation 112

Expected Returns and Expected Dividend Growth

AFA 2003 Washington, DC Meetings; New York University Economics Department Working Paper No. FIN-02-024
Number of pages: 64 Posted: 15 Aug 2002
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 549 (40,228)
Citation 112

Abstract:

Expected Returns and Expected Dividend Growth

NYU Working Paper No. S-MF-04-06
Number of pages: 49 Posted: 12 Nov 2008
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 102 (224,463)
Citation 112

Abstract:

Risk premia, dividend growth, cash-flow predictability, return predictability

Expected Returns and Expected Dividend Growth

NYU Working Paper No. FIN-02-024
Number of pages: 64 Posted: 03 Nov 2008
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 43 (361,644)
Citation 112

Abstract:

Expected Returns and Expected Dividend Growth

NBER Working Paper No. w9605
Number of pages: 48 Posted: 05 Apr 2003 Last Revised: 04 Apr 2015
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 36 (387,730)
Citation 112

Abstract:

Expected Returns and Expected Dividend Growth

NYU Working Paper No. SC-AM-02-04
Number of pages: 64 Posted: 13 Nov 2008
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 31 (408,803)
Citation 112

Abstract:

Expected Returns and Expected Dividend Growth

CEPR Discussion Paper No. 3507
Number of pages: 62 Posted: 27 Sep 2002
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 18 (479,151)
Citation 112
  • Add to Cart

Abstract:

Dividend growth, consumption, cointegration

Expected Returns and Expected Dividend Growth

NYU Working Paper No. S-MF-02-08
Number of pages: 64 Posted: 12 Nov 2008
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 18 (479,151)
Citation 112

Abstract:

5.

Consumption, Aggregate Wealth and Expected Stock Returns

Downloads 622 ( 34,626)
Citation 449

Consumption, Aggregate Wealth and Expected Stock Returns

FRB of New York Staff Report No. 77
Number of pages: 57 Posted: 11 Aug 1999
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 622 (34,113)
Citation 449

Abstract:

Consumption, Aggregate Wealth and Expected Stock Returns

Journal of Finance
Posted: 01 Feb 2001
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics

Abstract:

6.

Forecasting Stock Returns: New Out-of-Sample Evidence

Number of pages: 26 Posted: 26 Apr 2000
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 425 (55,110)
Citation 2

Abstract:

7.

Conditional Risk Premia in Currency Markets and Other Asset Classes

Downloads 424 ( 56,395)
Citation 5

Conditional Risk Premia in Currency Markets and Other Asset Classes

Journal of Financial Economics (JFE), Vol. 114, No. 2, 2014
Number of pages: 66 Posted: 06 Mar 2013 Last Revised: 10 May 2017
Martin Lettau, Matteo Maggiori and Michael Weber
University of California - Haas School of Business, Harvard University and University of Chicago - Finance
Downloads 414 (57,500)
Citation 5

Abstract:

Carry Trade, Currency Returns, Downside Risk, Exchange Rates, UIP, Conditional risk premia, Cross Section of Equities and Commodities

Conditional Risk Premia in Currency Markets and Other Asset Classes

NBER Working Paper No. w18844
Number of pages: 58 Posted: 01 Mar 2013
Martin Lettau, Matteo Maggiori and Michael Weber
University of California - Haas School of Business, Harvard University and University of Chicago - Finance
Downloads 9 (531,056)
Citation 5

Abstract:

Conditional Risk Premia in Currency Markets and Other Asset Classes

CEPR Discussion Paper No. DP9484
Number of pages: 58 Posted: 30 May 2013
Martin Lettau, Matteo Maggiori and Michael Weber
University of California - Haas School of Business, New York University Stern School of Business and University of Chicago - Finance
Downloads 1 (583,418)
Citation 5
  • Add to Cart

Abstract:

Carry Trade, Conditional risk premia, Cross Section of Equities and Commodities, Currency Returns, Downside Risk, Exchange Rates, UIP

8.

Reconciling the Return Predictability Evidence

Downloads 373 ( 65,798)
Citation 102

Reconciling the Return Predictability Evidence

AFA 2007 Chicago Meetings Paper
Number of pages: 50 Posted: 03 Mar 2006
Stijn Van Nieuwerburgh and Martin Lettau
New York University Stern School of Business, Department of Finance and University of California - Haas School of Business
Downloads 308 (81,412)
Citation 102

Abstract:

return predictability, structural breaks

Reconciling the Return Predictability Evidence

NBER Working Paper No. w12109
Number of pages: 51 Posted: 14 May 2006 Last Revised: 04 Aug 2010
Martin Lettau and Stijn Van Nieuwerburgh
University of California - Haas School of Business and New York University Stern School of Business, Department of Finance
Downloads 34 (395,897)
Citation 102

Abstract:

Reconciling the Return Predictability Evidence

NYU Working Paper No. FIN-06-013
Number of pages: 52 Posted: 03 Nov 2008
Martin Lettau and Stijn Van Nieuwerburgh
University of California - Haas School of Business and New York University Stern School of Business, Department of Finance
Downloads 31 (408,803)
Citation 102

Abstract:

Reconciling the Return Predictability Evidence

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1607-1652, 2008
Posted: 08 Aug 2008
Martin Lettau and Stijn Van Nieuwerburgh
University of California - Haas School of Business and New York University Stern School of Business, Department of Finance

Abstract:

12, 14

9.

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

Downloads 355 ( 69,684)
Citation 109

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

Number of pages: 61 Posted: 04 Feb 2005
Martin Lettau and Jessica A. Wachter
University of California - Haas School of Business and University of Pennsylvania - Finance Department
Downloads 270 (94,400)
Citation 109

Abstract:

Value, Growth, duration, habit formation

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

NBER Working Paper No. w11144
Number of pages: 61 Posted: 16 Mar 2005
Jessica A. Wachter and Martin Lettau
University of Pennsylvania - Finance Department and University of California - Haas School of Business
Downloads 55 (323,574)
Citation 109

Abstract:

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

CEPR Discussion Paper No. 4921
Number of pages: 63 Posted: 15 Jun 2005
Jessica A. Wachter and Martin Lettau
University of Pennsylvania - Finance Department and University of California - Haas School of Business
Downloads 30 (413,345)
Citation 109
  • Add to Cart

Abstract:

Value, growth, duration, habit formation

10.

Euler Equation Errors

Downloads 307 ( 82,211)
Citation 10

Euler Equation Errors

AFA 2007 Chicago Meetings Paper
Number of pages: 56 Posted: 05 Feb 2005
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 194 (131,810)
Citation 10

Abstract:

Pricing errors, consumption-based asset pricing, CRRA utility

Euler Equation Errors

NYU Working Paper No. FIN-06-012
Number of pages: 53 Posted: 03 Nov 2008
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 43 (361,644)
Citation 10

Abstract:

Euler Equation Errors

CEPR Discussion Paper No. 5245
Number of pages: 63 Posted: 21 Jun 2005
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 25 (438,852)
Citation 10
  • Add to Cart

Abstract:

Consumption CAPM and pricing errors

Euler Equation Errors

NYU Working Paper No. FIN-05-026
Number of pages: 61 Posted: 03 Nov 2008
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 24 (444,413)
Citation 10

Abstract:

Euler Equation Errors

NBER Working Paper No. w11606
Number of pages: 62 Posted: 14 Sep 2006 Last Revised: 19 Sep 2010
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 21 (461,615)
Citation 10

Abstract:

11.

Investor Information, Long-Run Risk, and the Duration of Risky Cash Flows

Downloads 217 (118,693)
Citation 31

Investor Information, Long-Run Risk, and the Duration of Risky Cash Flows

AFA 2008 New Orleans Meetings, AFA 2009 San Francisco Meetings Paper
Number of pages: 59 Posted: 26 Feb 2007
Mariano Massimiliano Croce, Martin Lettau and Sydney C. Ludvigson
University of North Carolina Kenan-Flagler Business School, University of California - Haas School of Business and New York University - Department of Economics
Downloads 120 (199,055)
Citation 31

Abstract:

Investor Information, Long-Run Risk, and the Duration of Risky Cash Flows

Review of Financial Studies, 2015, NYU Working Paper No. FIN-06-011
Number of pages: 58 Posted: 03 Nov 2008 Last Revised: 10 Mar 2017
Mariano Massimiliano Croce, Martin Lettau and Sydney C. Ludvigson
University of North Carolina Kenan-Flagler Business School, University of California - Haas School of Business and New York University - Department of Economics
Downloads 60 (309,652)
Citation 30

Abstract:

Investor Information, Long-Run Risk, and the Term Structure of Equity

NBER Working Paper No. w12912
Number of pages: 57 Posted: 17 Feb 2007 Last Revised: 03 Oct 2012
Mariano Massimiliano Croce, Martin Lettau and Sydney C. Ludvigson
University of North Carolina Kenan-Flagler Business School, University of California - Haas School of Business and New York University - Department of Economics
Downloads 37 (383,717)
Citation 31

Abstract:

12.

Monetary Policy Transmission through the Consumption-Wealth Channel

Economic Policy Review, Vol. 8, No. 1, May 2002
Number of pages: 17 Posted: 26 Oct 2005
Charles Steindel, Martin Lettau and Sydney C. Ludvigson
Federal Reserve Bank of New York, University of California - Haas School of Business and New York University - Department of Economics
Downloads 188 (128,405)
Citation 13

Abstract:

monetary policy transmission

13.

Reconciling the Return Predictability Evidence In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability

Downloads 164 (153,722)
Citation 13

Reconciling the Return Predictability Evidence In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability

NYU Working Paper No. 2451/31432
Number of pages: 55 Posted: 13 Jan 2012
Martin Lettau and Stijn Van Nieuwerburgh
University of California - Haas School of Business and New York University Stern School of Business, Department of Finance
Downloads 94 (237,419)
Citation 8

Abstract:

Reconciling the Return Predictability Evidence: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability

CEPR Discussion Paper No. 5355
Number of pages: 57 Posted: 23 Jan 2006
Stijn Van Nieuwerburgh and Martin Lettau
New York University Stern School of Business, Department of Finance and University of California - Haas School of Business
Downloads 25 (438,852)
Citation 13
  • Add to Cart

Abstract:

Predictibility, Stock returns, dividend price ratio, price ratios, out-of-sample test

Reconciling the Return Predictability Evidence In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability

NYU Working Paper No. 2451/31432
Number of pages: 55 Posted: 03 Nov 2008
Martin Lettau and Stijn Van Nieuwerburgh
University of California - Haas School of Business and New York University Stern School of Business, Department of Finance
Downloads 24 (444,413)
Citation 8

Abstract:

Reconciling the Return Predictability Evidence In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability

NYU Working Paper No. 2451/31432
Number of pages: 55 Posted: 03 Nov 2008
Martin Lettau and Stijn Van Nieuwerburgh
University of California - Haas School of Business and New York University Stern School of Business, Department of Finance
Downloads 21 (461,615)
Citation 8

Abstract:

14.

Dispersion and Volatility in Stock Returns: an Empirical Investigation

NBER Working Paper No. w7144
Number of pages: 42 Posted: 21 Sep 1998
Martin Lettau and John Y. Campbell
University of California - Haas School of Business and Harvard University - Department of Economics
Downloads 135 (165,022)
Citation 6

Abstract:

15.

Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia are Time-Varying

Downloads 126 (190,999)

Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia are Time-Varying

FRB of New York Staff Report No. 93
Number of pages: 59 Posted: 07 Oct 2006
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 126 (191,660)
Citation 326

Abstract:

Resurrecting the (C)CAPM: A Cross-Sectional Test when Risk Premia are Time-Varying

Journal of Political Economy, Vol. 109, December 2001
Posted: 19 Nov 2001
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics

Abstract:

16.

Reconciling the Return Predictability Evidence In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability*

8th Annual Texas Finance Festival
Number of pages: 55 Posted: 08 Apr 2006
Stijn Van Nieuwerburgh and Martin Lettau
New York University Stern School of Business, Department of Finance and University of California - Haas School of Business
Downloads 114 (200,839)
Citation 13

Abstract:

17.

Idiosyncratic Risk and Volatility Bounds, or Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?

Downloads 101 (224,663)

Idiosyncratic Risk and Volatility Bounds, or Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?

FRB of New York Staff Report No. 130
Number of pages: 30 Posted: 07 Aug 2006
Martin Lettau
University of California - Haas School of Business
Downloads 101 (225,970)
Citation 12

Abstract:

equity premium, incomplete markets, volatility bounds

Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?

CEPR Discussion Paper Series Number 1795
Posted: 14 May 1998
Martin Lettau
University of California - Haas School of Business

Abstract:

18.

Shocks and Crashes

Downloads 87 (247,705)
Citation 3

Shocks and Crashes

Number of pages: 72 Posted: 24 Apr 2011
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 61 (306,990)
Citation 3

Abstract:

structural disturbances, origins, business cycles, macro-finance

Shocks and Crashes

NBER Working Paper No. w16996
Number of pages: 78 Posted: 02 May 2011
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 26 (433,346)
Citation 3

Abstract:

19.

A Primer on the Economics and Time Series Econometrics of Wealth Effects: A Comment

FRB of New York Staff Report No. 131
Number of pages: 33 Posted: 03 Oct 2006
Martin Lettau, Sydney C. Ludvigson and Nathan A Barczi
University of California - Haas School of Business, New York University - Department of Economics and Massachusetts Institute of Technology (MIT)
Downloads 70 (259,034)
Citation 6

Abstract:

wealth effect, cointegretion, permanent income

20.

The Term Structures of Equity and Interest Rates

NBER Working Paper No. w14698
Number of pages: 67 Posted: 31 Jan 2009 Last Revised: 31 Aug 2010
Martin Lettau and Jessica A. Wachter
University of California - Haas School of Business and University of Pennsylvania - Finance Department
Downloads 53 (303,087)
Citation 30

Abstract:

21.

Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption

NBER Working Paper No. w9848
Number of pages: 44 Posted: 22 Jul 2003
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 44 (330,396)
Citation 93

Abstract:

22.

Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption

CEPR Discussion Paper No. 3104
Number of pages: 65 Posted: 07 Jan 2002
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 41 (361,551)
Citation 81
  • Add to Cart

Abstract:

Wealth effect, cointegration, consumption, asset values

23.

Measuring and Modelling Variation in the Risk-Return Trade-off

CEPR Discussion Paper No. 3105
Number of pages: 74 Posted: 07 Jan 2002
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 36 (379,327)
Citation 27
  • Add to Cart

Abstract:

Sharpe ratio, expected returns, volatility, consumption

24.

Origins of Stock Market Fluctuations

NBER Working Paper No. w19818
Number of pages: 64 Posted: 17 Jan 2014
Daniel L. Greenwald, Martin Lettau and Sydney C. Ludvigson
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California - Haas School of Business and New York University - Department of Economics
Downloads 34 (365,007)

Abstract:

25.

Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment

CEPR Discussion Paper No. 3103
Number of pages: 63 Posted: 19 Dec 2001
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 30 (403,040)
Citation 51
  • Add to Cart

Abstract:

Q-Theory, investment, risk premia

26.

Robustness of Adaptive Expectations as an Equilibrium Selection Device

CEPR Discussion Paper No. 2882
Number of pages: 33 Posted: 01 Aug 2001
Timothy Van Zandt and Martin Lettau
INSEAD - Economics and Political Sciences and University of California - Haas School of Business
Downloads 16 (472,880)
Citation 5
  • Add to Cart

Abstract:

Inflation, adaptive expectations, stability

27.

Inspecting the Mechanism: Closed-Form Solutions for Asset Prices in Real Business Cycle Models

Economic Journal, Vol. 113, pp. 550-575, July 2003
Number of pages: 26 Posted: 13 Jul 2003
Martin Lettau
University of California - Haas School of Business
Downloads 14 (483,376)
Citation 11
  • Add to Cart

Abstract:

28.

Capital Share Risk in U.S. Asset Pricing

Downloads 10 (503,890)

Capital Share Risk in U.S. Asset Pricing

NBER Working Paper No. w20744
Number of pages: 52 Posted: 15 Dec 2014
Martin Lettau, Sydney C. Ludvigson and Sai Ma
University of California - Haas School of Business, New York University - Department of Economics and New York University (NYU) - Department of Economics
Downloads 10 (525,477)
  • Add to Cart

Abstract:

Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing

CEPR Discussion Paper No. DP10335
Number of pages: 80 Posted: 23 Jan 2015
Martin Lettau, Sydney C. Ludvigson and Sai Ma
University of California - Haas School of Business, New York University - Department of Economics and New York University (NYU) - Department of Economics
Downloads 0
  • Add to Cart

Abstract:

capital share, heterogeneous agents, inequality, labor share, momentum, value premium

29.

Origins of Stock Market Fluctuations

CEPR Discussion Paper No. DP10336
Number of pages: 65 Posted: 23 Jan 2015
Daniel L. Greenwald, Martin Lettau and Sydney C. Ludvigson
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California - Haas School of Business and New York University - Department of Economics
Downloads 1 (554,729)
  • Add to Cart

Abstract:

labor income, stock market wealth, stock prices

30.

Monetary Policy and Asset Valuation

CEPR Discussion Paper No. DP12275
Number of pages: 85 Posted: 11 Sep 2017
Francesco Bianchi, Martin Lettau and Sydney C. Ludvigson
Duke University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 0 (568,998)
  • Add to Cart

Abstract:

Asset Pricing, monetary policy, Real interest rate, Risk premium

31.

Monetary Policy and Asset Valuation

NBER Working Paper No. w22572
Number of pages: 83 Posted: 31 Aug 2016 Last Revised: 02 Sep 2016
Francesco Bianchi, Martin Lettau and Sydney C. Ludvigson
Duke University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 0 (483,376)
  • Add to Cart

Abstract:

32.

Statistical Estimation And Moment Evaluation Of A Stochastic Growth Model With Asset Market Restrictions

Economic Behavior & Organization, Vol. 44, No. 1, January 1, 2001
Posted: 23 Sep 2001
Martin Lettau, Gang Gong and Willi Semmler Sr.
University of California - Haas School of Business, Tsinghua University - School of Economics & Management and The New School - Department of Economics

Abstract:

33.

Explaining the Facts with Adaptive Agents: The Case of Mutual Fund Flows

Posted: 20 Dec 1998
Martin Lettau
University of California - Haas School of Business

Abstract:

34.

Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model

CEPR Discussion Paper No. 1884
Posted: 20 Sep 1998
Martin Lettau
University of California - Haas School of Business

Abstract:

35.

Can Habit Formation Be Reconciled with Business Cycle Facts?

Posted: 25 Aug 1998
Harald Uhlig and Martin Lettau
University of Chicago - Department of Economics and University of California - Haas School of Business

Abstract:

36.

Preferences, Consumption Smoothing, and Risk Premia

Posted: 10 Feb 1998
Harald Uhlig and Martin Lettau
University of Chicago - Department of Economics and University of California - Haas School of Business

Abstract:

Submit a Paper Section 508 Text Only Pages

Quick Links

Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up

Rankings

Top Papers Top Authors Top Organizations

About

SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs
Elsevier logo
Copyright Terms and Conditions Privacy Policy

Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollobot1 in 2.120 seconds

Relx Group logo