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

London

United Kingdom

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

45

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Top 3,604

in Total Papers Downloads

15,057

SSRN CITATIONS
Rank 94

SSRN RANKINGS

Top 94

in Total Papers Citations

1,441

CROSSREF CITATIONS

3,973

Scholarly Papers (45)

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

Number of pages: 59 Posted: 25 Feb 2000
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 2,102 (10,211)

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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: 30 Mar 2022
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 191 (220,059)
Citation 83

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

Journal of Finance
Posted: 24 Aug 2000
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

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Factors That Fit the Time Series and Cross-Section of Stock Returns

Number of pages: 61 Posted: 01 Aug 2018 Last Revised: 30 Jan 2020
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 1,507 (17,282)
Citation 13

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Cross Section Of Returns, Anomalies, Expected Returns, High-Dimensional Data, Latent Factors, Weak Factors, PCA

Factors that Fit the Time Series and Cross-Section of Stock Returns

NBER Working Paper No. w24858
Number of pages: 60 Posted: 01 Aug 2018 Last Revised: 04 Jun 2022
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 72 (445,266)
Citation 2

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Factors that Fit the Time Series and Cross-Section of Stock Returns

CEPR Discussion Paper No. DP13049
Number of pages: 62 Posted: 16 Jul 2018 Last Revised: 30 Jul 2018
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 2 (912,033)
Citation 2
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Anomalies, Cross Section of Returns, expected returns, high-dimensional data, Latent Factors, PCA, Weak Factors

3.

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 1,187 (25,113)
Citation 6

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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
University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics
Downloads 723 (49,438)
Citation 4

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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: 25 Jul 2022
University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics
Downloads 88 (395,775)
Citation 10

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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
University of California - Haas School of Business, New York University - Department of Economics and University of Pennsylvania - Finance Department
Downloads 59 (493,909)

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

CEPR Discussion Paper No. 5519
Number of pages: 49 Posted: 09 Jun 2006
University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics
Downloads 25 (682,295)
Citation 20
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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
University of California - Haas School of Business, New York University - Department of Economics and University of Pennsylvania - Finance Department

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G12

5.
Downloads 872 ( 38,996)
Citation 141

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 567 (67,736)
Citation 2

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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 125 (311,735)
Citation 1

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

Expected Returns and Expected Dividend Growth

NBER Working Paper No. w9605
Number of pages: 48 Posted: 05 Apr 2003 Last Revised: 01 Apr 2022
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 52 (523,939)
Citation 19

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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 50 (533,234)
Citation 1

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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 36 (607,090)

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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 24 (690,227)

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Expected Returns and Expected Dividend Growth

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 (740,918)
Citation 15
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Dividend growth, consumption, cointegration

6.
Downloads 813 ( 42,891)
Citation 15

Estimating Latent Asset-Pricing Factors

Number of pages: 45 Posted: 21 May 2018 Last Revised: 13 Jan 2020
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 788 (44,077)

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Cross Section of Returns, Anomalies, Expected Returns, High-Dimensional Data, Latent Factors, Weak Factors, PCA

Estimating Latent Asset-Pricing Factors

NBER Working Paper No. w24618
Number of pages: 44 Posted: 25 May 2018 Last Revised: 08 Apr 2022
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 24 (690,227)
Citation 7

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Estimating Latent Asset-Pricing Factors

CEPR Discussion Paper No. DP12926
Number of pages: 46 Posted: 15 May 2018 Last Revised: 11 Jun 2018
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 1 (928,575)
Citation 8
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Anomalies, Cross Section of Returns, expected returns, high-dimensional data, Latent Factors, PCA, Weak Factors

7.

Missing Financial Data

Number of pages: 80 Posted: 13 May 2022
London Business School - Department of Finance, Stanford University - Institute for Computational and Mathematical Engineering, University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 783 (45,136)

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Missing data, firm characteristics, PCA, factor model, big data, asset pricing

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 760 (46,281)
Citation 26

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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

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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 613 (61,323)

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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 Last Revised: 29 Jun 2022
Martin Lettau, Matteo Maggiori and Michael Weber
University of California - Haas School of Business, Harvard University and University of Chicago - Finance
Downloads 18 (740,918)
Citation 12

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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 (928,575)
Citation 40
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Carry Trade, Conditional risk premia, Cross Section of Equities and Commodities, Currency Returns, Downside Risk, Exchange Rates, UIP

10.
Downloads 456 ( 89,391)
Citation 49

Reconciling the Return Predictability Evidence

AFA 2007 Chicago Meetings Paper
Number of pages: 50 Posted: 03 Mar 2006
Stijn Van Nieuwerburgh and Martin Lettau
Columbia University Graduate School of Business and University of California - Haas School of Business
Downloads 339 (124,558)
Citation 1

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return predictability, structural breaks

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 Columbia University Graduate School of Business
Downloads 63 (477,941)

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Reconciling the Return Predictability Evidence

NBER Working Paper No. w12109
Number of pages: 51 Posted: 14 May 2006 Last Revised: 04 Aug 2022
Martin Lettau and Stijn Van Nieuwerburgh
University of California - Haas School of Business and Columbia University Graduate School of Business
Downloads 54 (514,923)
Citation 19

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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 Columbia University Graduate School of Business

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12, 14

11.

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 454 (89,847)

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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 291 (146,238)
Citation 33

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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 Last Revised: 15 Jun 2022
Jessica A. Wachter and Martin Lettau
University of Pennsylvania - Finance Department and University of California - Haas School of Business
Downloads 85 (404,325)

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

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 (645,469)
Citation 34
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Value, growth, duration, habit formation

13.
Downloads 352 (120,188)
Citation 12

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 205 (206,416)

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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 52 (523,939)

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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 37 (601,134)

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Euler Equation Errors

NBER Working Paper No. w11606
Number of pages: 62 Posted: 14 Sep 2006 Last Revised: 20 Mar 2022
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 32 (631,976)
Citation 4

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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 26 (674,495)
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Consumption CAPM and pricing errors

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
Finance Department, Bocconi University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 175 (237,495)

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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
Finance Department, Bocconi University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 94 (379,551)
Citation 4

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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: 14 Apr 2022
Finance Department, Bocconi University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 66 (466,500)
Citation 19

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Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?

Number of pages: 49 Posted: 04 Jan 2019
Martin Lettau, Sydney C. Ludvigson and Paulo Manoel
University of California - Haas School of Business, New York University - Department of Economics and University of Kentucky - Department of Finance & Quantitative Methods
Downloads 180 (231,763)

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mutual funds, characteristics, value puzzle, portfolio composition, anomalies

Characteristics of Mutual Fund Portfolios: Where are the Value Funds?

NBER Working Paper No. w25381
Number of pages: 63 Posted: 26 Dec 2018 Last Revised: 09 May 2021
Martin Lettau, Sydney C. Ludvigson and Paulo Manoel
University of California - Haas School of Business, New York University - Department of Economics and University of Kentucky - Department of Finance & Quantitative Methods
Downloads 151 (269,016)

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Characteristics of Mutual Fund Portfolios: Where are the Value Funds?

CEPR Discussion Paper No. DP13395
Number of pages: 65 Posted: 17 Dec 2018 Last Revised: 15 Mar 2021
Martin Lettau, Sydney C. Ludvigson and Paulo Manoel
University of California - Haas School of Business, New York University - Department of Economics and University of Kentucky - Department of Finance & Quantitative Methods
Downloads 2 (912,033)
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16.

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
Federal Reserve Bank of New York, University of California - Haas School of Business and New York University - Department of Economics
Downloads 275 (155,618)
Citation 6

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monetary policy transmission

17.
Downloads 247 (173,183)
Citation 3

Monetary Policy and Asset Valuation

Journal of Finance, Forthcoming
Number of pages: 79 Posted: 12 Apr 2021
Duke University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 246 (173,282)

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Monetary policy, asset valuation, learning, behavioral economics.

Monetary Policy and Asset Valuation

CEPR Discussion Paper No. DP12671
Number of pages: 85 Posted: 05 Feb 2018
Duke University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 1 (928,575)
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Monetary Policy and Asset Valuation

CEPR Discussion Paper No. DP12275
Number of pages: 133 Posted: 11 Sep 2017 Last Revised: 14 May 2021
Duke University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 0
Citation 1
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Idiosyncratic Equity Risk Two Decades Later

Number of pages: 21 Posted: 21 Apr 2022
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 159 (257,887)

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Market Microstructure, Idiosyncratic Volatility, Industry Volatility, Market Volatility

Idiosyncratic Equity Risk Two Decades Later

NBER Working Paper No. w29916
Number of pages: 22 Posted: 11 Apr 2022
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 42 (573,265)

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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 197 (214,054)
Citation 113

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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

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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 Columbia University Graduate School of Business
Downloads 106 (350,722)

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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 Columbia University Graduate School of Business
Downloads 39 (589,664)

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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
Columbia University Graduate School of Business and University of California - Haas School of Business
Downloads 25 (682,295)
Citation 21
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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 Columbia University Graduate School of Business
Downloads 25 (682,295)

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21.

How the Wealth Was Won: Factors Shares as Market Fundamentals

NBER Working Paper No. w25769
Number of pages: 77 Posted: 22 Apr 2019 Last Revised: 15 Jun 2022
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California - Haas School of Business and New York University - Department of Economics
Downloads 190 (221,129)
Citation 4

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22.

Dispersion and Volatility in Stock Returns: an Empirical Investigation

NBER Working Paper No. w7144
Number of pages: 42 Posted: 21 Sep 1998 Last Revised: 09 Jan 2022
Martin Lettau and John Y. Campbell
University of California - Haas School of Business and Harvard University - Department of Economics
Downloads 184 (227,343)

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23.
Downloads 149 (271,169)
Citation 13

Capital Share Risk in U.S. Asset Pricing

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 22 Aug 2018
Martin Lettau, Sydney C. Ludvigson and Sai Ma
University of California - Haas School of Business, New York University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 119 (323,241)
Citation 9

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risk premia, cross-section, capital share, labor share, inequality

Capital Share Risk in U.S. Asset Pricing

NBER Working Paper No. w20744
Number of pages: 52 Posted: 15 Dec 2014 Last Revised: 07 Mar 2022
Martin Lettau, Sydney C. Ludvigson and Sai Ma
University of California - Haas School of Business, New York University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 30 (645,469)
Citation 1

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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 Board of Governors of the Federal Reserve System
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capital share, heterogeneous agents, inequality, labor share, momentum, value premium

Capital Share Risk in U.S. Asset Pricing

CEPR Discussion Paper No. DP12628
Number of pages: 77 Posted: 22 Jan 2018 Last Revised: 29 Jan 2018
Martin Lettau, Sydney C. Ludvigson and Sai Ma
University of California - Haas School of Business, New York University - Department of Economics and Board of Governors of the Federal Reserve System
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capital share, inequality, Labor Share, value premium

24.

Supplemental Appendix - Factors that Fit the Time Series and Cross-Section of Stock Returns

Lettau, Martin and Pelger, Markus, Supplemental Appendix for "Factors that Fit the Time Series and Cross-Section of Stock Returns”, 2019
Number of pages: 98 Posted: 06 Dec 2019 Last Revised: 30 Jan 2020
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 141 (283,239)
Citation 2

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Cross Section of Returns, Anomalies, Expected Returns, High-Dimensional Data, Latent Factors, Weak Factors, PCA

25.

Origins of Stock Market Fluctuations

NBER Working Paper No. w19818
Number of pages: 64 Posted: 17 Jan 2014 Last Revised: 25 Feb 2022
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California - Haas School of Business and New York University - Department of Economics
Downloads 135 (292,955)
Citation 4

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26.

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
Columbia University Graduate School of Business and University of California - Haas School of Business
Downloads 131 (299,676)
Citation 1

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27.
Downloads 116 (327,397)
Citation 8

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 73 (441,902)
Citation 8

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structural disturbances, origins, business cycles, macro-finance

Shocks and Crashes

NBER Working Paper No. w16996
Number of pages: 78 Posted: 02 May 2011 Last Revised: 11 Jun 2022
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 43 (567,944)

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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 115 (331,166)
Citation 4

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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

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29.
Downloads 101 (359,683)
Citation 21

Exchange Traded Funds 101 for Economists

NBER Working Paper No. w24250
Number of pages: 39 Posted: 29 Jan 2018 Last Revised: 06 Apr 2022
Martin Lettau and Ananth Madhavan
University of California - Haas School of Business and BlackRock, Inc.
Downloads 101 (362,356)
Citation 4

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Exchange Traded Funds 101 for Economists

CEPR Discussion Paper No. DP12629
Number of pages: 55 Posted: 22 Jan 2018 Last Revised: 29 Jan 2018
Martin Lettau and Ananth Madhavan
University of California - Haas School of Business and BlackRock, Inc.
Downloads 0
Citation 16
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30.

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
University of California - Haas School of Business, New York University - Department of Economics and Massachusetts Institute of Technology (MIT)
Downloads 98 (366,784)
Citation 6

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wealth effect, cointegretion, permanent income

31.

The Term Structures of Equity and Interest Rates

NBER Working Paper No. w14698
Number of pages: 67 Posted: 31 Jan 2009 Last Revised: 28 Feb 2022
Martin Lettau and Jessica A. Wachter
University of California - Haas School of Business and University of Pennsylvania - Finance Department
Downloads 88 (392,161)
Citation 17

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32.

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 Last Revised: 30 May 2022
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 79 (417,841)
Citation 20

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High Dimensional Factor Models with an Application to Mutual Fund Characteristics

Number of pages: 63 Posted: 22 Mar 2022 Last Revised: 07 Jul 2022
Martin Lettau
University of California - Haas School of Business
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Tucker decomposition, CP decomposition, tensors, PCA, SVD, factor models, mutual funds, characteristics

High-Dimensional Factor Models with an Application to Mutual Fund Characteristics

NBER Working Paper No. w29833
Number of pages: 64 Posted: 14 Mar 2022 Last Revised: 13 Jul 2022
Martin Lettau
University of California - Haas School of Business
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High Dimensional Factor Models with an Application to Mutual Fund Characteristics

CEPR Discussion Paper No. DP17091
Number of pages: 54 Posted: 29 Mar 2022
Martin Lettau
University of California - Haas School of Business
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Characteristics, CP decomposition, factor models, Mutual funds, PCA, SVD, tensors, Tucker decomposition

34.

Monetary Policy and Asset Valuation

NBER Working Paper No. w22572
Number of pages: 131 Posted: 31 Aug 2016 Last Revised: 01 Apr 2022
Duke University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 62 (475,023)

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35.

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

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
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Wealth effect, cointegration, consumption, asset values

36.

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

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 (593,292)
Citation 9
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Sharpe ratio, expected returns, volatility, consumption

37.

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

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 (628,901)
Citation 6
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Q-Theory, investment, risk premia

38.

Robustness of Adaptive Expectations as an Equilibrium Selection Device

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
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Inflation, adaptive expectations, stability

39.

How the Wealth Was Won: Factor Shares as Market Fundamentals

CEPR Discussion Paper No. DP14200
Number of pages: 58 Posted: 17 Dec 2019
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California - Haas School of Business and New York University - Department of Economics
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40.

Origins of Stock Market Fluctuations

CEPR Discussion Paper No. DP10336
Number of pages: 65 Posted: 23 Jan 2015
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 (888,791)
Citation 1
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labor income, stock market wealth, stock prices

41.

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, Gang Gong and Willi Semmler
University of California - Haas School of Business, Tsinghua University - School of Economics & ManagementUniversity of Bielefeld and The New School - Department of Economics

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42.

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

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43.

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

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44.

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

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45.

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

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