Sydney C. Ludvigson

New York University - Department of Economics

Professor

19 West 4th Street, 6th floor

New York, NY 10012

United States

http://www.econ.nyu.edu/user/ludvigsons/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

49

DOWNLOADS
Rank 4,569

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Top 4,569

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15,178

SSRN CITATIONS
Rank 141

SSRN RANKINGS

Top 141

in Total Papers Citations

2,986

CROSSREF CITATIONS

2,519

Scholarly Papers (49)

1.

Does Consumer Confidence Forecast Household Expenditure? A Sentiment Index Horse Race

Economic Policy Review, Vol. 4, No. 2, June 1998
Number of pages: 20 Posted: 23 Oct 2007
Jason Bram and Sydney C. Ludvigson
Independent and New York University - Department of Economics
Downloads 1,756 (17,320)
Citation 9

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consumber confidence, household expenditures

The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium

Journal of Political Economy, Forthcoming
Number of pages: 114 Posted: 10 May 2010 Last Revised: 07 Oct 2015
Jack Y Favilukis, Sydney C. Ludvigson and Stijn Van Nieuwerburgh
University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and Columbia University Graduate School of Business
Downloads 1,177 (31,016)
Citation 102

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The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium

NBER Working Paper No. w15988
Number of pages: 96 Posted: 17 May 2010 Last Revised: 10 Mar 2023
Jack Y Favilukis, Sydney C. Ludvigson and Stijn Van Nieuwerburgh
University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and Columbia University Graduate School of Business
Downloads 164 (308,993)
Citation 18

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The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium

NYU Working Paper No. 2451/31429
Number of pages: 72 Posted: 13 Jan 2012
Columbia University Graduate School of Business, University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and affiliation not provided to SSRN
Downloads 99 (456,997)
Citation 1

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The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium

NYU Working Paper No. 2451/31429
Number of pages: 72 Posted: 16 Nov 2010
Jack Y Favilukis, Sydney C. Ludvigson and Stijn Van Nieuwerburgh
University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and Columbia University Graduate School of Business
Downloads 65 (590,294)

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The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium

NYU Working Paper No. 2451/31429
Number of pages: 72 Posted: 22 Nov 2010
Jack Y Favilukis, Sydney C. Ludvigson and Stijn Van Nieuwerburgh
University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and Columbia University Graduate School of Business
Downloads 43 (717,618)

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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 1,205 (30,443)
Citation 6

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4.
Downloads 987 (40,467)
Citation 158

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 597 (77,953)
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 140 (352,504)
Citation 1

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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 84 (508,489)
Citation 1

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Expected Returns and Expected Dividend Growth

NBER Working Paper No. w9605
Number of pages: 48 Posted: 05 Apr 2003 Last Revised: 01 Oct 2022
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 64 (595,060)
Citation 55

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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 47 (691,011)

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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 37 (761,476)

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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 (931,149)
Citation 13
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Dividend growth, consumption, cointegration

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 743 (58,842)
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
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 93 (476,507)
Citation 5

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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
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 71 (562,158)

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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
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 25 (862,150)
Citation 44
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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
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

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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 876 (47,025)
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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7.

How Important is the Stock Market Effect on Consumption?

Economic Policy Review, Vol. 5, No. 2, July 1999
Number of pages: 23 Posted: 01 Aug 2007
Charles Steindel and Sydney C. Ludvigson
Federal Reserve Bank of New York and New York University - Department of Economics
Downloads 788 (55,152)
Citation 9

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stock markets, consumption

The Empirical Risk-Return Relation: A Factor Analysis Approach

Number of pages: 58 Posted: 14 Jul 2005
Serena Ng and Sydney C. Ludvigson
Columbia University - Columbia Business School, Economics and New York University - Department of Economics
Downloads 580 (80,779)
Citation 2

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Risk-premia, excess returns, stock market volatility

The Empirical Risk-Return Relation: A Factor Analysis Approach

NBER Working Paper No. w11477
Number of pages: 58 Posted: 09 Aug 2005 Last Revised: 12 Nov 2022
Serena Ng and Sydney C. Ludvigson
Columbia University - Columbia Business School, Economics and New York University - Department of Economics
Downloads 96 (466,622)
Citation 30

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9.

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 471 (105,662)

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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: 08 May 2023
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 246 (212,784)

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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 201 (257,955)

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

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 (1,084,282)
Citation 3
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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 223 (234,078)

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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 118 (402,094)
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 Oct 2022
Finance Department, Bocconi University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 80 (523,926)
Citation 45

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12.
Downloads 410 (124,332)
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 220 (237,188)

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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 62 (604,969)

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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 58 (626,148)

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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 44 (710,867)
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 (852,989)
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Consumption CAPM and pricing errors

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

Number of pages: 70 Posted: 20 Nov 2003
Xiaohong Chen and Sydney C. Ludvigson
Yale University - Cowles Foundation and New York University - Department of Economics
Downloads 266 (196,759)
Citation 21

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Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

NYU Working Paper No. S-MF-04-09
Number of pages: 59 Posted: 12 Nov 2008
Xiaohong Chen and Sydney C. Ludvigson
Yale University - Cowles Foundation and New York University - Department of Economics
Downloads 106 (435,193)
Citation 1

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14.
Downloads 339 (153,506)
Citation 36

Monetary Policy and Asset Valuation

Journal of Finance, Forthcoming
Number of pages: 79 Posted: 12 Apr 2021
Francesco Bianchi, Martin Lettau and Sydney C. Ludvigson
Johns Hopkins University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 338 (152,948)
Citation 4

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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
Francesco Bianchi, Martin Lettau and Sydney C. Ludvigson
Johns Hopkins University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 1 (1,093,101)
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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
Francesco Bianchi, Martin Lettau and Sydney C. Ludvigson
Johns Hopkins University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 0
Citation 1
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15.

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 319 (163,854)
Citation 3

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monetary policy transmission

An Estimation of Economic Models with Recursive Preferences

Number of pages: 56 Posted: 14 Mar 2008
Xiaohong Chen, Jack Y Favilukis and Sydney C. Ludvigson
Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics
Downloads 136 (360,724)
Citation 4

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An Estimation of Economic Models with Recursive Preferences

Cowles Foundation Discussion Paper No. 1883
Number of pages: 59 Posted: 15 Dec 2012
Xiaohong Chen, Jack Y Favilukis and Sydney C. Ludvigson
Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics
Downloads 70 (566,653)
Citation 16

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An Estimation of Economic Models with Recursive Preferences

Number of pages: 61 Posted: 10 Jun 2011
Xiaohong Chen, Jack Y Favilukis and Sydney C. Ludvigson
Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics
Downloads 66 (585,417)

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non-expected utility, recursive utility

An Estimation of Economic Models with Recursive Preferences

NBER Working Paper No. w17130
Number of pages: 61 Posted: 20 Jun 2011 Last Revised: 23 Apr 2023
Xiaohong Chen, Jack Y Favilukis and Sydney C. Ludvigson
Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics
Downloads 32 (801,021)
Citation 22

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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 257 (203,710)
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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18.

How the Wealth Was Won: Factors Shares as Market Fundamentals

NBER Working Paper No. w25769
Number of pages: 92 Posted: 22 Apr 2019 Last Revised: 31 May 2023
Daniel 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 246 (213,642)
Citation 6

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19.

Measuring Uncertainty

NBER Working Paper No. w19456
Number of pages: 49 Posted: 20 Sep 2013 Last Revised: 01 Mar 2023
Kyle Jurado, Sydney C. Ludvigson and Serena Ng
Duke University - Department of Economics, New York University - Department of Economics and Columbia University - Columbia Business School, Economics
Downloads 232 (226,197)
Citation 341

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Foreign Ownership of U.S. Safe Assets: Good or Bad?

NYU Working Paper No. 2451/31435
Number of pages: 70 Posted: 13 Jan 2012 Last Revised: 10 Feb 2014
Jack Y Favilukis, Sydney C. Ludvigson and Stijn Van Nieuwerburgh
University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and Columbia University Graduate School of Business
Downloads 198 (261,511)

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international capital flows, international risk sharing, foreign purchases of safe assets

Foreign Ownership of U.S. Safe Assets: Good or Bad?

NBER Working Paper No. w19917
Number of pages: 62 Posted: 24 Feb 2014 Last Revised: 04 Jun 2023
Jack Y Favilukis, Sydney C. Ludvigson and Stijn Van Nieuwerburgh
University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and Columbia University Graduate School of Business
Downloads 26 (852,989)

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21.
Downloads 193 (268,089)
Citation 32

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 155 (324,324)
Citation 31

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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: 08 Mar 2023
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 38 (753,899)

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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

Can Buffer Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?

Number of pages: 32 Posted: 15 Feb 2000
Alexander Michaelides and Sydney C. Ludvigson
Imperial College Business School and New York University - Department of Economics
Downloads 190 (271,507)
Citation 13

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Can Buffer Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?

American Economic Review
Posted: 15 Feb 2000
Alexander Michaelides and Sydney C. Ludvigson
Imperial College Business School and New York University - Department of Economics

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Elasticities of Substitution in Real Business Cycle Models with Home Production

Number of pages: 44 Posted: 04 Feb 1999
John Y. Campbell and Sydney C. Ludvigson
Harvard University - Department of Economics and New York University - Department of Economics
Downloads 141 (350,560)
Citation 7

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Elasticities of Substitution in Real Business Cycle Models with Home Production

NBER Working Paper No. w6763
Number of pages: 57 Posted: 26 Aug 2000 Last Revised: 26 Jun 2022
John Y. Campbell and Sydney C. Ludvigson
Harvard University - Department of Economics and New York University - Department of Economics
Downloads 39 (746,313)

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24.

What Explains the Covid-19 Stock Market?

NBER Working Paper No. w27784
Number of pages: 36 Posted: 14 Sep 2020 Last Revised: 02 Jun 2023
Josue Cox, Daniel Greenwald and Sydney C. Ludvigson
New York University (NYU) - Department of Economics, Massachusetts Institute of Technology (MIT) - Sloan School of Management and New York University - Department of Economics
Downloads 173 (295,278)
Citation 8

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Advances in Consumption-Based Asset Pricing: Empirical Tests

THE HANDBOOK OF THE ECONOMICS OF FINANCE, George Constantinides, Vol. 2, Milton Harris, Rene Stulz, eds., Elsevier Science B.V., 2011
Number of pages: 123 Posted: 27 Mar 2011 Last Revised: 14 Apr 2011
Sydney C. Ludvigson
New York University - Department of Economics
Downloads 100 (453,964)
Citation 5

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Advances in Consumption-Based Asset Pricing: Empirical Tests

NBER Working Paper No. w16810
Number of pages: 127 Posted: 28 Feb 2011 Last Revised: 08 Jun 2023
Sydney C. Ludvigson
New York University - Department of Economics
Downloads 73 (553,342)
Citation 15

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26.
Downloads 161 (313,818)
Citation 58

Macro Factors in Bond Risk Premia

NBER Working Paper No. w11703
Number of pages: 66 Posted: 14 Sep 2006 Last Revised: 25 Dec 2022
Serena Ng and Sydney C. Ludvigson
Columbia University - Columbia Business School, Economics and New York University - Department of Economics
Downloads 161 (313,932)
Citation 58

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Macro Factors in Bond Risk Premia

The Review of Financial Studies, Vol. 22, Issue 12, pp. 5027-5067, 2009
Posted: 24 Nov 2009
Sydney C. Ludvigson and Serena Ng
New York University - Department of Economics and Columbia University - Columbia Business School, Economics

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E0, E4, G10, G12

27.
Downloads 147 (338,499)
Citation 11

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 89 (490,194)
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 2023
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 58 (626,148)

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28.

Origins of Stock Market Fluctuations

NBER Working Paper No. w19818
Number of pages: 64 Posted: 17 Jan 2014 Last Revised: 25 Feb 2023
Daniel Greenwald, Daniel Greenwald, Martin Lettau and Sydney C. Ludvigson
New York University (NYU) - Leonard N. Stern School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California - Haas School of Business and New York University - Department of Economics
Downloads 146 (340,344)
Citation 4

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29.

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

NBER Working Paper No. w21803
Number of pages: 52 Posted: 14 Dec 2015 Last Revised: 28 Jan 2023
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia University - Columbia Business School, Economics
Downloads 119 (397,889)
Citation 60

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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
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 115 (407,904)
Citation 6

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wealth effect, cointegretion, permanent income

31.

A Factor Analysis of Bond Risk Premia

NBER Working Paper No. w15188
Number of pages: 60 Posted: 28 Jul 2009 Last Revised: 03 Jul 2022
Sydney C. Ludvigson and Serena Ng
New York University - Department of Economics and Columbia University - Columbia Business School, Economics
Downloads 99 (453,763)
Citation 10

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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 Nov 2022
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 95 (466,206)
Citation 39

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33.

Monetary Policy and Asset Valuation

NBER Working Paper No. w22572
Number of pages: 131 Posted: 31 Aug 2016 Last Revised: 01 Apr 2022
Francesco Bianchi, Martin Lettau and Sydney C. Ludvigson
Johns Hopkins University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 81 (514,438)

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34.

Covid-19 and the Macroeconomic Effects of Costly Disasters

NBER Working Paper No. w26987
Number of pages: 24 Posted: 13 Apr 2020 Last Revised: 29 Mar 2023
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia University - Columbia Business School, Economics
Downloads 74 (542,266)
Citation 16

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35.

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior

NBER Working Paper No. w10503
Number of pages: 59 Posted: 31 May 2004 Last Revised: 14 Sep 2022
Xiaohong Chen and Sydney C. Ludvigson
Yale University - Cowles Foundation and New York University - Department of Economics
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36.
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Citation 27

Belief Distortions and Macroeconomic Fluctuations

NBER Working Paper No. w27406
Number of pages: 91 Posted: 22 Jun 2020 Last Revised: 21 May 2023
Francesco Bianchi, Sydney C. Ludvigson and Sai Ma
Johns Hopkins University, New York University - Department of Economics and Board of Governors of the Federal Reserve System
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Citation 1

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Belief Distortions and Macroeconomic Fluctuations

CEPR Discussion Paper No. DP15003
Number of pages: 93 Posted: 28 Jul 2020 Last Revised: 04 Feb 2022
Francesco Bianchi, Sydney C. Ludvigson and Sai Ma
Johns Hopkins University, New York University - Department of Economics and Board of Governors of the Federal Reserve System
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beliefs, Biases, Expectations, Machine Learning

37.

International Capital Flows and House Prices: Theory and Evidence

NBER Working Paper No. w17751
Number of pages: 64 Posted: 14 Jan 2012 Last Revised: 03 Jul 2023
University of British Columbia (UBC) - Division of Finance, Instituto de Economia, Pontificia Universidad Catolica de Chile, New York University - Department of Economics and Columbia University Graduate School of Business
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Citation 3

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38.

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

39.

Approximation Bias in Linearized Euler Equations

NBER Working Paper No. t0236
Number of pages: 49 Posted: 10 Jul 2000 Last Revised: 24 Feb 2023
Christina H. Paxson and Sydney C. Ludvigson
Princeton University and New York University - Department of Economics
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40.

Shock Restricted Structural Vector-Autoregressions

NBER Working Paper No. w23225
Number of pages: 49 Posted: 19 Mar 2017 Last Revised: 18 Jun 2023
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia University - Columbia Business School, Economics
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41.

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
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Citation 9
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Sharpe ratio, expected returns, volatility, consumption

42.

Summary of Floor Discussion

Economic Policy Review, Vol. 3, No. 1, February 1997
Number of pages: 2 Posted: 12 Nov 2007
Jason Bram and Sydney C. Ludvigson
Independent and New York University - Department of Economics
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New York City, New York City economy

43.

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
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Q-Theory, investment, risk premia

44.

Drivers of the Great Housing Boom-Bust: Credit Conditions, Beliefs, or Both?

NBER Working Paper No. w25285
Number of pages: 52 Posted: 26 Nov 2018 Last Revised: 02 Feb 2023
Josue Cox and Sydney C. Ludvigson
New York University (NYU) - Department of Economics and New York University - Department of Economics
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45.

Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach

NBER Working Paper No. w30072
Number of pages: 79 Posted: 23 May 2022 Last Revised: 04 Jun 2023
Francesco Bianchi, Sydney C. Ludvigson and Sai Ma
Johns Hopkins University, New York University - Department of Economics and Board of Governors of the Federal Reserve System
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46.

How the Wealth Was Won: Factor Shares as Market Fundamentals

CEPR Discussion Paper No. DP14200
Number of pages: 58 Posted: 17 Dec 2019
Daniel 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
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47.

Origins of Stock Market Fluctuations

CEPR Discussion Paper No. DP10336
Number of pages: 65 Posted: 23 Jan 2015
Daniel 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
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labor income, stock market wealth, stock prices

48.

Consumption and Credit: A Model of Time-Varying Liquidity Constraints

Posted: 06 Jun 2000
Sydney C. Ludvigson
New York University - Department of Economics

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49.

The Channel of Monetary Transmission to Demand: Evidence from the Market for Automobile Credit

Journal of Money, Credit and Banking, Vol. 30, No. 3, Part 1 (August 1998)
Posted: 11 Apr 1998
Sydney C. Ludvigson
New York University - Department of Economics

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