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

48

DOWNLOADS
Rank 4,042

SSRN RANKINGS

Top 4,042

in Total Papers Downloads

11,714

SSRN CITATIONS
Rank 156

SSRN RANKINGS

Top 156

in Total Papers Citations

1,567

CROSSREF CITATIONS

2,522

Scholarly Papers (48)

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
Federal Reserve Bank of New York and New York University - Department of Economics
Downloads 1,484 (14,876)
Citation 4

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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 1,066 (24,133)
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 2021
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 (411,330)
Citation 6

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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 58 (436,098)
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 40 (512,616)

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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 31 (560,766)

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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 1,166 (21,520)
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
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 718 (42,079)
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: 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 87 (347,600)
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
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 58 (436,098)

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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 (599,672)
Citation 17
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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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G12

5.
Downloads 856 ( 33,556)
Citation 140

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 566 (57,548)
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 119 (280,991)
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 49 (471,586)
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: 04 Apr 2015
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 46 (484,538)
Citation 16

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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 35 (538,250)

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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 23 (613,884)

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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 (650,914)
Citation 14
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Dividend growth, consumption, cointegration

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 693 (44,161)
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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The Empirical Risk-Return Relation: A Factor Analysis Approach

Number of pages: 58 Posted: 14 Jul 2005
Serena Ng and Sydney C. Ludvigson
Columbia Business School - Economics Department and New York University - Department of Economics
Downloads 553 (59,317)

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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: 13 May 2021
Serena Ng and Sydney C. Ludvigson
Columbia Business School - Economics Department and New York University - Department of Economics
Downloads 74 (382,985)
Citation 30

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8.

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 444 (78,455)

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9.

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 357 (101,034)
Citation 3

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stock markets, consumption

10.
Downloads 338 (107,405)
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 202 (180,547)

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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 51 (463,236)

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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 30 (566,743)

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Euler Equation Errors

NBER Working Paper No. w11606
Number of pages: 62 Posted: 14 Sep 2006 Last Revised: 20 Mar 2021
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 29 (572,936)
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 (592,677)
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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 164 (217,280)

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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 85 (352,579)
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 2021
Finance Department, Bocconi University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 63 (418,252)
Citation 17

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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 233 (157,465)
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 63 (418,252)
Citation 1

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13.

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 258 (142,974)
Citation 6

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monetary policy transmission

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 171 (209,705)

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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 73 (385,913)

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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 (785,604)
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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 119 (280,991)
Citation 3

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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 47 (480,233)
Citation 22

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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 36 (532,752)

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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 2021
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 18 (650,914)

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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 172 (208,573)
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

Abstract:

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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 159 (223,236)
Citation 12

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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

Abstract:

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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 143 (243,854)

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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
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 9 (722,823)

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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 121 (277,535)
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: 10 Oct 2010
John Y. Campbell and Sydney C. Ludvigson
Harvard University - Department of Economics and New York University - Department of Economics
Downloads 23 (613,884)

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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 87 (347,600)
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
Sydney C. Ludvigson
New York University - Department of Economics
Downloads 53 (455,316)

Abstract:

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21.
Downloads 135 (254,609)
Citation 12

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 106 (305,311)
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: 16 Apr 2021
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 29 (572,936)

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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

22.

Measuring Uncertainty

NBER Working Paper No. w19456
Number of pages: 49 Posted: 20 Sep 2013
Kyle Jurado, Sydney C. Ludvigson and Serena Ng
Duke University - Department of Economics, New York University - Department of Economics and Columbia Business School - Economics Department
Downloads 132 (259,006)
Citation 180

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23.

How the Wealth Was Won: Factors Shares as Market Fundamentals

NBER Working Paper No. w25769
Number of pages: 66 Posted: 22 Apr 2019 Last Revised: 12 Apr 2021
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 120 (278,037)
Citation 5

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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: 15 Sep 2020
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 118 (281,442)

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25.
Downloads 114 (288,373)
Citation 58

Macro Factors in Bond Risk Premia

NBER Working Paper No. w11703
Number of pages: 66 Posted: 14 Sep 2006 Last Revised: 25 Jun 2010
Serena Ng and Sydney C. Ludvigson
Columbia Business School - Economics Department and New York University - Department of Economics
Downloads 114 (289,833)
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 Business School - Economics Department

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E0, E4, G10, G12

26.
Downloads 107 (301,444)
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 67 (404,767)
Citation 8

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structural disturbances, origins, business cycles, macro-finance

NBER Working Paper No. w16996
Number of pages: 78 Posted: 02 May 2011 Last Revised: 15 Jun 2020
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 40 (512,616)

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27.

Origins of Stock Market Fluctuations

NBER Working Paper No. w19818
Number of pages: 64 Posted: 17 Jan 2014 Last Revised: 25 Feb 2021
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 98 (319,629)
Citation 4

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28.

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 91 (335,035)
Citation 6

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wealth effect, cointegretion, permanent income

29.
Downloads 82 (356,964)
Citation 2

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
Duke University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 81 (363,103)

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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
Duke University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 1 (799,569)
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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
Duke University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 0
Citation 1
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30.

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: 04 Apr 2015
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 64 (409,302)
Citation 17

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31.

A Factor Analysis of Bond Risk Premia

NBER Working Paper No. w15188
Number of pages: 60 Posted: 28 Jul 2009 Last Revised: 04 Jul 2010
Sydney C. Ludvigson and Serena Ng
New York University - Department of Economics and Columbia Business School - Economics Department
Downloads 63 (412,757)
Citation 2

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32.

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 2021
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia Business School - Economics Department
Downloads 50 (459,453)
Citation 60

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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: 29 Mar 2021
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 47 (471,620)

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34.

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
Downloads 41 (497,488)
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Wealth effect, cointegration, consumption, asset values

35.

Covid-19 and the Macroeconomic Effects of Costly Disasters

NBER Working Paper No. w26987
Number of pages: 24 Posted: 13 Apr 2020
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia Business School - Economics Department
Downloads 38 (511,245)
Citation 10

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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 (520,728)
Citation 9
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Sharpe ratio, expected returns, volatility, consumption

37.

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 2010
Xiaohong Chen and Sydney C. Ludvigson
Yale University - Cowles Foundation and New York University - Department of Economics
Downloads 32 (541,394)

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38.

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 (552,163)
Citation 6
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Q-Theory, investment, risk premia

39.

International Capital Flows and House Prices: Theory and Evidence

NBER Working Paper No. w17751
Number of pages: 64 Posted: 14 Jan 2012
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
Downloads 27 (569,688)
Citation 3

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40.

Approximation Bias in Linearized Euler Equations

NBER Working Paper No. t0236
Number of pages: 49 Posted: 10 Jul 2000 Last Revised: 24 Feb 2021
Christina H. Paxson and Sydney C. Ludvigson
Princeton University and New York University - Department of Economics
Downloads 26 (575,961)
Citation 1

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41.

Shock Restricted Structural Vector-Autoregressions

NBER Working Paper No. w23225
Number of pages: 49 Posted: 19 Mar 2017
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia Business School - Economics Department
Downloads 18 (628,984)
Citation 5

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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
Federal Reserve Bank of New York and New York University - Department of Economics
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New York City, New York City economy

43.

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: 01 Feb 2021
Josue Cox and Sydney C. Ludvigson
New York University (NYU) - Department of Economics and New York University - Department of Economics
Downloads 10 (687,126)
Citation 3

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Belief Distortions and Macroeconomic Fluctuations

NBER Working Paper No. w27406
Number of pages: 81 Posted: 22 Jun 2020 Last Revised: 10 May 2021
Francesco Bianchi, Sydney C. Ludvigson and Sai Ma
Duke University, New York University - Department of Economics and Board of Governors of the Federal Reserve System
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Belief Distortions and Macroeconomic Fluctuations

CEPR Discussion Paper No. DP15003
Number of pages: 82 Posted: 28 Jul 2020 Last Revised: 01 Mar 2021
Francesco Bianchi, Sydney C. Ludvigson and Sai Ma
Duke University, New York University - Department of Economics and Board of Governors of the Federal Reserve System
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45.

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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46.

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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Citation 1
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labor income, stock market wealth, stock prices

47.

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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48.

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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