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

44

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CITATIONS
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2,010

Scholarly Papers (44)

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 1,267 (14,666)
Citation 36

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consumber confidence, household expenditures

2.

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

Eleventh Annual Utah Winter Conference; AFA 2001 New Orleans; FRB of New York Staff Reports, No. 93
Number of pages: 59 Posted: 31 Jan 2000
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 1,156 (16,911)
Citation 280

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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 992 (20,942)
Citation 36

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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 53 (375,999)
Citation 36

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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: 18 May 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 44 (407,811)
Citation 36

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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 37 (436,305)
Citation 36

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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 27 (484,679)
Citation 36

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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 701 (34,188)
Citation 102

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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 81 (299,018)
Citation 102

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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 51 (382,669)
Citation 102

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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 24 (502,396)
Citation 102
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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 808 ( 28,622)
Citation 112

Expected Returns and Expected Dividend Growth

AFA 2003 Washington, DC Meetings; New York University Economics Department Working Paper No. FIN-02-024
Number of pages: 64 Posted: 15 Aug 2002
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 555 (46,732)
Citation 112

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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 103 (255,851)
Citation 112

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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 44 (407,811)
Citation 112

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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 37 (436,305)
Citation 112

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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 32 (458,578)
Citation 112

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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 19 (533,504)
Citation 112

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Expected Returns and Expected Dividend Growth

CEPR Discussion Paper No. 3507
Number of pages: 62 Posted: 27 Sep 2002
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 18 (539,786)
Citation 112
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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 637 (38,875)
Citation 447

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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 537 (48,739)
Citation 58

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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: 02 Apr 2015
Serena Ng and Sydney C. Ludvigson
Columbia Business School - Economics Department and New York University - Department of Economics
Downloads 62 (347,741)
Citation 58

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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 438 (63,662)
Citation 2

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9.
Downloads 315 ( 93,407)
Citation 10

Euler Equation Errors

AFA 2007 Chicago Meetings Paper
Number of pages: 56 Posted: 05 Feb 2005
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 197 (150,296)
Citation 10

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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 45 (404,036)
Citation 10

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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 25 (496,381)
Citation 10
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Consumption CAPM and pricing errors

Euler Equation Errors

NYU Working Paper No. FIN-05-026
Number of pages: 61 Posted: 03 Nov 2008
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 25 (496,381)
Citation 10

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Euler Equation Errors

NBER Working Paper No. w11606
Number of pages: 62 Posted: 14 Sep 2006 Last Revised: 19 Sep 2010
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 23 (508,428)
Citation 10

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

AFA 2004 San Diego Meetings
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 227 (131,119)
Citation 43

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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 58 (359,761)
Citation 43

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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 146 (195,888)
Citation 31

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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 73 (318,190)
Citation 30

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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: 03 Oct 2012
Finance Department, Bocconi University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 53 (375,999)
Citation 31

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12.

Monetary Policy Transmission Through the Consumption-Wealth Channel

Economic Policy Review, Vol. 8, No. 1, May 2002
Number of pages: 17 Posted: 26 Oct 2005
Charles Steindel, Martin Lettau and Sydney C. Ludvigson
Federal Reserve Bank of New York, University of California - Haas School of Business and New York University - Department of Economics
Downloads 224 (133,287)
Citation 13

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monetary policy transmission

13.

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 211 (141,109)
Citation 48

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stock markets, consumption

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 113 (239,454)
Citation 13

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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 42 (415,578)
Citation 13

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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 34 (449,402)
Citation 13

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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
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 15 (558,919)
Citation 13

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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 152 (189,459)
Citation 5

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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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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 California, Berkeley - Haas School of Business
Downloads 115 (236,349)

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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: 50 Posted: 26 Dec 2018
Martin Lettau, Sydney C. Ludvigson and Paulo Manoel
University of California - Haas School of Business, New York University - Department of Economics and University of California, Berkeley - Haas School of Business
Downloads 31 (463,611)
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Characteristics of Mutual Fund Portfolios: Where are the Value Funds?

CEPR Discussion Paper No. DP13395
Number of pages: 50 Posted: 17 Dec 2018
Martin Lettau, Sydney C. Ludvigson and Paulo Manoel
University of California - Haas School of Business, New York University - Department of Economics and University of California, Berkeley - Haas School of Business
Downloads 2 (651,297)
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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 145 (197,017)
Citation 328

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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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Elasticities of Substitution in Real Business Cycle Models with Home Production

Harvard Institute of Economics Research Paper No. 1900
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 117 (233,347)
Citation 11

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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 20 (527,163)
Citation 11

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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 85 (290,278)
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 43 (411,655)
Citation 5

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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 121 (227,447)

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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 5 (624,958)

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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
Downloads 85 (290,278)

Abstract:

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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
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
Downloads 22 (514,652)

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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
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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
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capital share, inequality, Labor Share, value premium

22.
Downloads 96 (266,438)
Citation 3

Shocks and Crashes

Number of pages: 72 Posted: 24 Apr 2011
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 64 (342,043)
Citation 3

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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
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 32 (458,578)
Citation 3

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23.
Downloads 91 (275,724)
Citation 94

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 91 (277,889)
Citation 94

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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

Abstract:

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E0, E4, G10, G12

24.

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 87 (283,590)
Citation 6

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wealth effect, cointegretion, permanent income

25.

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 86 (285,623)
Citation 3

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26.

Origins of Stock Market Fluctuations

NBER Working Paper No. w19818
Number of pages: 64 Posted: 17 Jan 2014
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 73 (314,786)

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27.

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 53 (370,080)
Citation 92

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28.

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 52 (373,187)
Citation 9

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29.

How the Wealth Was Won: Factors Shares as Market Fundamentals

NBER Working Paper No. w25769
Number of pages: 56 Posted: 22 Apr 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
Downloads 47 (389,804)
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30.

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

CEPR Discussion Paper No. 3104
Number of pages: 65 Posted: 07 Jan 2002
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 41 (411,164)
Citation 80
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Wealth effect, cointegration, consumption, asset values

31.

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

CEPR Discussion Paper No. 3105
Number of pages: 74 Posted: 07 Jan 2002
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 36 (430,846)
Citation 27
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Sharpe ratio, expected returns, volatility, consumption

32.

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

CEPR Discussion Paper No. 3103
Number of pages: 63 Posted: 19 Dec 2001
Martin Lettau and Sydney C. Ludvigson
University of California - Haas School of Business and New York University - Department of Economics
Downloads 30 (456,723)
Citation 51
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Q-Theory, investment, risk premia

33.

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 28 (466,390)
Citation 42

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34.

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

NBER Working Paper No. w21803
Number of pages: 52 Posted: 14 Dec 2015
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve and Columbia Business School - Economics Department
Downloads 26 (476,623)

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35.

Monetary Policy and Asset Valuation

NBER Working Paper No. w22572
Number of pages: 78 Posted: 31 Aug 2016 Last Revised: 02 Sep 2016
Francesco Bianchi, Martin Lettau and Sydney C. Ludvigson
Duke University, University of California - Haas School of Business and New York University - Department of Economics
Downloads 25 (482,012)

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36.

Approximation Bias in Linearized Euler Equations

NBER Working Paper No. t0236
Number of pages: 49 Posted: 10 Jul 2000 Last Revised: 26 Aug 2010
Christina H. Paxson and Sydney C. Ludvigson
Princeton University and New York University - Department of Economics
Downloads 23 (492,893)
Citation 11

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37.

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, Pontificia Universidad Catolica de Chile, New York University - Department of Economics and Columbia University Graduate School of Business
Downloads 18 (521,197)
Citation 6

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38.

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

39.

Shock Restricted Structural Vector-Autoregressions

NBER Working Paper No. w23225
Number of pages: 34 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 and Columbia Business School - Economics Department
Downloads 11 (561,759)

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40.

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
Josue Cox and Sydney C. Ludvigson
New York University (NYU) - Department of Economics and New York University - Department of Economics
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41.

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

Monetary Policy and Asset Valuation

CEPR Discussion Paper No. DP12275
Number of pages: 85 Posted: 11 Sep 2017
Francesco Bianchi, Martin Lettau and Sydney C. Ludvigson
Duke University, University of California - Haas School of Business and New York University - Department of Economics
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Asset Pricing, monetary policy, Real interest rate, Risk premium

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
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43.

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

Review of Economics and Statistics, Vol. 81, No. 3, August 1999
Posted: 06 Jun 2000
Sydney C. Ludvigson
New York University - Department of Economics

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44.

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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