Martin Lettau
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Martin |
| last: |
Lettau |
Identifer
Contact
Affiliations
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University of California-Berkeley
/ Walter A. Haas School of Business
/ Finance Group
Research profile
author of:
- Rules of Thumb versus Dynamic Programming (RePEc:aea:aecrev:v:89:y:1999:i:1:p:148-174)
by Harald Uhlig & Martin Lettau - Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (RePEc:aea:aecrev:v:94:y:2004:i:1:p:276-299)
by Martin Lettau & Sydney C. Ludvigson - Exchange-Traded Funds 101 for Economists (RePEc:aea:jecper:v:32:y:2018:i:1:p:135-54)
by Martin Lettau & Ananth Madhavan - Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (RePEc:bla:jfinan:v:56:y:2001:i:1:p:1-43)
by John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu - Consumption, Aggregate Wealth, and Expected Stock Returns (RePEc:bla:jfinan:v:56:y:2001:i:3:p:815-849)
by Martin Lettau & Sydney Ludvigson - Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium (RePEc:bla:jfinan:v:62:y:2007:i:1:p:55-92)
by Martin Lettau & Jessica A. Wachter - Capital Share Risk in U.S. Asset Pricing (RePEc:bla:jfinan:v:74:y:2019:i:4:p:1753-1792)
by Martin Lettau & Sydney C. Ludvigson & Sai Ma - Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing (RePEc:cpr:ceprdp:10335)
by Lettau, Martin & Ludvigson, Sydney & Ma, Sai - Origins of Stock Market Fluctuations (RePEc:cpr:ceprdp:10336)
by Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan - Monetary Policy and Asset Valuation (RePEc:cpr:ceprdp:12275)
by Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney - Capital Share Risk in U.S. Asset Pricing (RePEc:cpr:ceprdp:12628)
by Lettau, Martin & Ludvigson, Sydney & Ma, Sai - Exchange Traded Funds 101 For Economists (RePEc:cpr:ceprdp:12629)
by Lettau, Martin & Madhavan, Ananth - Monetary Policy and Asset Valuation (RePEc:cpr:ceprdp:12671)
by Lettau, Martin & Ludvigson, Sydney & Bianchi, Francesco - Estimating Latent Asset-Pricing Factors (RePEc:cpr:ceprdp:12926)
by Lettau, Martin & Pelger, Markus - Factors that Fit the Time Series and Cross-Section of Stock Returns (RePEc:cpr:ceprdp:13049)
by Lettau, Martin & Pelger, Markus - Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? (RePEc:cpr:ceprdp:13395)
by Lettau, Martin & Ludvigson, Sydney & Manoel, Paulo - How the Wealth Was Won: Factor Shares as Market Fundamentals (RePEc:cpr:ceprdp:14200)
by Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan - Preferences, Consumption Smoothing, and Risk Premia (RePEc:cpr:ceprdp:1678)
by Lettau, Martin & Uhlig, Harald - Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle? (RePEc:cpr:ceprdp:1795)
by Lettau, Martin - Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model (RePEc:cpr:ceprdp:1884)
by Lettau, Martin - Dispersion and Volatility in Stock Returns: An Empirical Investigation (RePEc:cpr:ceprdp:1923)
by Campbell, John Y & Kim, Sangjoon & Lettau, Martin - Consumption, Aggregate Wealth and Expected Stock Returns (RePEc:cpr:ceprdp:2223)
by Lettau, Martin & Ludvigson, Sydney - Robustness of Adaptive Expectations as an Equilibrium Selection Device (RePEc:cpr:ceprdp:2882)
by Van Zandt, Timothy & Lettau, Martin - Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment (RePEc:cpr:ceprdp:3103)
by Lettau, Martin & Ludvigson, Sydney - Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption (RePEc:cpr:ceprdp:3104)
by Lettau, Martin & Ludvigson, Sydney - Measuring and Modelling Variation in the Risk-Return Trade-off (RePEc:cpr:ceprdp:3105)
by Lettau, Martin & Ludvigson, Sydney - Expected Returns and Expected Dividend Growth (RePEc:cpr:ceprdp:3507)
by Lettau, Martin & Ludvigson, Sydney - Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium (RePEc:cpr:ceprdp:4921)
by Lettau, Martin & Wachter, Jessica - Euler Equation Errors (RePEc:cpr:ceprdp:4922)
by Lettau, Martin & Ludvigson, Sydney - Euler Equation Errors (RePEc:cpr:ceprdp:5245)
by Lettau, Martin & Ludvigson, Sydney - Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability (RePEc:cpr:ceprdp:5355)
by Lettau, Martin & Van Nieuwerburgh, Stijn - The Declining Equity Premium: What Role Does Macroeconomic Risk Play? (RePEc:cpr:ceprdp:5519)
by Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica - Conditional Risk Premia in Currency Markets and Other Asset Classes (RePEc:cpr:ceprdp:9484)
by Lettau, Martin & Maggiori, Matteo & Weber, Michael - The Sharpe Ratio And Preferences: A Parametric Approach (RePEc:cup:macdyn:v:6:y:2002:i:02:p:242-265_03)
by Lettau, Martin & Uhlig, Harald - Robustness Of Adaptive Expectations As An Equilibrium Selection Device (RePEc:cup:macdyn:v:7:y:2003:i:01:p:89-118_01)
by Van Zandt, Timothy & Lettau, Martin - Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models (RePEc:ecj:econjl:v:113:y:2003:i:489:p:550-575)
by Martin Lettau - Explaining the facts with adaptive agents: The case of mutual fund flows (RePEc:eee:dyncon:v:21:y:1997:i:7:p:1117-1147)
by Lettau, Martin - Estimating latent asset-pricing factors (RePEc:eee:econom:v:218:y:2020:i:1:p:1-31)
by Lettau, Martin & Pelger, Markus - tay's as good as cay: Reply (RePEc:eee:finlet:v:2:y:2005:i:1:p:15-22)
by Lettau, Martin & Ludvigson, Sydney C. - Statistical estimation and moment evaluation of a stochastic growth model with asset market restrictions (RePEc:eee:jeborg:v:44:y:2001:i:1:p:85-103)
by Lettau, Martin & Gong, Gang & Semmler, Willi - The term structures of equity and interest rates (RePEc:eee:jfinec:v:101:y:2011:i:1:p:90-113)
by Lettau, Martin & Wachter, Jessica A. - Conditional risk premia in currency markets and other asset classes (RePEc:eee:jfinec:v:114:y:2014:i:2:p:197-225)
by Lettau, Martin & Maggiori, Matteo & Weber, Michael - Expected returns and expected dividend growth (RePEc:eee:jfinec:v:76:y:2005:i:3:p:583-626)
by Lettau, Martin & Ludvigson, Sydney C. - Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment (RePEc:eee:moneco:v:49:y:2002:i:1:p:31-66)
by Lettau, Martin & Ludvigson, Sydney - The declining equity premium: what role does macroeconomic risk play? (RePEc:fip:fedgpr:y:2005:x:27)
by Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter - Monetary policy transmission through the consumption-wealth channel (RePEc:fip:fednep:y:2002:i:may:p:117-133:n:v.8no.1)
by Martin Lettau & Sydney C. Ludvigson & Charles Steindel - Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle? (RePEc:fip:fednsr:130)
by Martin Lettau - A primer on the economics and time series econometrics of wealth effects: a comment (RePEc:fip:fednsr:131)
by Nathan Barczi & Martin Lettau & Sydney C. Ludvigson - Consumption, aggregate wealth and expected stock returns (RePEc:fip:fednsr:77)
by Martin Lettau & Sydney C. Ludvigson - Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying (RePEc:fip:fednsr:93)
by Martin Lettau & Sydney C. Ludvigson - Robustness of Adaptive Expections as an Equilibrium Selection Device (RePEc:fth:tilbur:9598)
by Lettau, M. & Van Zandt, T. - Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (RePEc:hrv:faseco:3128707)
by Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao - Shocks and Crashes (RePEc:nbr:nberch:12932)
by Martin Lettau & Sydney C. Ludvigson - The Declining Equity Premium: What Role Does Macroeconomic Risk Play? (RePEc:nbr:nberwo:10270)
by Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter - Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium (RePEc:nbr:nberwo:11144)
by Martin Lettau & Jessica Wachter - Euler Equation Errors (RePEc:nbr:nberwo:11606)
by Martin Lettau & Sydney C. Ludvigson - Reconciling the Return Predictability Evidence (RePEc:nbr:nberwo:12109)
by Martin Lettau & Stijn Van Nieuwerburgh - Investor Information, Long-Run Risk, and the Term Structure of Equity (RePEc:nbr:nberwo:12912)
by Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson - The Term Structures of Equity and Interest Rates (RePEc:nbr:nberwo:14698)
by Martin Lettau & Jessica A. Wachter - Shocks and Crashes (RePEc:nbr:nberwo:16996)
by Martin Lettau & Sydney C. Ludvigson - Conditional Risk Premia in Currency Markets and Other Asset Classes (RePEc:nbr:nberwo:18844)
by Martin Lettau & Matteo Maggiori & Michael Weber - Origins of Stock Market Fluctuations (RePEc:nbr:nberwo:19818)
by Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson - Capital Share Risk in U.S. Asset Pricing (RePEc:nbr:nberwo:20744)
by Martin Lettau & Sydney C. Ludvigson & Sai Ma - Monetary Policy and Asset Valuation (RePEc:nbr:nberwo:22572)
by Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson - Exchange Traded Funds 101 For Economists (RePEc:nbr:nberwo:24250)
by Martin Lettau & Ananth Madhavan - Estimating Latent Asset-Pricing Factors (RePEc:nbr:nberwo:24618)
by Martin Lettau & Markus Pelger - Factors that Fit the Time Series and Cross-Section of Stock Returns (RePEc:nbr:nberwo:24858)
by Martin Lettau & Markus Pelger - Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? (RePEc:nbr:nberwo:25381)
by Martin Lettau & Sydney C. Ludvigson & Paulo Manoel - How the Wealth Was Won: Factor Shares as Market Fundamentals (RePEc:nbr:nberwo:25769)
by Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson - High-Dimensional Factor Models with an Application to Mutual Fund Characteristics (RePEc:nbr:nberwo:29833)
by Martin Lettau - Idiosyncratic Equity Risk Two Decades Later (RePEc:nbr:nberwo:29916)
by John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu - High-Dimensional Factor Models and the Factor Zoo (RePEc:nbr:nberwo:31719)
by Martin Lettau - 3D-PCA: Factor Models with Restrictions (RePEc:nbr:nberwo:32261)
by Martin Lettau - Glass Box Machine Learning and Corporate Bond Returns (RePEc:nbr:nberwo:33320)
by Sebastian Bell & Ali Kakhbod & Martin Lettau & Abdolreza Nazemi - AlphaGlass: Interpretable Characteristic-Based Portfolio Choice (RePEc:nbr:nberwo:35186)
by Sebastian Bell & Ali Kakhbod & Martin Lettau & Abdolreza Nazemi - Dispersion and Volatility in Stock Returns: An Empirical Investigation (RePEc:nbr:nberwo:7144)
by John Y. Campbell & Martin Lettau - Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (RePEc:nbr:nberwo:7590)
by John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu - Expected Returns and Expected Dividend Growth (RePEc:nbr:nberwo:9605)
by Martin Lettau & Sydney Ludvigson - Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (RePEc:nbr:nberwo:9848)
by Martin Lettau & Sydney Ludvigson - Reconciling the Return Predictability Evidence (RePEc:oup:rfinst:v:21:y:2008:i:4:p:1607-1652)
by Martin Lettau & Stijn Van Nieuwerburgh - The Declining Equity Premium: What Role Does Macroeconomic Risk Play? (RePEc:oup:rfinst:v:21:y:2008:i:4:p:1653-1687)
by Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter - Investor Information, Long-Run Risk, and the Term Structure of Equity (RePEc:oup:rfinst:v:28:y:2015:i:3:p:706-742.)
by Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson - Factors That Fit the Time Series and Cross-Section of Stock Returns (RePEc:oup:rfinst:v:33:y:2020:i:5:p:2274-2325.)
by Martin Lettau & Markus Pelger & Stijn Van Nieuwerburgh - High Dimensional Factor Models with an Application to Mutual Fund Characteristics (RePEc:pra:mprapa:112192)
by Lettau, Martin - Code and data files for "Euler Equation Errors" (RePEc:red:ccodes:08-106)
by Martin Lettau & Sydney Ludvigson - Euler Equation Errors (RePEc:red:issued:08-106)
by Martin Lettau & Sydney Ludvigson - Can Habit Formation be Reconciled with Business Cycle Facts? (RePEc:red:issued:v:3:y:2000:i:1:p:79-99)
by Martin Lettau & Harald Uhlig - The Declining Equity Premium: What Role Does Macroeconomic Risk Play? (RePEc:red:sed004:644)
by Martin Lettau & Sydney C. Ludvigson - Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium (RePEc:red:sed005:302)
by Jessica Wachter & Martin Lettau - Euler Equation Errors (RePEc:red:sed005:487)
by Sydney C. Ludvigson & Martin Lettau - Reconciling the Return Predictability Evidence (RePEc:red:sed006:29)
by Martin Lettau & Stijn Van Nieuwerburgh - Investor Information, Long-Run Risk, and the Duration fo Risky Assets (RePEc:red:sed006:628)
by Mariano M. Croce & Martin Lettau & Sydney Ludvigson - The Origins of Stock Market Fluctuations (RePEc:red:sed014:542)
by Sydney Ludvigson & Martin Lettau & Daniel Greenwald - Large Nonparametric Estimation Of Time Varying Characteristics Of Intertemporal Asset Pricing Models (RePEc:sce:scecf0:8)
by Peter Woehrmann & Willi Semmler & Martin Lettau - Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market (RePEc:sce:scecf7:36)
by Martin Lettau & Willi Semmler & University of Bielefeld - Cross-variable restrictions in Euler equations and risk premia (RePEc:taf:apeclt:v:7:y:2000:i:2:p:99-101)
by Martin Lettau - Preferences, Consumption Smoothing and Risk Premia (RePEc:tiu:tiucen:129a8e4c-f593-4f03-b35b-2846f24d7311)
by Lettau, M. & Uhlig, H.F.H.V.S. - Rule of Thumb and Dynamic Programming (RePEc:tiu:tiucen:30ad8072-6a3b-4e5b-8227-985bcc71bbbd)
by Lettau, M. & Uhlig, H.F.H.V.S. - Comment on "The Spirit of Capitalism and Stock Market Prices" By G.S. Bakshi and Z. Chen (AER, 1996) (RePEc:tiu:tiucen:4e353018-6c52-453c-8d89-4a20eff036c4)
by Lettau, M. - Can Habit Formation be Reconciled with Business Cycle Facts? (RePEc:tiu:tiucen:b152dad0-97de-48c9-bde6-6864e691a913)
by Lettau, M. & Uhlig, H.F.H.V.S. - Robustness of adaptive expectations as an equilibrium selection device (RePEc:tiu:tiucen:df555a8d-4472-4491-b65e-70b67d74b739)
by Lettau, M. & Van Zandt, T. - Preferences, Consumption Smoothing and Risk Premia (RePEc:tiu:tiutis:129a8e4c-f593-4f03-b35b-2846f24d7311)
by Lettau, M. & Uhlig, H.F.H.V.S. - Rule of Thumb and Dynamic Programming (RePEc:tiu:tiutis:30ad8072-6a3b-4e5b-8227-985bcc71bbbd)
by Lettau, M. & Uhlig, H.F.H.V.S. - Comment on "The Spirit of Capitalism and Stock Market Prices" By G.S. Bakshi and Z. Chen (AER, 1996) (RePEc:tiu:tiutis:4e353018-6c52-453c-8d89-4a20eff036c4)
by Lettau, M. - Can Habit Formation be Reconciled with Business Cycle Facts? (RePEc:tiu:tiutis:b152dad0-97de-48c9-bde6-6864e691a913)
by Lettau, M. & Uhlig, H.F.H.V.S. - Robustness of adaptive expectations as an equilibrium selection device (RePEc:tiu:tiutis:df555a8d-4472-4491-b65e-70b67d74b739)
by Lettau, M. & Van Zandt, T. - Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying (RePEc:ucp:jpolec:v:109:y:2001:i:6:p:1238-1287)
by Martin Lettau & Sydney Ludvigson - Shocks and Crashes (RePEc:ucp:macann:doi:10.1086/674605)
by Martin Lettau & Sydney C. Ludvigson - Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models (RePEc:zur:iewwpx:225)
by Peter Woehrmann & Willi Semmler & Martin Lettau