Details about Martin Lettau

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Short-id: ple27

Working Papers

2009

1. The Term Structures of Equity and Interest Rates
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2007

2. Investor Information, Long-Run Risk, and the Duration of Risky Cash-Flows
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2006

3. Reconciling the Return Predictability Evidence
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2005

4. Euler Equation Errors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
5. Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2004

6. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2003

7. Expected Returns and Expected Dividend Growth
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
8. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2000

9. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
10. LARGE NONPARAMETRIC ESTIMATION OF TIME VARYING CHARACTERISTICS OF INTERTEMPORAL ASSET PRICING MODELS
    Computing in Economics and Finance 2000, Society for Computational Economics

1999

11. Consumption, Aggregate Wealth and Expected Stock Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Staff Reports, Federal Reserve Bank of New York (1999) View citations
12. Dispersion and Volatility in Stock Returns: An Empirical Investigation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) View citations
13. Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying
    Staff Reports, Federal Reserve Bank of New York View citations

1998

14. Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

1997

15. Preferences, Consumption Smoothing, and Risk Premia
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

1995

16. Can Habit Formation be Reconciled with Business Cycle Facts?
    Discussion Paper, Tilburg University, Center for Economic Research View citations
    See also Journal Article in Review of Economic Dynamics (2000)

Journal Articles

2000

1. Can Habit Formation be Reconciled with Business Cycle Facts?
   Review of Economic Dynamics, 2000, 3, (1), 79-99 View citations
   See also Working Paper (1995)