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Details about Martin Lettau

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Workplace:Finance Group, Walter A. Haas School of Business, University of California-Berkeley, (more information at EDIRC)

Access statistics for papers by Martin Lettau.

Last updated 2014-01-17. Update your information in the RePEc Author Service.

Short-id: ple572


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Working Papers

2011

  1. Shocks and Crashes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)

2009

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

2007

  1. Investor Information, Long-Run Risk, and the Term Structure of Equity
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (43)

2006

  1. Reconciling the Return Predictability Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    Also in 2006 Meeting Papers, Society for Economic Dynamics (2006) Downloads View citations (2)

    See also Journal Article in Review of Financial Studies (2008)
  2. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (21)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (37)
    2004 Meeting Papers, Society for Economic Dynamics (2004) Downloads View citations (15)

    See also Journal Article in Review of Financial Studies (2008)

2005

  1. Euler Equation Errors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (5)
    2005 Meeting Papers, Society for Economic Dynamics (2005) Downloads View citations (5)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (5)

    See also Journal Article in Review of Economic Dynamics (2009)
  2. Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  3. Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (11)

    See also Journal Article in Journal of Finance (2007)

2003

  1. Expected Returns and Expected Dividend Growth
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (24)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads View citations (6)

    See also Journal Article in Journal of Financial Economics (2005)
  2. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (48)
    See also Journal Article in American Economic Review (2004)

2001

  1. A primer on the economics and time series econometrics of wealth effects: a comment
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (10)
  2. Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) Downloads View citations (5)
  3. Measuring and Modelling Variation in the Risk-Return Trade-off
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
  4. Robustness of Adaptive Expectations as an Equilibrium Selection Device
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (14)
    Also in Working Papers, Tilburg - Center for Economic Research (1995) View citations (1)
  5. Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    See also Journal Article in Journal of Monetary Economics (2002)
  6. Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)

2000

  1. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (137)
  2. LARGE NONPARAMETRIC ESTIMATION OF TIME VARYING CHARACTERISTICS OF INTERTEMPORAL ASSET PRICING MODELS
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (1)

1999

  1. Consumption, Aggregate Wealth and Expected Stock Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in Staff Reports, Federal Reserve Bank of New York (1999) Downloads View citations (129)

    See also Journal Article in Journal of Finance (2001)
  2. Dispersion and Volatility in Stock Returns: An Empirical Investigation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) Downloads View citations (5)
  3. Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (73)
    See also Journal Article in Journal of Political Economy (2001)

1998

  1. Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)

1997

  1. Preferences, Consumption Smoothing, and Risk Premia
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (12)

Undated

  1. Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (6)
  2. Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market
    Computing in Economics and Finance 1997, Society for Computational Economics Downloads View citations (2)

Journal Articles

2009

  1. Euler Equation Errors
    Review of Economic Dynamics, 2009, 12, (2), 255-283 Downloads View citations (13)
    See also Software Item (2008)
    Working Paper (2005)

2008

  1. Reconciling the Return Predictability Evidence
    Review of Financial Studies, 2008, 21, (4), 1607-1652 Downloads View citations (214)
    See also Working Paper (2006)
  2. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
    Review of Financial Studies, 2008, 21, (4), 1653-1687 Downloads View citations (121)
    Also in Proceedings, 2005 (2005) Downloads View citations (14)

    See also Working Paper (2006)

2007

  1. Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium
    Journal of Finance, 2007, 62, (1), 55-92 Downloads View citations (139)
    See also Working Paper (2005)

2005

  1. Expected returns and expected dividend growth
    Journal of Financial Economics, 2005, 76, (3), 583-626 Downloads View citations (132)
    See also Working Paper (2003)
  2. tay's as good as cay: Reply
    Finance Research Letters, 2005, 2, (1), 15-22 Downloads View citations (14)

2004

  1. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
    American Economic Review, 2004, 94, (1), 276-299 Downloads View citations (256)
    See also Working Paper (2003)

2003

  1. Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models
    Economic Journal, 2003, 113, (489), 550-575 Downloads View citations (21)

2002

  1. Monetary policy transmission through the consumption-wealth channel
    Economic Policy Review, 2002, 8, (May), 117-133 Downloads View citations (55)
  2. Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment
    Journal of Monetary Economics, 2002, 49, (1), 31-66 Downloads View citations (54)
    See also Working Paper (2001)

2001

  1. Consumption, Aggregate Wealth, and Expected Stock Returns
    Journal of Finance, 2001, 56, (3), 815-849 Downloads View citations (706)
    See also Working Paper (1999)
  2. Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying
    Journal of Political Economy, 2001, 109, (6), 1238-1287 Downloads View citations (376)
    See also Working Paper (1999)
  3. Statistical estimation and moment evaluation of a stochastic growth model with asset market restrictions
    Journal of Economic Behavior & Organization, 2001, 44, (1), 85-103 Downloads View citations (5)

2000

  1. Can Habit Formation be Reconciled with Business Cycle Facts?
    Review of Economic Dynamics, 2000, 3, (1), 79-99 Downloads View citations (133)
  2. Cross-variable restrictions in Euler equations and risk premia
    Applied Economics Letters, 2000, 7, (2), 99-101 Downloads View citations (2)

1999

  1. Rules of Thumb versus Dynamic Programming
    American Economic Review, 1999, 89, (1), 148-174 Downloads View citations (47)

1997

  1. Explaining the facts with adaptive agents: The case of mutual fund flows
    Journal of Economic Dynamics and Control, 1997, 21, (7), 1117-1147 Downloads View citations (41)

Chapters

Software Items

2008

  1. Code and data files for "Euler Equation Errors"
    Computer Codes, Review of Economic Dynamics Downloads
    See also Journal Article in Review of Economic Dynamics (2009)
 
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