Details about Martin Lettau
Access statistics for papers by Martin Lettau.
Last updated 2022-03-14. Update your information in the RePEc Author Service.
Short-id: ple572
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Working Papers
2022
- High-Dimensional Factor Models with an Application to Mutual Fund Characteristics
NBER Working Papers, National Bureau of Economic Research, Inc 
Also in MPRA Paper, University Library of Munich, Germany (2021)
- Idiosyncratic Equity Risk Two Decades Later
NBER Working Papers, National Bureau of Economic Research, Inc
2019
- How the Wealth Was Won: Factor Shares as Market Fundamentals
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (12)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (15)
2018
- Capital Share Risk in U.S. Asset Pricing
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014)
See also Journal Article in Journal of Finance (2019)
- Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (2)
- Estimating Latent Asset-Pricing Factors
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (12)
See also Journal Article in Journal of Econometrics (2020)
- Exchange Traded Funds 101 For Economists
NBER Working Papers, National Bureau of Economic Research, Inc View citations (29)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (29)
See also Journal Article in Journal of Economic Perspectives (2018)
- Factors that Fit the Time Series and Cross-Section of Stock Returns
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (5)
See also Journal Article in Review of Financial Studies (2020)
- Monetary Policy and Asset Valuation
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (13)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (13)
2015
- Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
- Origins of Stock Market Fluctuations
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (27)
2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (30)
2013
- Conditional Risk Premia in Currency Markets and Other Asset Classes
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (14)
See also Journal Article in Journal of Financial Economics (2014)
2011
- Shocks and Crashes
NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
See also Journal Article in NBER Macroeconomics Annual (2014)
Chapter (2013)
2009
- The Term Structures of Equity and Interest Rates
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
See also Journal Article in Journal of Financial Economics (2011)
2007
- Investor Information, Long-Run Risk, and the Term Structure of Equity
NBER Working Papers, National Bureau of Economic Research, Inc View citations (43)
See also Journal Article in Review of Financial Studies (2015)
2006
- Investor Information, Long-Run Risk, and the Duration fo Risky Assets
2006 Meeting Papers, Society for Economic Dynamics View citations (10)
- Reconciling the Return Predictability Evidence
2006 Meeting Papers, Society for Economic Dynamics View citations (10)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (18)
See also Journal Article in Review of Financial Studies (2008)
- The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (24)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (44)
2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (24)
See also Journal Article in Review of Financial Studies (2008)
2005
- Euler Equation Errors
NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (7)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (7)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (7)
See also Journal Article in Review of Economic Dynamics (2009)
- Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability
CEPR Discussion Papers, C.E.P.R. Discussion Papers
- 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 (14)
Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (6)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (15)
See also Journal Article in Journal of Finance (2007)
2003
- Expected Returns and Expected Dividend Growth
NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (6)
See also Journal Article in Journal of Financial Economics (2005)
- Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
NBER Working Papers, National Bureau of Economic Research, Inc View citations (51)
See also Journal Article in American Economic Review (2004)
2001
- A primer on the economics and time series econometrics of wealth effects: a comment
Staff Reports, Federal Reserve Bank of New York View citations (10)
- Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
Scholarly Articles, Harvard University Department of Economics View citations (929)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (137)
See also Journal Article in Journal of Finance (2001)
- Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?
Staff Reports, Federal Reserve Bank of New York View citations (1)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) View citations (5)
- Measuring and Modelling Variation in the Risk-Return Trade-off
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
- Robustness of Adaptive Expectations as an Equilibrium Selection Device
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
Also in Discussion Paper, Tilburg University, Center for Economic Research (1995) View citations (3)
Other publications TiSEM, Tilburg University, School of Economics and Management (1995) View citations (3)
Working Papers, Tilburg - Center for Economic Research (1995) View citations (1)
See also Journal Article in Macroeconomic Dynamics (2003)
- 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 View citations (3)
See also Journal Article in Journal of Monetary Economics (2002)
- Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
2000
- 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
- Consumption, Aggregate Wealth and Expected Stock Returns
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
Also in Staff Reports, Federal Reserve Bank of New York (1999) View citations (129)
See also Journal Article in Journal of Finance (2001)
- Dispersion and Volatility in Stock Returns: An Empirical Investigation
NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) View citations (6)
- Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying
Staff Reports, Federal Reserve Bank of New York View citations (73)
See also Journal Article in Journal of Political Economy (2001)
1998
- Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
1997
- Comment on "The Spirit of Capitalism and Stock Market Prices" By G.S. Bakshi and Z. Chen (AER, 1996)
Discussion Paper, Tilburg University, Center for Economic Research
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1997)
- Preferences, Consumption Smoothing and Risk Premia
Discussion Paper, Tilburg University, Center for Economic Research View citations (15)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1997) View citations (14)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (1997) View citations (17)
1995
- Can Habit Formation be Reconciled with Business Cycle Facts?
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (10)
Also in Discussion Paper, Tilburg University, Center for Economic Research (1995) View citations (13)
See also Journal Article in Review of Economic Dynamics (2000)
- Rule of Thumb and Dynamic Programming
Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1995)
Undated
- 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 View citations (8)
- Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market
Computing in Economics and Finance 1997, Society for Computational Economics View citations (7)
Journal Articles
2020
- Estimating latent asset-pricing factors
Journal of Econometrics, 2020, 218, (1), 1-31 View citations (13)
See also Working Paper (2018)
- Factors That Fit the Time Series and Cross-Section of Stock Returns
Review of Financial Studies, 2020, 33, (5), 2274-2325 View citations (22)
See also Working Paper (2018)
2019
- Capital Share Risk in U.S. Asset Pricing
Journal of Finance, 2019, 74, (4), 1753-1792 View citations (11)
See also Working Paper (2018)
2018
- Exchange-Traded Funds 101 for Economists
Journal of Economic Perspectives, 2018, 32, (1), 135-54 View citations (29)
See also Working Paper (2018)
2015
- Investor Information, Long-Run Risk, and the Term Structure of Equity
Review of Financial Studies, 2015, 28, (3), 706-742 View citations (38)
See also Working Paper (2007)
2014
- Conditional risk premia in currency markets and other asset classes
Journal of Financial Economics, 2014, 114, (2), 197-225 View citations (142)
See also Working Paper (2013)
- Shocks and Crashes
NBER Macroeconomics Annual, 2014, 28, (1), 293 - 354 View citations (8)
See also Working Paper (2011)
Chapter (2013)
2011
- The term structures of equity and interest rates
Journal of Financial Economics, 2011, 101, (1), 90-113 View citations (75)
See also Working Paper (2009)
2009
- Euler Equation Errors
Review of Economic Dynamics, 2009, 12, (2), 255-283 View citations (26)
See also Software Item (2008)
Working Paper (2005)
2008
- Reconciling the Return Predictability Evidence
Review of Financial Studies, 2008, 21, (4), 1607-1652 View citations (275)
See also Working Paper (2006)
- The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
Review of Financial Studies, 2008, 21, (4), 1653-1687 View citations (167)
Also in Proceedings, 2005 (2005) View citations (14)
See also Working Paper (2006)
2007
- Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium
Journal of Finance, 2007, 62, (1), 55-92 View citations (165)
See also Working Paper (2005)
2005
- Expected returns and expected dividend growth
Journal of Financial Economics, 2005, 76, (3), 583-626 View citations (158)
See also Working Paper (2003)
- tay's as good as cay: Reply
Finance Research Letters, 2005, 2, (1), 15-22 View citations (15)
2004
- Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
American Economic Review, 2004, 94, (1), 276-299 View citations (380)
See also Working Paper (2003)
2003
- Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models
Economic Journal, 2003, 113, (489), 550-575 View citations (33)
- ROBUSTNESS OF ADAPTIVE EXPECTATIONS AS AN EQUILIBRIUM SELECTION DEVICE
Macroeconomic Dynamics, 2003, 7, (1), 89-118 View citations (12)
See also Working Paper (2001)
2002
- Monetary policy transmission through the consumption-wealth channel
Economic Policy Review, 2002, 8, (May), 117-133 View citations (64)
- THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
Macroeconomic Dynamics, 2002, 6, (2), 242-265 View citations (23)
- 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 View citations (67)
See also Working Paper (2001)
2001
- Consumption, Aggregate Wealth, and Expected Stock Returns
Journal of Finance, 2001, 56, (3), 815-849 View citations (895)
See also Working Paper (1999)
- Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
Journal of Finance, 2001, 56, (1), 1-43 View citations (960)
See also Working Paper (2001)
- Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying
Journal of Political Economy, 2001, 109, (6), 1238-1287 View citations (498)
See also Working Paper (1999)
- Statistical estimation and moment evaluation of a stochastic growth model with asset market restrictions
Journal of Economic Behavior & Organization, 2001, 44, (1), 85-103 View citations (5)
2000
- Can Habit Formation be Reconciled with Business Cycle Facts?
Review of Economic Dynamics, 2000, 3, (1), 79-99 View citations (165)
See also Working Paper (1995)
- Cross-variable restrictions in Euler equations and risk premia
Applied Economics Letters, 2000, 7, (2), 99-101 View citations (3)
1999
- Rules of Thumb versus Dynamic Programming
American Economic Review, 1999, 89, (1), 148-174 View citations (61)
1997
- Explaining the facts with adaptive agents: The case of mutual fund flows
Journal of Economic Dynamics and Control, 1997, 21, (7), 1117-1147 View citations (49)
Chapters
2013
- Shocks and Crashes
A chapter in NBER Macroeconomics Annual 2013, Volume 28, 2013, pp 293-354 View citations (23)
See also Journal Article in NBER Macroeconomics Annual (2014)
Working Paper (2011)
Software Items
2008
- Code and data files for "Euler Equation Errors"
Computer Codes, Review of Economic Dynamics
See also Journal Article in Review of Economic Dynamics (2009)
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