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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 2022-03-14. Update your information in the RePEc Author Service.

Short-id: ple572


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Working Papers

2022

  1. High-Dimensional Factor Models with an Application to Mutual Fund Characteristics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2021) Downloads
  2. Idiosyncratic Equity Risk Two Decades Later
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2019

  1. How the Wealth Was Won: Factor Shares as Market Fundamentals
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) Downloads View citations (15)

2018

  1. Capital Share Risk in U.S. Asset Pricing
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads

    See also Journal Article in Journal of Finance (2019)
  2. Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) Downloads View citations (2)
  3. Estimating Latent Asset-Pricing Factors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (17)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) Downloads View citations (12)

    See also Journal Article in Journal of Econometrics (2020)
  4. Exchange Traded Funds 101 For Economists
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (29)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) Downloads View citations (29)

    See also Journal Article in Journal of Economic Perspectives (2018)
  5. Factors that Fit the Time Series and Cross-Section of Stock Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) Downloads View citations (5)

    See also Journal Article in Review of Financial Studies (2020)
  6. Monetary Policy and Asset Valuation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (9)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) Downloads View citations (13)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) Downloads View citations (13)

2015

  1. Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
  2. Origins of Stock Market Fluctuations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (11)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (27)
    2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (30)

2013

  1. Conditional Risk Premia in Currency Markets and Other Asset Classes
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (16)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (14)

    See also Journal Article in Journal of Financial Economics (2014)

2011

  1. Shocks and Crashes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (18)
    See also Journal Article in NBER Macroeconomics Annual (2014)
    Chapter (2013)

2009

  1. The Term Structures of Equity and Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Journal of Financial Economics (2011)

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)
    See also Journal Article in Review of Financial Studies (2015)

2006

  1. Investor Information, Long-Run Risk, and the Duration fo Risky Assets
    2006 Meeting Papers, Society for Economic Dynamics Downloads View citations (10)
  2. Reconciling the Return Predictability Evidence
    2006 Meeting Papers, Society for Economic Dynamics Downloads View citations (10)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (18)

    See also Journal Article in Review of Financial Studies (2008)
  3. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (24)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (44)
    2004 Meeting Papers, Society for Economic Dynamics (2004) Downloads View citations (24)

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

2005

  1. Euler Equation Errors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) Downloads View citations (7)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (7)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (7)

    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 (14)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (6)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (15)

    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 (25)
    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 (51)
    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. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (929)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) Downloads View citations (137)

    See also Journal Article in Journal of Finance (2001)
  3. 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)
  4. Measuring and Modelling Variation in the Risk-Return Trade-off
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
  5. Robustness of Adaptive Expectations as an Equilibrium Selection Device
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (14)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1995) Downloads View citations (3)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1995) Downloads View citations (3)
    Working Papers, Tilburg - Center for Economic Research (1995) View citations (1)

    See also Journal Article in Macroeconomic Dynamics (2003)
  6. 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 (3)
    See also Journal Article in Journal of Monetary Economics (2002)
  7. 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 (11)

2000

  1. 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 (5)
    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 (17)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) Downloads View citations (6)
  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 (3)

1997

  1. 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 Downloads
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1997) Downloads
  2. Preferences, Consumption Smoothing and Risk Premia
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (15)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1997) Downloads View citations (14)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (1997) Downloads View citations (17)

1995

  1. Can Habit Formation be Reconciled with Business Cycle Facts?
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (10)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1995) Downloads View citations (13)

    See also Journal Article in Review of Economic Dynamics (2000)
  2. Rule of Thumb and Dynamic Programming
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1995) Downloads

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 (8)
  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 (7)

Journal Articles

2020

  1. Estimating latent asset-pricing factors
    Journal of Econometrics, 2020, 218, (1), 1-31 Downloads View citations (13)
    See also Working Paper (2018)
  2. Factors That Fit the Time Series and Cross-Section of Stock Returns
    Review of Financial Studies, 2020, 33, (5), 2274-2325 Downloads View citations (22)
    See also Working Paper (2018)

2019

  1. Capital Share Risk in U.S. Asset Pricing
    Journal of Finance, 2019, 74, (4), 1753-1792 Downloads View citations (11)
    See also Working Paper (2018)

2018

  1. Exchange-Traded Funds 101 for Economists
    Journal of Economic Perspectives, 2018, 32, (1), 135-54 Downloads View citations (29)
    See also Working Paper (2018)

2015

  1. Investor Information, Long-Run Risk, and the Term Structure of Equity
    Review of Financial Studies, 2015, 28, (3), 706-742 Downloads View citations (38)
    See also Working Paper (2007)

2014

  1. Conditional risk premia in currency markets and other asset classes
    Journal of Financial Economics, 2014, 114, (2), 197-225 Downloads View citations (142)
    See also Working Paper (2013)
  2. Shocks and Crashes
    NBER Macroeconomics Annual, 2014, 28, (1), 293 - 354 Downloads View citations (8)
    See also Working Paper (2011)
    Chapter (2013)

2011

  1. The term structures of equity and interest rates
    Journal of Financial Economics, 2011, 101, (1), 90-113 Downloads View citations (75)
    See also Working Paper (2009)

2009

  1. Euler Equation Errors
    Review of Economic Dynamics, 2009, 12, (2), 255-283 Downloads View citations (26)
    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 (275)
    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 (167)
    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 (165)
    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 (158)
    See also Working Paper (2003)
  2. tay's as good as cay: Reply
    Finance Research Letters, 2005, 2, (1), 15-22 Downloads View citations (15)

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 (380)
    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 View citations (33)
  2. ROBUSTNESS OF ADAPTIVE EXPECTATIONS AS AN EQUILIBRIUM SELECTION DEVICE
    Macroeconomic Dynamics, 2003, 7, (1), 89-118 Downloads View citations (12)
    See also Working Paper (2001)

2002

  1. Monetary policy transmission through the consumption-wealth channel
    Economic Policy Review, 2002, 8, (May), 117-133 Downloads View citations (64)
  2. THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
    Macroeconomic Dynamics, 2002, 6, (2), 242-265 Downloads View citations (23)
  3. 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 (67)
    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 (895)
    See also Working Paper (1999)
  2. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
    Journal of Finance, 2001, 56, (1), 1-43 Downloads View citations (960)
    See also Working Paper (2001)
  3. 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 (498)
    See also Working Paper (1999)
  4. 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 (165)
    See also Working Paper (1995)
  2. Cross-variable restrictions in Euler equations and risk premia
    Applied Economics Letters, 2000, 7, (2), 99-101 Downloads View citations (3)

1999

  1. Rules of Thumb versus Dynamic Programming
    American Economic Review, 1999, 89, (1), 148-174 Downloads View citations (61)

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 (49)

Chapters

2013

  1. Shocks and Crashes
    A chapter in NBER Macroeconomics Annual 2013, Volume 28, 2013, pp 293-354 Downloads View citations (23)
    See also Journal Article in NBER Macroeconomics Annual (2014)
    Working Paper (2011)

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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