Details about Martin Lettau

Access statistics for papers by Martin Lettau.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: ple572

Working Papers

2024

1. 3D-PCA: Factor Models with Restrictions
   NBER Working Papers, National Bureau of Economic Research, Inc
2. Glass Box Machine Learning and Corporate Bond Returns
   NBER Working Papers, National Bureau of Economic Research, Inc

2023

3. High-Dimensional Factor Models and the Factor Zoo
   NBER Working Papers, National Bureau of Economic Research, Inc

2022

4. 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)
5. Idiosyncratic Equity Risk Two Decades Later
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)

2019

6. How the Wealth Was Won: Factor Shares as Market Fundamentals
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (20)

2018

7. 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 Capital Share Risk in U.S. Asset Pricing, Journal of Finance, American Finance Association (2019) View citations (19) (2019)
8. Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (6)
9. Estimating Latent Asset-Pricing Factors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (17)
   See also Journal Article Estimating latent asset-pricing factors, Journal of Econometrics, Elsevier (2020) View citations (35) (2020)
10. Exchange Traded Funds 101 For Economists
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (50)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (50)
    See also Journal Article Exchange-Traded Funds 101 for Economists, Journal of Economic Perspectives, American Economic Association (2018) View citations (50) (2018)
11. Factors that Fit the Time Series and Cross-Section of Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (5)
    See also Journal Article Factors That Fit the Time Series and Cross-Section of Stock Returns, The Review of Financial Studies, Society for Financial Studies (2020) View citations (63) (2020)
12. Monetary Policy and Asset Valuation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (16)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (13)

2015

13. Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
14. Origins of Stock Market Fluctuations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in 2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (33)
    NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (30)

2013

15. 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 Conditional risk premia in currency markets and other asset classes, Journal of Financial Economics, Elsevier (2014) View citations (188) (2014)

2011

16. Shocks and Crashes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    See also Chapter Shocks and Crashes, NBER Chapters, National Bureau of Economic Research, Inc (2013) View citations (23) (2013)
    Journal Article Shocks and Crashes, NBER Macroeconomics Annual, University of Chicago Press (2014) View citations (9) (2014)

2009

17. The Term Structures of Equity and Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    See also Journal Article The term structures of equity and interest rates, Journal of Financial Economics, Elsevier (2011) View citations (86) (2011)

2007

18. Investor Information, Long-Run Risk, and the Term Structure of Equity
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (44)
    See also Journal Article Investor Information, Long-Run Risk, and the Term Structure of Equity, The Review of Financial Studies, Society for Financial Studies (2015) View citations (47) (2015)

2006

19. Investor Information, Long-Run Risk, and the Duration fo Risky Assets
    2006 Meeting Papers, Society for Economic Dynamics View citations (10)
20. 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 Reconciling the Return Predictability Evidence, The Review of Financial Studies, Society for Financial Studies (2008) View citations (303) (2008)
21. 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 The Declining Equity Premium: What Role Does Macroeconomic Risk Play?, The Review of Financial Studies, Society for Financial Studies (2008) View citations (183) (2008)

2005

22. Euler Equation Errors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (7)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (7)
    2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (7)
    See also Journal Article Euler Equation Errors, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2009) View citations (27) (2009)
23. Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
24. Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
    2005 Meeting Papers, Society for Economic Dynamics View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (15)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (14)
    See also Journal Article Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium, Journal of Finance, American Finance Association (2007) View citations (183) (2007)

2003

25. Expected Returns and Expected Dividend Growth
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (26)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (6)
    See also Journal Article Expected returns and expected dividend growth, Journal of Financial Economics, Elsevier (2005) View citations (170) (2005)
26. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (50)
    See also Journal Article Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption, American Economic Review, American Economic Association (2004) View citations (401) (2004)

2001

27. A primer on the economics and time series econometrics of wealth effects: a comment
    Staff Reports, Federal Reserve Bank of New York View citations (14)
28. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
    Scholarly Articles, Harvard University Department of Economics View citations (1034)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (138)
    See also Journal Article Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk, Journal of Finance, American Finance Association (2001) View citations (1047) (2001)
29. 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 (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) View citations (5)
30. Measuring and Modelling Variation in the Risk-Return Trade-off
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
31. Robustness of Adaptive Expectations as an Equilibrium Selection Device
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1995) View citations (3)
    Discussion Paper, Tilburg University, Center for Economic Research (1995) View citations (3)
    Working Papers, Tilburg - Center for Economic Research (1995) View citations (1)
    See also Journal Article ROBUSTNESS OF ADAPTIVE EXPECTATIONS AS AN EQUILIBRIUM SELECTION DEVICE, Macroeconomic Dynamics, Cambridge University Press (2003) View citations (13) (2003)
32. 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 Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment, Journal of Monetary Economics, Elsevier (2002) View citations (70) (2002)
33. 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 (13)

2000

34. 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

35. 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 (130)
    See also Journal Article Consumption, Aggregate Wealth, and Expected Stock Returns, Journal of Finance, American Finance Association (2001) View citations (987) (2001)
36. Dispersion and Volatility in Stock Returns: An Empirical Investigation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) View citations (6)
37. 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 Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying, Journal of Political Economy, University of Chicago Press (2001) View citations (538) (2001)

1998

38. 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

39. Comment on "The Spirit of Capitalism and Stock Market Prices" By G.S. Bakshi and Z. Chen (AER, 1996)
    Other publications TiSEM, Tilburg University, School of Economics and Management
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1997)
40. Preferences, Consumption Smoothing and Risk Premia
    Discussion Paper, Tilburg University, Center for Economic Research View citations (15)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1997) View citations (17)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1997) View citations (14)

1995

41. 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 (14)
    See also Journal Article Can Habit Formation be Reconciled with Business Cycle Facts?, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2000) View citations (176) (2000)
42. Rule of Thumb and Dynamic Programming
    Other publications TiSEM, Tilburg University, School of Economics and Management
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1995) View citations (1)

Undated

43. 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)
44. 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

1. Estimating latent asset-pricing factors
   Journal of Econometrics, 2020, 218, (1), 1-31 View citations (35)
   See also Working Paper Estimating Latent Asset-Pricing Factors, NBER Working Papers (2018) View citations (12) (2018)
2. Factors That Fit the Time Series and Cross-Section of Stock Returns
   The Review of Financial Studies, 2020, 33, (5), 2274-2325 View citations (63)
   See also Working Paper Factors that Fit the Time Series and Cross-Section of Stock Returns, NBER Working Papers (2018) View citations (6) (2018)

2019

3. Capital Share Risk in U.S. Asset Pricing
   Journal of Finance, 2019, 74, (4), 1753-1792 View citations (19)
   See also Working Paper Capital Share Risk in U.S. Asset Pricing, CEPR Discussion Papers (2018) View citations (1) (2018)

2018

4. Exchange-Traded Funds 101 for Economists
   Journal of Economic Perspectives, 2018, 32, (1), 135-54 View citations (50)
   See also Working Paper Exchange Traded Funds 101 For Economists, NBER Working Papers (2018) View citations (50) (2018)

2015

5. Investor Information, Long-Run Risk, and the Term Structure of Equity
   The Review of Financial Studies, 2015, 28, (3), 706-742 View citations (47)
   See also Working Paper Investor Information, Long-Run Risk, and the Term Structure of Equity, NBER Working Papers (2007) View citations (44) (2007)

2014

6. Conditional risk premia in currency markets and other asset classes
   Journal of Financial Economics, 2014, 114, (2), 197-225 View citations (188)
   See also Working Paper Conditional Risk Premia in Currency Markets and Other Asset Classes, CEPR Discussion Papers (2013) View citations (16) (2013)
7. Shocks and Crashes
   NBER Macroeconomics Annual, 2014, 28, (1), 293 - 354 View citations (9)
   See also Working Paper Shocks and Crashes, NBER Working Papers (2011) View citations (18) (2011)
   Chapter Shocks and Crashes, NBER Chapters, 2013, 293-354 (2013) View citations (23) (2013)

2011

8. The term structures of equity and interest rates
   Journal of Financial Economics, 2011, 101, (1), 90-113 View citations (86)
   See also Working Paper The Term Structures of Equity and Interest Rates, NBER Working Papers (2009) View citations (5) (2009)

2009

9. Euler Equation Errors
   Review of Economic Dynamics, 2009, 12, (2), 255-283 View citations (27)
   See also Working Paper Euler Equation Errors, CEPR Discussion Papers (2005) View citations (7) (2005)
   Software Item Code and data files for "Euler Equation Errors", Computer Codes (2008) (2008)

2008

10. Reconciling the Return Predictability Evidence
    The Review of Financial Studies, 2008, 21, (4), 1607-1652 View citations (303)
    See also Working Paper Reconciling the Return Predictability Evidence, 2006 Meeting Papers (2006) View citations (10) (2006)
11. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
    The Review of Financial Studies, 2008, 21, (4), 1653-1687 View citations (183)
    Also in Proceedings, 2005 (2005) View citations (14)
    See also Working Paper The Declining Equity Premium: What Role Does Macroeconomic Risk Play?, CEPR Discussion Papers (2006) View citations (24) (2006)

2007

12. 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 (183)
    See also Working Paper Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium, 2005 Meeting Papers (2005) View citations (7) (2005)

2005

13. Expected returns and expected dividend growth
    Journal of Financial Economics, 2005, 76, (3), 583-626 View citations (170)
    See also Working Paper Expected Returns and Expected Dividend Growth, NBER Working Papers (2003) View citations (26) (2003)
14. tay's as good as cay: Reply
    Finance Research Letters, 2005, 2, (1), 15-22 View citations (16)

2004

15. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
    American Economic Review, 2004, 94, (1), 276-299 View citations (401)
    See also Working Paper Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption, NBER Working Papers (2003) View citations (50) (2003)

2003

16. Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models
    Economic Journal, 2003, 113, (489), 550-575 View citations (38)
17. ROBUSTNESS OF ADAPTIVE EXPECTATIONS AS AN EQUILIBRIUM SELECTION DEVICE
    Macroeconomic Dynamics, 2003, 7, (1), 89-118 View citations (13)
    See also Working Paper Robustness of Adaptive Expectations as an Equilibrium Selection Device, CEPR Discussion Papers (2001) View citations (14) (2001)

2002

18. Monetary policy transmission through the consumption-wealth channel
    Economic Policy Review, 2002, 8, (May), 117-133 View citations (68)
19. THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
    Macroeconomic Dynamics, 2002, 6, (2), 242-265 View citations (26)
20. 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 (70)
    See also Working Paper Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment, CEPR Discussion Papers (2001) View citations (3) (2001)

2001

21. Consumption, Aggregate Wealth, and Expected Stock Returns
    Journal of Finance, 2001, 56, (3), 815-849 View citations (987)
    See also Working Paper Consumption, Aggregate Wealth and Expected Stock Returns, CEPR Discussion Papers (1999) View citations (5) (1999)
22. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
    Journal of Finance, 2001, 56, (1), 1-43 View citations (1047)
    See also Working Paper Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk, Scholarly Articles (2001) View citations (1034) (2001)
23. 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 (538)
    See also Working Paper Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying, Staff Reports (1999) View citations (73) (1999)
24. 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

25. Can Habit Formation be Reconciled with Business Cycle Facts?
    Review of Economic Dynamics, 2000, 3, (1), 79-99 View citations (176)
    See also Working Paper Can Habit Formation be Reconciled with Business Cycle Facts?, Other publications TiSEM (1995) View citations (10) (1995)
26. Cross-variable restrictions in Euler equations and risk premia
    Applied Economics Letters, 2000, 7, (2), 99-101 View citations (3)

1999

27. Rules of Thumb versus Dynamic Programming
    American Economic Review, 1999, 89, (1), 148-174 View citations (62)

1997

28. 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 (50)

Chapters

2013

1. Shocks and Crashes
   A chapter in NBER Macroeconomics Annual 2013, Volume 28, 2013, pp 293-354 View citations (23)
   See also Working Paper Shocks and Crashes, National Bureau of Economic Research, Inc (2011) View citations (18) (2011)
   Journal Article Shocks and Crashes, University of Chicago Press (2014) View citations (9) (2014)

Software Items

2008

1. Code and data files for "Euler Equation Errors"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article Euler Equation Errors, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2009) View citations (27) (2009)