Martin Lettau

Latest Institution: University of California, Berkeley

All Institutions: New York University; Stern School of Business, New York University; NBER; University of California, Berkeley; Haas School of Business, University of California, Berkeley; National Bureau of Economic Research; University of California at Berkeley; Center for Economic Research, Tilburg University; Department of Economics, Humboldt University; Federal Reserve Bank of New York; Humboldt University; Harvard University; Haas School of Business, University of California at Berkeley; UC Berkeley

Causal Claims Network Graph

Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.

Based on the Following Papers:

Preferences, Consumption Smoothing and Risk Premia

Year: 1997
Journal: No Journal Matched
Authors: Martin Lettau; Harald Uhlig

Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model

Year: 1998
Journal: No Journal Matched
Authors: Martin Lettau

Idiosyncratic Risk and Volatility Bounds: Or Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?

Year: 1998
Journal: No Journal Matched
Authors: Martin Lettau

Dispersion and Volatility in Stock Returns: An Empirical Investigation

Year: 1998
Journal: No Journal Matched
Authors: John Y. Campbell; Sangjoon Kim; Martin Lettau

Consumption, Aggregate Wealth, and Expected Stock Returns

Year: 1999
Journal: Journal of Finance
Authors: Martin Lettau; Sydney Ludvigson

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Year: 2000
Journal: Journal of Finance
Authors: John Y. Campbell; Martin Lettau; Burton G. Malkiel; Yexiao Xu

Robustness of Adaptive Expectations as an Equilibrium Selection Device

Year: 2001
Journal: No Journal Matched
Authors: Martin Lettau; Timothy Van Zandt

Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q-Theory of Investment

Year: 2001
Journal: Journal of Monetary Economics
Authors: Martin Lettau; Sydney Ludvigson

Measuring and Modelling Variation in the Risk-Return Tradeoff

Year: 2001
Journal: No Journal Matched
Authors: Martin Lettau; Sydney Ludvigson

Understanding Trend and Cycle in Asset Values: Bulls, Bears, and the Wealth Effect on Consumption

Year: 2001
Journal: No Journal Matched
Authors: Martin Lettau; Sydney Ludvigson

Expected Returns and Expected Dividend Growth

Year: 2002
Journal: Journal of Financial Economics
Authors: Martin Lettau; Sydney Ludvigson

Expected Returns and Expected Dividend Growth

Year: 2003
Journal: Journal of Financial Economics
Authors: Martin Lettau; Sydney C. Ludvigson

Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption

Year: 2003
Journal: American Economic Review
Authors: Martin Lettau; Sydney Ludvigson

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

Year: 2004
Journal: Review of Financial Studies
Authors: Martin Lettau; Sydney C. Ludvigson; Jessica A. Wachter

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

Year: 2005
Journal: Journal of Finance
Authors: Martin Lettau; Jessica Wachter

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

Year: 2005
Journal: Journal of Finance
Authors: Martin Lettau; Jessica Wachter

Euler Equation Errors

Year: 2005
Journal: Review of Economic Dynamics
Authors: Martin Lettau; Sydney Ludvigson

Euler Equation Errors

Year: 2005
Journal: Review of Economic Dynamics
Authors: Martin Lettau; Sydney Ludvigson

Reconciling the Return Predictability Evidence: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability

Year: 2005
Journal: No Journal Matched
Authors: Martin Lettau; Stijn Van Nieuwerburgh

Euler Equation Errors

Year: 2005
Journal: Review of Economic Dynamics
Authors: Martin Lettau; Sydney C. Ludvigson

Reconciling the Return Predictability Evidence

Year: 2006
Journal: Review of Financial Studies
Authors: Martin Lettau; Stijn Van Nieuwerburgh

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

Year: 2006
Journal: Review of Financial Studies
Authors: Martin Lettau; Sydney Ludvigson; Jessica Wachter

Investor Information, Longrun Risk, and the Term Structure of Equity

Year: 2007
Journal: Review of Financial Studies
Authors: Mariano M. Croce; Martin Lettau; Sydney C. Ludvigson

The Term Structures of Equity and Interest Rates

Year: 2009
Journal: Journal of Financial Economics
Authors: Martin Lettau; Jessica A. Wachter

Shocks and Crashes

Year: 2011
Journal: No Journal Matched
Authors: Martin Lettau; Sydney C. Ludvigson

Conditional Risk Premia in Currency Markets and Other Asset Classes

Year: 2013
Journal: No Journal Matched
Authors: Martin Lettau; Matteo Maggiori; Michael Weber

Conditional Risk Premia in Currency Markets and Other Asset Classes

Year: 2013
Journal: Journal of Financial Economics
Authors: Martin Lettau; Matteo Maggiori; Michael Weber

Origins of Stock Market Fluctuations

Year: 2014
Journal: No Journal Matched
Authors: Daniel L. Greenwald; Martin Lettau; Sydney C. Ludvigson

Capital Share Risk in US Asset Pricing

Year: 2014
Journal: Journal of Finance
Authors: Martin Lettau; Sydney C. Ludvigson; Sai Ma

Origins of Stock Market Fluctuations

Year: 2015
Journal: No Journal Matched
Authors: Daniel L. Greenwald; Martin Lettau; Sydney Ludvigson

Capital Share Risk and Shareholder Heterogeneity in US Stock Pricing

Year: 2015
Journal: No Journal Matched
Authors: Martin Lettau; Sydney Ludvigson; Sai Ma

Monetary Policy and Asset Valuation

Year: 2016
Journal: Journal of Finance
Authors: Francesco Bianchi; Martin Lettau; Sydney C. Ludvigson

Estimating Latent Asset-Pricing Factors

Year: 2018
Journal: Journal of Econometrics
Authors: Martin Lettau; Markus Pelger

Factors that Fit the Time Series and Cross-Section of Stock Returns

Year: 2018
Journal: Review of Financial Studies
Authors: Martin Lettau; Markus Pelger

Characteristics of Mutual Fund Portfolios: Where are the Value Funds?

Year: 2018
Journal: No Journal Matched
Authors: Martin Lettau; Sydney C. Ludvigson; Paulo Manoel

Capital Share Risk in US Asset Pricing

Year: 2018
Journal: No Journal Matched
Authors: Martin Lettau; Sydney Ludvigson; Sai Ma

Monetary Policy and Asset Valuation

Year: 2018
Journal: No Journal Matched
Authors: Martin Lettau; Sydney Ludvigson; Francesco Bianchi

Estimating Latent Asset-Pricing Factors

Year: 2018
Journal: No Journal Matched
Authors: Martin Lettau; Markus Pelger

Factors that Fit the Time Series and Cross Section of Stock Returns

Year: 2018
Journal: No Journal Matched
Authors: Martin Lettau; Markus Pelger

Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?

Year: 2018
Journal: No Journal Matched
Authors: Martin Lettau; Sydney Ludvigson; Paulo Manoel

Exchange Traded Funds 101 for Economists

Year: 2018
Journal: Journal of Economic Perspectives
Authors: Martin Lettau; Ananth Madhavan

Exchange Traded Funds 101 for Economists

Year: 2018
Journal: No Journal Matched
Authors: Martin Lettau; Ananth Madhavan

How the Wealth Was Won: Factors Shares as Market Fundamentals

Year: 2019
Journal: No Journal Matched
Authors: Daniel L. Greenwald; Martin Lettau; Sydney C. Ludvigson

How the Wealth Was Won: Factor Shares as Market Fundamentals

Year: 2019
Journal: No Journal Matched
Authors: Martin Lettau; Sydney Ludvigson; Daniel L. Greenwald

High-Dimensional Factor Models with an Application to Mutual Fund Characteristics

Year: 2022
Journal: No Journal Matched
Authors: Martin Lettau

Idiosyncratic Equity Risk Two Decades Later

Year: 2022
Journal: Critical Finance Review
Authors: John Y. Campbell; Martin Lettau; Burton G. Malkiel; Yexiao Xu

High Dimensional Factor Models with an Application to Mutual Fund Characteristics

Year: 2022
Journal: No Journal Matched
Authors: Martin Lettau

High-Dimensional Factor Models and the Factor Zoo

Year: 2023
Journal: No Journal Matched
Authors: Martin Lettau

Author Disambiguation

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