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Publications

by members of

Finance Group
Walter A. Haas School of Business
University of California-Berkeley
Berkeley, California (United States)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.


| Working papers | Journal articles | Software components |

Working papers

Undated material is listed at the end

2014

  1. Dimitris Papanikolaou & Brett Green & William Fuchs, 2014. "Adverse Selection, Slow Moving Capital and Misallocation," 2014 Meeting Papers, Society for Economic Dynamics 124, Society for Economic Dynamics.

2013

  1. Fuchs, William, 2013. "Subjective Evaluations: Discretionary Bonuses and Feedback Credibility," IZA Discussion Papers 7758, Institute for the Study of Labor (IZA).
  2. Fuchs, William & Skrzypacz, Andrzej, 2013. "Costs and Benefits of Dynamic Trading in a Lemons Market," Research Papers, Stanford University, Graduate School of Business 2133, Stanford University, Graduate School of Business.

2012

  1. Fuchs, William & Garicano, Luis, 2012. "Professional service outsourcing, asymmetric information and wage inequality," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9137, C.E.P.R. Discussion Papers.

2011

  1. Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
    • Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354 National Bureau of Economic Research, Inc.

2009

  1. William Fuchs & Vinicius Carrasco, 2009. "From Equals to Despots: The Dynamics of Repeated Group Decision Taking with Private Information," 2009 Meeting Papers, Society for Economic Dynamics 150, Society for Economic Dynamics.
  2. Andrzej Skrzypacz & William Fuchs, 2009. "Bargaining with Deadlines," 2009 Meeting Papers, Society for Economic Dynamics 159, Society for Economic Dynamics.
  3. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.

2008

  1. William Fuchs & Vinicius Carrasco, 2008. "Dividing and Discarding A Procedure for Taking Decisions with Non-transferable Utility," 2008 Meeting Papers 315, Society for Economic Dynamics.

2007

  1. Andrzej Skrzypacz & William Fuchs, 2007. "Bargaining with Arrival of New Traders," 2007 Meeting Papers, Society for Economic Dynamics 186, Society for Economic Dynamics.
  2. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007. "Investor Information, Long-Run Risk, and the Term Structure of Equity," NBER Working Papers 12912, National Bureau of Economic Research, Inc.

2006

  1. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
  2. Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5519, C.E.P.R. Discussion Papers.

2005

  1. William Fuchs, 2005. "Contracting with Repeated Moral Hazard and Private Evaluations," 2005 Meeting Papers, Society for Economic Dynamics 431, Society for Economic Dynamics.
  2. Lettau, Martin & van Nieuwerburgh, Stijn, 2005. "Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5355, C.E.P.R. Discussion Papers.
  3. Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers, Society for Economic Dynamics 302, Society for Economic Dynamics.
  4. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4922, C.E.P.R. Discussion Papers.

2004

  1. William Fuchs & Francesco Lippi, 2004. "Monetary union with voluntary participation," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 512, Bank of Italy, Economic Research and International Relations Area.

2003

  1. Martin Lettau & Sydney Ludvigson, 2003. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," NBER Working Papers 9848, National Bureau of Economic Research, Inc.
  2. Martin Lettau & Sydney Ludvigson, 2003. "Expected Returns and Expected Dividend Growth," NBER Working Papers 9605, National Bureau of Economic Research, Inc.

2001

  1. Lettau, Martin & Ludvigson, Sydney, 2001. "Measuring and Modelling Variation in the Risk-Return Trade-off," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3105, C.E.P.R. Discussion Papers.
  2. Martin Lettau, 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 130, Federal Reserve Bank of New York.
  3. Lettau, Martin & Van Zandt, Timothy, 2001. "Robustness of Adaptive Expectations as an Equilibrium Selection Device," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2882, C.E.P.R. Discussion Papers.
  4. Lettau, Martin & Ludvigson, Sydney, 2001. "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 3103, C.E.P.R. Discussion Papers.
  5. Lettau, Martin & Ludvigson, Sydney, 2001. "Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3104, C.E.P.R. Discussion Papers.
  6. Martin Lettau & Sydney Ludvigson & Nathan Barczi, 2001. "A primer on the economics and time series econometrics of wealth effects: a comment," Staff Reports, Federal Reserve Bank of New York 131, Federal Reserve Bank of New York.

2000

  1. Peter Woehrmann & Willi Semmler & Martin Lettau, 2000. "Large Nonparametric Estimation Of Time Varying Characteristics Of Intertemporal Asset Pricing Models," Computing in Economics and Finance 2000, Society for Computational Economics 8, Society for Computational Economics.
  2. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc.

1999

  1. Martin Lettau & Sydney Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports, Federal Reserve Bank of New York 93, Federal Reserve Bank of New York.
  2. John Y. Campbell & Martin Lettau, 1999. "Dispersion and Volatility in Stock Returns: An Empirical Investigation," NBER Working Papers 7144, National Bureau of Economic Research, Inc.
  3. Sydney Ludvigson & Martin Lettau, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports, Federal Reserve Bank of New York 77, Federal Reserve Bank of New York.

1998

  1. Lettau, Martin, 1998. "Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1884, C.E.P.R. Discussion Papers.

1997

  1. Lettau, Martin & Uhlig, Harald, 1997. "Preferences, Consumption Smoothing, and Risk Premia," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1678, C.E.P.R. Discussion Papers.
  2. Lettau, M., 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 1997-49, Tilburg University, Center for Economic Research.

1995

  1. Lettau, M. & Uhlig, H., 1995. "Rule of Thumb and Dynamic Programming," Discussion Paper, Tilburg University, Center for Economic Research 1995-27, Tilburg University, Center for Economic Research.
  2. Lettau, M. & Uhlig, H., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Discussion Paper, Tilburg University, Center for Economic Research 1995-54, Tilburg University, Center for Economic Research.

Undated

  1. Peter Woehrmann & Willi Semmler & Martin Lettau, . "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
  2. Martin Lettau & Willi Semmler & University of Bielefeld, . "Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market," Computing in Economics and Finance 1997, Society for Computational Economics 36, Society for Computational Economics.

Journal articles

2013

  1. Fuchs, William & Skrzypacz, Andrzej, 2013. "Bridging the gap: Bargaining with interdependent values," Journal of Economic Theory, Elsevier, Elsevier, vol. 148(3), pages 1226-1236.
  2. William Fuchs & Andrzej Skrzypacz, 2013. "Bargaining with Deadlines and Private Information," American Economic Journal: Microeconomics, American Economic Association, American Economic Association, vol. 5(4), pages 219-43, November.

2010

  1. William Fuchs & Andrzej Skrzypacz, 2010. "Bargaining with Arrival of New Traders," American Economic Review, American Economic Association, American Economic Association, vol. 100(3), pages 802-36, June.
  2. William Fuchs & Luis Garicano, 2010. "Matching Problems with Expertise in Firms and Markets," Journal of the European Economic Association, MIT Press, MIT Press, vol. 8(2-3), pages 354-364, 04-05.

2009

  1. Martin Lettau & Sydney Ludvigson, 2009. "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 255-283, April.

2008

  1. Martin Lettau & Stijn Van Nieuwerburgh, 2008. "Reconciling the Return Predictability Evidence," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(4), pages 1607-1652, July.

2007

  1. William Fuchs, 2007. "Contracting with Repeated Moral Hazard and Private Evaluations," American Economic Review, American Economic Association, American Economic Association, vol. 97(4), pages 1432-1448, September.
  2. Martin Lettau & Jessica A. Wachter, 2007. "Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," Journal of Finance, American Finance Association, American Finance Association, vol. 62(1), pages 55-92, 02.

2006

  1. William Fuchs & Francesco Lippi, 2006. "Monetary Union with Voluntary Participation -super-1," Review of Economic Studies, Oxford University Press, vol. 73(2), pages 437-457.

2005

  1. Martin Lettau & Sydney Ludvigson & Jessica Wachter, 2005. "The declining equity premium: what role does macroeconomic risk play?," Proceedings, Board of Governors of the Federal Reserve System (U.S.), Board of Governors of the Federal Reserve System (U.S.).
  2. Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, Elsevier, vol. 76(3), pages 583-626, June.
  3. Lettau, Martin & Ludvigson, Sydney C., 2005. "tay's as good as cay: Reply," Finance Research Letters, Elsevier, Elsevier, vol. 2(1), pages 15-22, March.

2004

  1. Martin Lettau & Sydney C. Ludvigson, 2004. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," American Economic Review, American Economic Association, American Economic Association, vol. 94(1), pages 276-299, March.

2003

  1. Martin Lettau, 2003. "Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 113(489), pages 550-575, 07.

2002

  1. Sydney Ludvigson & Charles Steindel & Martin Lettau, 2002. "Monetary policy transmission through the consumption-wealth channel," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue May, pages 117-133.
  2. Lettau, Martin & Ludvigson, Sydney, 2002. "Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment," Journal of Monetary Economics, Elsevier, Elsevier, vol. 49(1), pages 31-66, January.

2001

  1. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
  2. Lettau, Martin & Gong, Gang & Semmler, Willi, 2001. "Statistical estimation and moment evaluation of a stochastic growth model with asset market restrictions," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 44(1), pages 85-103, January.
  3. Martin Lettau, 2001. "Consumption, Aggregate Wealth, and Expected Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 56(3), pages 815-849, 06.

2000

  1. Martin Lettau, 2000. "Cross-variable restrictions in Euler equations and risk premia," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(2), pages 99-101.
  2. Martin Lettau & Harald Uhlig, 2000. "Can Habit Formation be Reconciled with Business Cycle Facts?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(1), pages 79-99, January.

1999

  1. Harald Uhlig & Martin Lettau, 1999. "Rules of Thumb versus Dynamic Programming," American Economic Review, American Economic Association, American Economic Association, vol. 89(1), pages 148-174, March.

1997

  1. Lettau, Martin, 1997. "Explaining the facts with adaptive agents: The case of mutual fund flows," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 21(7), pages 1117-1147, June.

Software components

2008

  1. Martin Lettau & Sydney Ludvigson, 2008. "Code and data files for "Euler Equation Errors"," Computer Codes 08-106, Review of Economic Dynamics.