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Publications

by members of

University of California-Berkeley → Walter A. Haas School of Business → Finance Group

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 institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

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

| Working papers | Journal articles | Chapters | Software components |

Working papers

2026

  1. Niels Joachim Gormsen & Eben Lazarus, 2026, "Interest Rates and Equity Valuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 34814, Feb.
  2. Sebastian Bell & Ali Kakhbod & Martin Lettau & Abdolreza Nazemi, 2026, "AlphaGlass: Interpretable Characteristic-Based Portfolio Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 35186, May.

2025

  1. Paul Gertler & Brett Green & Renping Li & David Sraer, 2025, "The Welfare Benefits of Pay-As-You-Go Financing," NBER Working Papers, National Bureau of Economic Research, Inc, number 33484, Feb.
  2. Marianne Andries & Maxime Bonelli & David Sraer, 2025, "Financial Advisors and Investors' Bias," NBER Working Papers, National Bureau of Economic Research, Inc, number 34130, Aug.

2024

  1. Martin Lettau, 2024, "3D-PCA: High-Dimensional Factor Models with Restrictions," NBER Working Papers, National Bureau of Economic Research, Inc, number 32261, Mar.
  2. Sebastian Bell & Ali Kakhbod & Martin Lettau & Abdolreza Nazemi, 2024, "Glass Box Machine Learning and Corporate Bond Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 33320, Dec.

2023

  1. Mihir Gandhi & Niels Joachim Gormsen & Eben Lazarus, 2023, "Forward Return Expectations," NBER Working Papers, National Bureau of Economic Research, Inc, number 31687, Sep.
  2. Martin Lettau, 2023, "High-Dimensional Factor Models and the Factor Zoo," NBER Working Papers, National Bureau of Economic Research, Inc, number 31719, Sep.
  3. Elio Nimier-David & David Sraer & David Thesmar, 2023, "The Effects of Mandatory Profit-Sharing on Workers and Firms: Evidence from France," NBER Working Papers, National Bureau of Economic Research, Inc, number 31804, Oct.
  4. Jonathan Chiu & Thorsten Koeppl & Hanna Yu & Shengxing Zhang, 2023, "Understanding DeFi Through the Lens of a Production-Network Model," Staff Working Papers, Bank of Canada, number 23-42, Aug, DOI: 10.34989/swp-2023-42.
  5. Jonathan Chiu & Hanna Yu, 2023, "Decentralized finance: Innovations and challenges," Staff Analytical Notes, Bank of Canada, number 2023-15, Oct, DOI: 10.34989/san-2023-15.
  6. Jonathan Chiu & Thorsten V. Koeppl & Hanna Yu & Shengxing Zhang, 2023, "Understanding the DeFi Network Through the Lens of a Production-Network Model," Working Paper, Economics Department, Queen's University, number 1509, Jul.

2022

  1. Martin Lettau, 2022, "High-Dimensional Factor Models with an Application to Mutual Fund Characteristics," NBER Working Papers, National Bureau of Economic Research, Inc, number 29833, Mar.
  2. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2022, "Idiosyncratic Equity Risk Two Decades Later," NBER Working Papers, National Bureau of Economic Research, Inc, number 29916, Apr.
  3. Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2022, "Quantifying Reduced-Form Evidence on Collateral Constraints," Post-Print, HAL, number hal-03869851, Aug, DOI: 10.1111/jofi.13158.
  4. Sylvain Catherine & Mehran Ebrahimian & Mohammad Fereydounian & David Sraer & David Thesmar, 2022, "Robustness Checks in Structural Analysis," NBER Working Papers, National Bureau of Economic Research, Inc, number 30443, Sep.

2021

  1. Fang Cai & Gene Kang & Gazi I. Kara & Nathan Swem & Filip Zikes, 2021, "Household and Business Debt: A Fire-Sale Risk Analysis," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2021-02-01-1, Feb, DOI: 10.17016/2380-7172.2625.
  2. Ned Augenblick & Eben Lazarus & Michael Thaler, 2021, "Overinference from Weak Signals and Underinference from Strong Signals," Papers, arXiv.org, number 2109.09871, Sep, revised Jun 2024.

2020

  1. Yueran Ma & Tiziano Ropele & David Sraer & David Thesmar, 2020, "A Quantitative Analysis of Distortions in Managerial Forecasts," NBER Working Papers, National Bureau of Economic Research, Inc, number 26830, Mar.

2019

  1. Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2019, "How the Wealth Was Won: Factor Shares as Market Fundamentals," CEPR Discussion Papers, Centre for Economic Policy Research, number 14200, Dec.
  2. Sraer, David & Haddad, Valentin, 2019, "The Banking View of Bond Risk Premia," CEPR Discussion Papers, Centre for Economic Policy Research, number 14207, Dec.

2018

  1. Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2018, "Capital Share Risk in U.S. Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 12628, Jan.
  2. Lettau, Martin & Madhavan, Ananth, 2018, "Exchange Traded Funds 101 For Economists," CEPR Discussion Papers, Centre for Economic Policy Research, number 12629, Jan.
  3. Lettau, Martin & Pelger, Markus, 2018, "Estimating Latent Asset-Pricing Factors," CEPR Discussion Papers, Centre for Economic Policy Research, number 12926, May.
  4. Lettau, Martin & Pelger, Markus, 2018, "Factors that Fit the Time Series and Cross-Section of Stock Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 13049, Jul.
  5. Lettau, Martin & Ludvigson, Sydney & Manoel, Paulo, 2018, "Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?," CEPR Discussion Papers, Centre for Economic Policy Research, number 13395, Dec.
  6. Thesmar, David & Sraer, David, 2018, "A Sufficient Statistics Approach for Aggregating Firm-Level Experiments," CEPR Discussion Papers, Centre for Economic Policy Research, number 12592, Jan.

2017

  1. Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017, "Monetary Policy and Asset Valuation," CEPR Discussion Papers, Centre for Economic Policy Research, number 12275, Sep.

2015

  1. Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2015, "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 10335, Jan.
  2. Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2015, "Origins of Stock Market Fluctuations," CEPR Discussion Papers, Centre for Economic Policy Research, number 10336, Jan.

2014

  1. Sraer, David & Kaniel, Ron & Barrot, Jean-Noël, 2014, "Are Retail Traders Compensated for Providing Liquidity?," CEPR Discussion Papers, Centre for Economic Policy Research, number 10285, Dec.
  2. Schoar, Antoinette & Thesmar, David & Sraer, David & Hombert, Johan, 2014, "Can Unemployment Insurance Spur Entrepreneurial Activity?," CEPR Discussion Papers, Centre for Economic Policy Research, number 10294, Dec.
  3. Thesmar, David & Landier, Augustin & Sraer, David, 2014, "Banking Integration and House Price Comovement," CEPR Discussion Papers, Centre for Economic Policy Research, number 10295, Dec.
  4. Thesmar, David & Landier, Augustin & Sraer, David, 2014, "Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy," CEPR Discussion Papers, Centre for Economic Policy Research, number 10300, Dec.
  5. Thesmar , David & Sraer , David, 2014, "Housing Collateral and Entrepreneurship," HEC Research Papers Series, HEC Paris, number 1077, Dec.

2013

  1. Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2013, "Conditional Risk Premia in Currency Markets and Other Asset Classes," CEPR Discussion Papers, Centre for Economic Policy Research, number 9484, May.
  2. Hombert, Johan & Schoar, Antoinette & Sraer, David Alexandre & Thesmar, David, 2013, "Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence from France," HEC Research Papers Series, HEC Paris, number 1020, Jul.
  3. Landier, Augustin & Sraer, David & Thesmar, David, 2013, "Banking Deregulation and The Rise in House Price Comovement," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 799, Mar.

2012

  1. Thomas Chaney & David Sraer & David Thesmar, 2012, "The Collateral Channel: How Real Estate Shocks Affect Corporate Investment," Post-Print, HAL, number hal-01009900, Oct, DOI: 10.1257/aer.102.6.2381.
  2. Augustin Landier & Julien Sauvagnat & David Sraer & David Thesmar, 2012, "Bottom-Up Corporate Governance," Post-Print, HAL, number hal-01026127, DOI: 10.1093/rof/rfs020.
  3. Harrison Hong & David Sraer, 2012, "Quiet Bubbles," NBER Working Papers, National Bureau of Economic Research, Inc, number 18547, Nov.
  4. Harrison Hong & David Sraer, 2012, "Speculative Betas," NBER Working Papers, National Bureau of Economic Research, Inc, number 18548, Nov.

2011

  1. Martin Lettau & Sydney C. Ludvigson, 2011, "Shocks and Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 16996, Apr.
  2. Johan Hombert & A. Schoar & D. Sraer & David Thesmar, 2011, "Barriers to entrepreneurship: Evidence from France," Post-Print, HAL, number hal-00578307, Feb.
  3. David Thesmar & Augustin Landier & D. Sraer, 2011, "Going for broke: New Century Corporation 2004-2006," Post-Print, HAL, number hal-00578323, May.
  4. Quentin Boucly & David Sraer & David Thesmar, 2011, "Growth LBOs," Post-Print, HAL, number hal-00632110, Nov, DOI: 10.1016/j.jfineco.2011.05.014.
  5. Landier, Augustin & Sraer, David & Thesmar, David, 2011, "The risk-Shifting Hypothesis," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 699, Aug.
  6. Landier, Augustin & Sraer, David & Thesmar, David, 2011, "The risk-Shifting Hypothesis : Evidence from Subprime Originations," TSE Working Papers, Toulouse School of Economics (TSE), number 11-279, Aug.

2010

  1. Landier, Augustin & Sraer, David & Thesmar, David, 2010, "Going for broke: New Century Financial Corporation, 2004-2006," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 649, Sep.

2009

  1. Martin Lettau & Jessica A. Wachter, 2009, "The Term Structures of Equity and Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 14698, Jan.
  2. Augustin Landier & D. Sraer & David Thesmar, 2009, "Optimal Dissent in Organizations," Post-Print, HAL, number hal-00461108, Apr, DOI: 10.1111/j.1467-937X.2009.00544.x.
  3. Augustin Landier & D. Sraer & David Thesmar, 2009, "Financial Risk Management: When Does Independence Fail?," Post-Print, HAL, number hal-00461112, May, DOI: 10.1257/aer.99.2.454.

2008

  1. Foucault, Thierry & Thesmar, David & Sraer, David, 2008, "Individual Investors and Volatility," CEPR Discussion Papers, Centre for Economic Policy Research, number 6915, Jul.

2007

  1. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007, "Investor Information, Long-Run Risk, and the Term Structure of Equity," NBER Working Papers, National Bureau of Economic Research, Inc, number 12912, Feb.

2006

  1. Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006, "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," CEPR Discussion Papers, Centre for Economic Policy Research, number 5519, Mar.
  2. Martin Lettau & Stijn Van Nieuwerburgh, 2006, "Reconciling the Return Predictability Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 12109, Mar.
  3. Mariano M. Croce & Martin Lettau & Sydney Ludvigson, 2006, "Investor Information, Long-Run Risk, and the Duration fo Risky Assets," 2006 Meeting Papers, Society for Economic Dynamics, number 628.

2005

  1. Lettau, Martin & Wachter, Jessica, 2005, "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers, Centre for Economic Policy Research, number 4921, Feb.
  2. Lettau, Martin & Ludvigson, Sydney, 2005, "Euler Equation Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 4922, Feb.
  3. Lettau, Martin & Van Nieuwerburgh, Stijn, 2005, "Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability," CEPR Discussion Papers, Centre for Economic Policy Research, number 5355, Nov.

2004

  1. David Sraer & David Thesmar, 2004, "Performance and Behavior of Family Firms : Evidence from the French Stock Market," Working Papers, Center for Research in Economics and Statistics, number 2004-24.

2003

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

2002

  1. Lettau, Martin & Ludvigson, Sydney, 2002, "Expected Returns and Expected Dividend Growth," CEPR Discussion Papers, Centre for Economic Policy Research, number 3507, Aug.

2001

  1. Van Zandt, Timothy & Lettau, Martin, 2001, "Robustness of Adaptive Expectations as an Equilibrium Selection Device," CEPR Discussion Papers, Centre for Economic Policy Research, number 2882, Jul.
  2. 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, Centre for Economic Policy Research, number 3103, Dec.
  3. Lettau, Martin & Ludvigson, Sydney, 2001, "Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption," CEPR Discussion Papers, Centre for Economic Policy Research, number 3104, Dec.
  4. Lettau, Martin & Ludvigson, Sydney, 2001, "Measuring and Modelling Variation in the Risk-Return Trade-off," CEPR Discussion Papers, Centre for Economic Policy Research, number 3105, Dec.
  5. Nathan Barczi & Martin Lettau & Sydney C. Ludvigson, 2001, "A primer on the economics and time series econometrics of wealth effects: a comment," Staff Reports, Federal Reserve Bank of New York, number 131.
  6. Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001, "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Scholarly Articles, Harvard University Department of Economics, number 3128707.

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, number 8, Jul.

1999

  1. Lettau, Martin & Ludvigson, Sydney, 1999, "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 2223, Sep.
  2. Martin Lettau & Sydney C. Ludvigson, 1999, "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports, Federal Reserve Bank of New York, number 93.

1998

  1. Lettau, Martin, 1998, "Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?," CEPR Discussion Papers, Centre for Economic Policy Research, number 1795, Jan.
  2. Lettau, Martin, 1998, "Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model," CEPR Discussion Papers, Centre for Economic Policy Research, number 1884, May.
  3. Campbell, John Y & Lettau, Martin & Kim, Sangjoon, 1998, "Dispersion and Volatility in Stock Returns: An Empirical Investigation," CEPR Discussion Papers, Centre for Economic Policy Research, number 1923, Aug.

1997

  1. Uhlig, Harald & Lettau, Martin, 1997, "Preferences, Consumption Smoothing, and Risk Premia," CEPR Discussion Papers, Centre for Economic Policy Research, number 1678, Jul.
  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, number 1997-49.

1995

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

Undated

  1. Martin Lettau & Willi Semmler & University of Bielefeld, undated, "Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market," Computing in Economics and Finance 1997, Society for Computational Economics, number 36.
  2. Peter Woehrmann & Willi Semmler & Martin Lettau, 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, number 225.

Journal articles

2025

  1. Ned Augenblick & Eben Lazarus & Michael Thaler, 2025, "Overinference from Weak Signals and Underinference from Strong Signals," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 140, issue 1, pages 335-401.

2023

  1. Niels Joachim Gormsen & Eben Lazarus, 2023, "Duration‐Driven Returns," Journal of Finance, American Finance Association, volume 78, issue 3, pages 1393-1447, June, DOI: 10.1111/jofi.13216.

2022

  1. Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2022, "Quantifying Reduced‐Form Evidence on Collateral Constraints," Journal of Finance, American Finance Association, volume 77, issue 4, pages 2143-2181, August, DOI: 10.1111/jofi.13158.

2021

  1. Eben Lazarus & Daniel J. Lewis & James H. Stock, 2021, "The Size‐Power Tradeoff in HAR Inference," Econometrica, Econometric Society, volume 89, issue 5, pages 2497-2516, September, DOI: 10.3982/ECTA15404.
  2. Gomez, Matthieu & Landier, Augustin & Sraer, David & Thesmar, David, 2021, "Banks’ exposure to interest rate risk and the transmission of monetary policy," Journal of Monetary Economics, Elsevier, volume 117, issue C, pages 543-570, DOI: 10.1016/j.jmoneco.2020.03.011.

2020

  1. Lettau, Martin & Pelger, Markus, 2020, "Estimating latent asset-pricing factors," Journal of Econometrics, Elsevier, volume 218, issue 1, pages 1-31, DOI: 10.1016/j.jeconom.2019.08.012.
  2. Martin Lettau & Markus Pelger & Stijn Van Nieuwerburgh, 2020, "Factors That Fit the Time Series and Cross-Section of Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 2274-2325.
  3. Johan Hombert & Antoinette Schoar & David Sraer & David Thesmar, 2020, "Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence from France," Journal of Finance, American Finance Association, volume 75, issue 3, pages 1247-1285, June, DOI: 10.1111/jofi.12880.
  4. Valentin Haddad & David Sraer, 2020, "The Banking View of Bond Risk Premia," Journal of Finance, American Finance Association, volume 75, issue 5, pages 2465-2502, October, DOI: 10.1111/jofi.12949.

2019

  1. Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2019, "Capital Share Risk in U.S. Asset Pricing," Journal of Finance, American Finance Association, volume 74, issue 4, pages 1753-1792, August, DOI: 10.1111/jofi.12772.
  2. David Thesmar & David Sraer & Lisa Pinheiro & Nick Dadson & Razvan Veliche & Paul Greenberg, 2019, "Combining the Power of Artificial Intelligence with the Richness of Healthcare Claims Data: Opportunities and Challenges," PharmacoEconomics, Springer, volume 37, issue 6, pages 745-752, June, DOI: 10.1007/s40273-019-00777-6.

2018

  1. Eben Lazarus & Daniel J. Lewis & James H. Stock & Mark W. Watson, 2018, "HAR Inference: Recommendations for Practice," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 36, issue 4, pages 541-559, October, DOI: 10.1080/07350015.2018.1506926.
  2. Eben Lazarus & Daniel J. Lewis & James H. Stock & Mark W. Watson, 2018, "HAR Inference: Recommendations for Practice Rejoinder," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 36, issue 4, pages 574-575, October, DOI: 10.1080/07350015.2018.1513251.
  3. Martin Lettau & Ananth Madhavan, 2018, "Exchange-Traded Funds 101 for Economists," Journal of Economic Perspectives, American Economic Association, volume 32, issue 1, pages 135-154, Winter.

2017

  1. Martin C. Schmalz & David A. Sraer & David Thesmar, 2017, "Housing Collateral and Entrepreneurship," Journal of Finance, American Finance Association, volume 72, issue 1, pages 99-132, February.
  2. Landier, Augustin & Sraer, David & Thesmar, David, 2017, "Banking integration and house price co-movement," Journal of Financial Economics, Elsevier, volume 125, issue 1, pages 1-25, DOI: 10.1016/j.jfineco.2017.03.001.
  3. Harrison Hong & David Sraer & Jialin Yu, 2017, "Inflation Bets on the Long Bond," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 3, pages 900-947.

2016

  1. Harrison Hong & David A. Sraer, 2016, "Speculative Betas," Journal of Finance, American Finance Association, volume 71, issue 5, pages 2095-2144, October.
  2. Barrot, Jean-Noel & Kaniel, Ron & Sraer, David, 2016, "Are retail traders compensated for providing liquidity?," Journal of Financial Economics, Elsevier, volume 120, issue 1, pages 146-168, DOI: 10.1016/j.jfineco.2016.01.005.

2015

  1. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2015, "Investor Information, Long-Run Risk, and the Term Structure of Equity," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 3, pages 706-742.

2014

  1. Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014, "Conditional risk premia in currency markets and other asset classes," Journal of Financial Economics, Elsevier, volume 114, issue 2, pages 197-225, DOI: 10.1016/j.jfineco.2014.07.001.
  2. Martin Lettau & Sydney C. Ludvigson, 2014, "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, volume 28, issue 1, pages 293-354, DOI: 10.1086/674605.

2013

  1. Hong, Harrison & Sraer, David, 2013, "Quiet bubbles," Journal of Financial Economics, Elsevier, volume 110, issue 3, pages 596-606, DOI: 10.1016/j.jfineco.2013.07.002.
  2. Augustin Landier & Julien Sauvagnat & David Sraer & David Thesmar, 2013, "Bottom-Up Corporate Governance," Review of Finance, European Finance Association, volume 17, issue 1, pages 161-201.

2012

  1. Thomas Chaney & David Sraer & David Thesmar, 2012, "The Collateral Channel: How Real Estate Shocks Affect Corporate Investment," American Economic Review, American Economic Association, volume 102, issue 6, pages 2381-2409, October.

2011

  1. Lettau, Martin & Wachter, Jessica A., 2011, "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, volume 101, issue 1, pages 90-113, July.
  2. Thierry Foucault & David Sraer & David J. Thesmar, 2011, "Individual Investors and Volatility," Journal of Finance, American Finance Association, volume 66, issue 4, pages 1369-1406, August.
  3. Boucly, Quentin & Sraer, David & Thesmar, David, 2011, "Growth LBOs," Journal of Financial Economics, Elsevier, volume 102, issue 2, pages 432-453, DOI: 10.1016/j.jfineco.2011.05.014.
    • Quentin Boucly & David Sraer & David Thesmar, 2011, "Growth LBOs," Post-Print, HAL, number hal-00632110, Nov, DOI: 10.1016/j.jfineco.2011.05.014.

2009

  1. Martin Lettau & Sydney Ludvigson, 2009, "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 12, issue 2, pages 255-283, April, DOI: 10.1016/j.red.2008.11.004.
  2. Augustin Landier & David Sraer & David Thesmar, 2009, "Financial Risk Management: When Does Independence Fail?," American Economic Review, American Economic Association, volume 99, issue 2, pages 454-458, May.
  3. Augustin Landier & David Sraer & David Thesmar, 2009, "Optimal Dissent in Organizations," The Review of Economic Studies, Review of Economic Studies Ltd, volume 76, issue 2, pages 761-794.
  4. Romain Aeberhardt & David Sraer, 2009, "Allégements de cotisations patronales et dynamique salariale," Économie et Statistique, Programme National Persée, volume 429, issue 1, pages 177-189, DOI: 10.3406/estat.2009.8068.

2008

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

2007

  1. 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, volume 62, issue 1, pages 55-92, February, DOI: 10.1111/j.1540-6261.2007.01201.x.
  2. David Sraer & David Thesmar, 2007, "Performance and Behavior of Family Firms: Evidence from the French Stock Market," Journal of the European Economic Association, MIT Press, volume 5, issue 4, pages 709-751, June.

2005

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

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, volume 94, issue 1, pages 276-299, March.

2003

  1. Van Zandt, Timothy & Lettau, Martin, 2003, "Robustness Of Adaptive Expectations As An Equilibrium Selection Device," Macroeconomic Dynamics, Cambridge University Press, volume 7, issue 1, pages 89-118, February.
  2. Martin Lettau, 2003, "Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models," Economic Journal, Royal Economic Society, volume 113, issue 489, pages 550-575, July.

2002

  1. Lettau, Martin & Uhlig, Harald, 2002, "The Sharpe Ratio And Preferences: A Parametric Approach," Macroeconomic Dynamics, Cambridge University Press, volume 6, issue 2, pages 242-265, April.
  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, volume 49, issue 1, pages 31-66, January.
  3. Martin Lettau & Sydney C. Ludvigson & Charles Steindel, 2002, "Monetary policy transmission through the consumption-wealth channel," Economic Policy Review, Federal Reserve Bank of New York, volume 8, issue May, pages 117-133.

2001

  1. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001, "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, volume 56, issue 1, pages 1-43, February, DOI: 10.1111/0022-1082.00318.
  2. Martin Lettau & Sydney Ludvigson, 2001, "Consumption, Aggregate Wealth, and Expected Stock Returns," Journal of Finance, American Finance Association, volume 56, issue 3, pages 815-849, June, DOI: 10.1111/0022-1082.00347.
  3. 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, volume 44, issue 1, pages 85-103, January.
  4. 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, volume 109, issue 6, pages 1238-1287, December, DOI: 10.1086/323282.

2000

  1. 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, volume 3, issue 1, pages 79-99, January, DOI: 10.1006/redy.1998.0035.
  2. Martin Lettau, 2000, "Cross-variable restrictions in Euler equations and risk premia," Applied Economics Letters, Taylor & Francis Journals, volume 7, issue 2, pages 99-101, DOI: 10.1080/135048500351906.

1999

  1. Harald Uhlig & Martin Lettau, 1999, "Rules of Thumb versus Dynamic Programming," American Economic Review, American Economic Association, volume 89, issue 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, volume 21, issue 7, pages 1117-1147, June.

Chapters

2016

  1. Johan Hombert & Antoinette Schoar & David Sraer & David Thesmar, 2016, "Does Unemployment Insurance Change the Selection into Entrepreneurship?," NBER Chapters, National Bureau of Economic Research, Inc, "Measuring Entrepreneurial Businesses: Current Knowledge and Challenges".

2013

  1. Martin Lettau & Sydney C. Ludvigson, 2013, "Shocks and Crashes," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2013, Volume 28".

2010

  1. Claire Lelarge & David Sraer & David Thesmar, 2010, "Entrepreneurship and Credit Constraints: Evidence from a French Loan Guarantee Program," NBER Chapters, National Bureau of Economic Research, Inc, "International Differences in Entrepreneurship".

Software components

2026

  1. Eben Lazarus & Daniel J. Lewis, 2026, "HARREG: Stata module to estimate time-series regression with HAR standard errors and fixed-b inference," Statistical Software Components, Boston College Department of Economics, number S459711, revised .

2008

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

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