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 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
Undated material is listed at the end2024
- Martin Lettau, 2024. "3D-PCA: Factor Models with Restrictions," NBER Working Papers 32261, National Bureau of Economic Research, Inc.
2023
- Elio Nimier-David & David Sraer & David Thesmar, 2023. "The Effects of Mandatory Profit-Sharing on Workers and Firms: Evidence from France," NBER Working Papers 31804, National Bureau of Economic Research, Inc.
- Martin Lettau, 2023. "High-Dimensional Factor Models and the Factor Zoo," NBER Working Papers 31719, National Bureau of Economic Research, Inc.
- Mihir Gandhi & Niels Joachim Gormsen & Eben Lazarus, 2023. "Forward Return Expectations," NBER Working Papers 31687, National Bureau of Economic Research, Inc.
2022
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2022.
"Quantifying Reduced-Form Evidence on Collateral Constraints,"
Post-Print
hal-03869851, HAL.
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2022. "Quantifying Reduced‐Form Evidence on Collateral Constraints," Journal of Finance, American Finance Association, vol. 77(4), pages 2143-2181, August.
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2018. "Quantifying Reduced-Form Evidence on Collateral Constraints," Working Papers hal-03393129, HAL.
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2018. "Quantifying Reduced-Form Evidence on Collateral Constraints," SciencePo Working papers hal-03393129, HAL.
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2022. "Quantifying Reduced-Form Evidence on Collateral Constraints," SciencePo Working papers Main hal-03869851, HAL.
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2018. "Quantifying Reduced-Form Evidence on Collateral Constraints," Sciences Po Economics Discussion Papers info:hdl:2441/5e3g19l1fn9, Sciences Po Departement of Economics.
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2018. "Quantifying Reduced-Form Evidence on Collateral Constraints," Sciences Po publications info:hdl:2441/5e3g19l1fn9, Sciences Po.
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2018. "Quantifying Reduced-Form Evidence on Collateral Constraints," SciencePo Working papers Main hal-03393129, HAL.
- Sylvain Catherine & Mehran Ebrahimian & David Sraer & David Thesmar, 2022. "Robustness Checks in Structural Analysis," NBER Working Papers 30443, National Bureau of Economic Research, Inc.
- Martin Lettau, 2022.
"High-Dimensional Factor Models with an Application to Mutual Fund Characteristics,"
NBER Working Papers
29833, National Bureau of Economic Research, Inc.
- Lettau, Martin, 2021. "High Dimensional Factor Models with an Application to Mutual Fund Characteristics," MPRA Paper 112192, University Library of Munich, Germany.
- John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2022.
"Idiosyncratic Equity Risk Two Decades Later,"
NBER Working Papers
29916, National Bureau of Economic Research, Inc.
- John Y. Campbell & Martin Lettau & Burton Malkiel & Yexiao Xu, 2023. "Idiosyncratic Equity Risk Two Decades Later," Critical Finance Review, now publishers, vol. 12(1-4), pages 203-223, August.
2021
- Ned Augenblick & Eben Lazarus & Michael Thaler, 2021. "Overinference from Weak Signals and Underinference from Strong Signals," Papers 2109.09871, arXiv.org, revised Mar 2023.
2020
- Yueran Ma & Tiziano Ropele & David Sraer & David Thesmar, 2020. "A Quantitative Analysis of Distortions in Managerial Forecasts," NBER Working Papers 26830, National Bureau of Economic Research, Inc.
2019
- Sraer, David & Haddad, Valentin, 2019.
"The Banking View of Bond Risk Premia,"
CEPR Discussion Papers
14207, C.E.P.R. Discussion Papers.
- Valentin Haddad & David Sraer, 2020. "The Banking View of Bond Risk Premia," Journal of Finance, American Finance Association, vol. 75(5), pages 2465-2502, October.
- Valentin Haddad & David A. Sraer, 2019. "The Banking View of Bond Risk Premia," NBER Working Papers 26369, National Bureau of Economic Research, Inc.
- David Sraer & Valentin Haddad, 2016. "The Banking View of Bond Risk Premia," 2016 Meeting Papers 814, Society for Economic Dynamics.
- Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2019.
"How the Wealth Was Won: Factor Shares as Market Fundamentals,"
CEPR Discussion Papers
14200, C.E.P.R. Discussion Papers.
- Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2019. "How the Wealth Was Won: Factors Shares as Market Fundamentals," NBER Working Papers 25769, National Bureau of Economic Research, Inc.
2018
- Thesmar, David & Sraer, David, 2018.
"A Sufficient Statistics Approach for Aggregating Firm-Level Experiments,"
CEPR Discussion Papers
12592, C.E.P.R. Discussion Papers.
- David Sraer & David Thesmar, 2018. "A Sufficient Statistics Approach for Aggregating Firm-Level Experiments," NBER Working Papers 24208, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2018.
"Capital Share Risk in U.S. Asset Pricing,"
CEPR Discussion Papers
12628, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2019. "Capital Share Risk in U.S. Asset Pricing," Journal of Finance, American Finance Association, vol. 74(4), pages 1753-1792, August.
- Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2014. "Capital Share Risk in U.S. Asset Pricing," NBER Working Papers 20744, National Bureau of Economic Research, Inc.
- Lettau, Martin & Madhavan, Ananth, 2018.
"Exchange Traded Funds 101 For Economists,"
CEPR Discussion Papers
12629, C.E.P.R. Discussion Papers.
- Martin Lettau & Ananth Madhavan, 2018. "Exchange-Traded Funds 101 for Economists," Journal of Economic Perspectives, American Economic Association, vol. 32(1), pages 135-154, Winter.
- Martin Lettau & Ananth Madhavan, 2018. "Exchange Traded Funds 101 For Economists," NBER Working Papers 24250, National Bureau of Economic Research, Inc.
- Lettau, Martin & Pelger, Markus, 2018.
"Estimating Latent Asset-Pricing Factors,"
CEPR Discussion Papers
12926, C.E.P.R. Discussion Papers.
- Lettau, Martin & Pelger, Markus, 2020. "Estimating latent asset-pricing factors," Journal of Econometrics, Elsevier, vol. 218(1), pages 1-31.
- Martin Lettau & Markus Pelger, 2018. "Estimating Latent Asset-Pricing Factors," NBER Working Papers 24618, National Bureau of Economic Research, Inc.
- Lettau, Martin & Pelger, Markus, 2018.
"Factors that Fit the Time Series and Cross-Section of Stock Returns,"
CEPR Discussion Papers
13049, C.E.P.R. Discussion Papers.
- 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, vol. 33(5), pages 2274-2325.
- Martin Lettau & Markus Pelger, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," NBER Working Papers 24858, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney & Manoel, Paulo, 2018.
"Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?,"
CEPR Discussion Papers
13395, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson & Paulo Manoel, 2018. "Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?," NBER Working Papers 25381, National Bureau of Economic Research, Inc.
2017
- Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017.
"Monetary Policy and Asset Valuation,"
CEPR Discussion Papers
12275, C.E.P.R. Discussion Papers.
- Francesco Bianchi, 2017. "Monetary Policy and Asset Valuation," 2017 Meeting Papers 500, Society for Economic Dynamics.
- Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney & Bianchi, Francesco, 2018. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12671, C.E.P.R. Discussion Papers.
2015
- Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2015. "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," CEPR Discussion Papers 10335, C.E.P.R. Discussion Papers.
- Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2015.
"Origins of Stock Market Fluctuations,"
CEPR Discussion Papers
10336, C.E.P.R. Discussion Papers.
- Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2014. "Origins of Stock Market Fluctuations," NBER Working Papers 19818, National Bureau of Economic Research, Inc.
- Sydney Ludvigson & Martin Lettau & Daniel Greenwald, 2014. "The Origins of Stock Market Fluctuations," 2014 Meeting Papers 542, Society for Economic Dynamics.
2014
- Sraer, David & Kaniel, Ron & Barrot, Jean-Noël, 2014.
"Are Retail Traders Compensated for Providing Liquidity?,"
CEPR Discussion Papers
10285, C.E.P.R. Discussion Papers.
- Barrot, Jean-Noel & Kaniel, Ron & Sraer, David, 2016. "Are retail traders compensated for providing liquidity?," Journal of Financial Economics, Elsevier, vol. 120(1), pages 146-168.
- Sraer, David & Kaniel, Ron & Barrot, Jean-Noël, 2015. "Are retail traders compensated for providing liquidity?," CEPR Discussion Papers 10820, C.E.P.R. Discussion Papers.
- Schoar, Antoinette & Thesmar, David & Sraer, David & Hombert, Johan, 2014.
"Can Unemployment Insurance Spur Entrepreneurial Activity?,"
CEPR Discussion Papers
10294, C.E.P.R. Discussion Papers.
- Johan Hombert & Antoinette Schoar & David Sraer & David Thesmar, 2014. "Can Unemployment Insurance Spur Entrepreneurial Activity?," NBER Working Papers 20717, National Bureau of Economic Research, Inc.
- Thesmar, David & Landier, Augustin & Sraer, David, 2014.
"Banking Integration and House Price Comovement,"
CEPR Discussion Papers
10295, C.E.P.R. Discussion Papers.
- Landier, Augustin & Sraer, David & Thesmar, David, 2017. "Banking integration and house price co-movement," Journal of Financial Economics, Elsevier, vol. 125(1), pages 1-25.
- Augustin Landier & David Alexandre Sraer & David Thesmar, 2013. "Banking Integration and House Price Comovement," Working Papers hal-02058247, HAL.
- Thesmar, David & Landier, Augustin & Sraer, David, 2013. "Banking Integration and House Price Comovement," CEPR Discussion Papers 9754, C.E.P.R. Discussion Papers.
- Landier, Augustin & Sraer, David & Thesmar, David, 2017. "Banking integration and house price comovement," ESRB Working Paper Series 48, European Systemic Risk Board.
- Thesmar, David & Landier, Augustin & Sraer, David, 2014.
"Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy,"
CEPR Discussion Papers
10300, C.E.P.R. Discussion Papers.
- 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, vol. 117(C), pages 543-570.
- Landier, Augustin & Sraer, David & Thesmar, David, 2013. "Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy," IDEI Working Papers 800, Institut d'Économie Industrielle (IDEI), Toulouse.
- Landier, Augustin & Sraer, David & Thesmar, David, 2013. "Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy," TSE Working Papers 13-438, Toulouse School of Economics (TSE).
- Gomez, Matthieu & Landier, Augustin & Sraer, David & Thesmar, David, 2016. "Banks' exposure to interest rate risk and the transmission of monetary policy," ESRB Working Paper Series 13, European Systemic Risk Board.
- Augustin Landier & David Sraer & David Thesmar, 2013. "Banks' Exposure to Interest Rate Risk and The Transmission of Monetary Policy," NBER Working Papers 18857, National Bureau of Economic Research, Inc.
- Thesmar , David & Sraer , David, 2014.
"Housing Collateral and Entrepreneurship,"
HEC Research Papers Series
1077, HEC Paris.
- Martin C. Schmalz & David A. Sraer & David Thesmar, 2017. "Housing Collateral and Entrepreneurship," Journal of Finance, American Finance Association, vol. 72(1), pages 99-132, February.
- Martin Schmalz & David Alexandre Sraer & David Thesmar, 2014. "Housing Collateral and Entrepreneurship," Working Papers hal-02011412, HAL.
- Martin Schmalz & David Alexandre Sraer & David Thesmar, 2014. "Housing Collateral and Entrepreneurship," Working Papers hal-02011415, HAL.
- Martin C. Schmalz & David A. Sraer & David Thesmar, 2013. "Housing Collateral and Entrepreneurship," NBER Working Papers 19680, National Bureau of Economic Research, Inc.
2013
- Hombert, Johan & Schoar, Antoinette & Sraer, David Alexandre & Thesmar, David, 2013.
"Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence from France,"
HEC Research Papers Series
1020, HEC Paris.
- Johan Hombert & Antoinette Schoar & David Sraer & David Thesmar, 2020. "Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence from France," Journal of Finance, American Finance Association, vol. 75(3), pages 1247-1285, June.
- Johan Hombert & Antoinette Schoar & David Alexandre Sraer & David Thesmar, 2013. "Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence from France," Working Papers hal-02058245, HAL.
- Landier, Augustin & Sraer, David & Thesmar, David, 2013.
"Banking Deregulation and The Rise in House Price Comovement,"
IDEI Working Papers
799, Institut d'Économie Industrielle (IDEI), Toulouse.
- Landier, Augustin & Sraer, David & Thesmar, David, 2013. "Banking Deregulation and The Rise in House Price Comovement," TSE Working Papers 13-437, Toulouse School of Economics (TSE).
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2013.
"Conditional Risk Premia in Currency Markets and Other Asset Classes,"
CEPR Discussion Papers
9484, C.E.P.R. Discussion Papers.
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014. "Conditional risk premia in currency markets and other asset classes," Journal of Financial Economics, Elsevier, vol. 114(2), pages 197-225.
- Martin Lettau & Matteo Maggiori & Michael Weber, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers 18844, National Bureau of Economic Research, Inc.
2012
- Thomas Chaney & David Sraer & David Thesmar, 2012.
"The Collateral Channel: How Real Estate Shocks Affect Corporate Investment,"
Post-Print
hal-01009900, HAL.
- Thomas Chaney & David Sraer & David Thesmar, 2012. "The Collateral Channel: How Real Estate Shocks Affect Corporate Investment," American Economic Review, American Economic Association, vol. 102(6), pages 2381-2409, October.
- Thomas Chaney & David Sraer & David Thesmar, 2012. "The Collateral Channel: How Real Estate Shocks Affect Corporate Investment," Sciences Po publications info:hdl:2441/75koqefued8, Sciences Po.
- Thomas Chaney & David Sraer & David Thesmar, 2010. "The Collateral Channel: How Real Estate Shocks Affect Corporate Investment," NBER Working Papers 16060, National Bureau of Economic Research, Inc.
- Augustin Landier & Julien Sauvagnat & David Sraer & David Thesmar, 2012.
"Bottom-Up Corporate Governance,"
Post-Print
hal-01026127, HAL.
- Augustin Landier & Julien Sauvagnat & David Sraer & David Thesmar, 2013. "Bottom-Up Corporate Governance," Review of Finance, European Finance Association, vol. 17(1), pages 161-201.
- Augustin Landier & David Sraer & David Thesmar, 2005. "Bottom-Up Corporate Governance," Working Papers 2005-30, Center for Research in Economics and Statistics.
- Thesmar, David & Landier, Augustin & Sraer, David, 2006. "Bottom-Up Corporate Governance," CEPR Discussion Papers 5500, C.E.P.R. Discussion Papers.
- Augustin Landier & David Sraer & David Thesmar, 2005. "Bottom-Up Corporate Governance," Working Papers hal-00584699, HAL.
- Harrison Hong & David Sraer, 2012.
"Quiet Bubbles,"
NBER Working Papers
18547, National Bureau of Economic Research, Inc.
- Hong, Harrison & Sraer, David, 2013. "Quiet bubbles," Journal of Financial Economics, Elsevier, vol. 110(3), pages 596-606.
- Harrison Hong & David Sraer, 2012.
"Speculative Betas,"
NBER Working Papers
18548, National Bureau of Economic Research, Inc.
- Harrison Hong & David A. Sraer, 2016. "Speculative Betas," Journal of Finance, American Finance Association, vol. 71(5), pages 2095-2144, October.
2011
- Johan Hombert & A. Schoar & D. Sraer & David Thesmar, 2011. "Barriers to entrepreneurship: Evidence from France," Post-Print hal-00578307, HAL.
- David Thesmar & Augustin Landier & D. Sraer, 2011.
"Going for broke: New Century Corporation 2004-2006,"
Post-Print
hal-00578323, HAL.
- David Thesmar & Augustin Landier & D. Sraer, 2011. "Going for broke: New Century Corporation 2004-2006," Post-Print hal-00578325, HAL.
- David Thesmar & Augustin Landier & D. Sraer, 2011. "Going for broke: New Century Corporation 2004-2006," Post-Print hal-00578324, HAL.
- David Thesmar, 2010. "Going for broke: New Century Corporation 2004-2006," Post-Print hal-00543596, HAL.
- David Thesmar, 2010. "Going for broke: New Century Corporation 2004-2006," Post-Print hal-00543600, HAL.
- Quentin Boucly & David Sraer & David Thesmar, 2011.
"Growth LBOs,"
Post-Print
hal-00632110, HAL.
- Boucly, Quentin & Sraer, David & Thesmar, David, 2011. "Growth LBOs," Journal of Financial Economics, Elsevier, vol. 102(2), pages 432-453.
- Landier, Augustin & Sraer, David & Thesmar, David, 2011. "The risk-Shifting Hypothesis," IDEI Working Papers 699, Institut d'Économie Industrielle (IDEI), Toulouse.
- Landier, Augustin & Sraer, David & Thesmar, David, 2011. "The risk-Shifting Hypothesis : Evidence from Subprime Originations," TSE Working Papers 11-279, Toulouse School of Economics (TSE).
- 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.
- Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
2010
- Landier, Augustin & Sraer, David & Thesmar, David, 2010.
"Going for broke: New Century Financial Corporation, 2004-2006,"
IDEI Working Papers
649, Institut d'Économie Industrielle (IDEI), Toulouse.
- Landier, Augustin & Sraer, David & Thesmar, David, 2010. "Going for broke: New Century Financial Corporation, 2004-2006," TSE Working Papers 10-199, Toulouse School of Economics (TSE).
2009
- Augustin Landier & D. Sraer & David Thesmar, 2009.
"Optimal Dissent in Organizations,"
Post-Print
hal-00461108, HAL.
- Augustin Landier & David Sraer & David Thesmar, 2009. "Optimal Dissent in Organizations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 76(2), pages 761-794.
- Augustin Landier & D. Sraer & David Thesmar, 2009.
"Financial Risk Management: When Does Independence Fail?,"
Post-Print
hal-00461112, HAL.
- Augustin Landier & David Sraer & David Thesmar, 2009. "Financial Risk Management: When Does Independence Fail?," American Economic Review, American Economic Association, vol. 99(2), pages 454-458, May.
- Martin Lettau & Jessica A. Wachter, 2009.
"The Term Structures of Equity and Interest Rates,"
NBER Working Papers
14698, National Bureau of Economic Research, Inc.
- Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
2008
- Foucault, Thierry & Thesmar, David & Sraer, David, 2008.
"Individual Investors and Volatility,"
CEPR Discussion Papers
6915, C.E.P.R. Discussion Papers.
- Thierry Foucault & David Sraer & David J. Thesmar, 2011. "Individual Investors and Volatility," Journal of Finance, American Finance Association, vol. 66(4), pages 1369-1406, August.
- Thierry Foucault & David Sraer & David Thesmar, 2011. "Individual Investors and Volatility," Post-Print hal-00630297, HAL.
- Foucault, Thierry & Themar, David & Sraer, David, 2008. "Individual investors and volatility," HEC Research Papers Series 899, HEC Paris.
- Thierry Foucault & David Thesmar & David Sraer, 2008. "Individual Investors and Volatility," Working Papers hal-00578370, HAL.
2007
- 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.
- 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, vol. 28(3), pages 706-742.
2006
- Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006.
"The Declining Equity Premium: What Role Does Macroeconomic Risk Play?,"
CEPR Discussion Papers
5519, C.E.P.R. Discussion Papers.
- 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.).
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1653-1687, July.
- Martin Lettau & Sydney C. Ludvigson, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," 2004 Meeting Papers 644, Society for Economic Dynamics.
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," NBER Working Papers 10270, National Bureau of Economic Research, Inc.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006.
"Reconciling the Return Predictability Evidence,"
NBER Working Papers
12109, National Bureau of Economic Research, Inc.
- Martin Lettau & Stijn Van Nieuwerburgh, 2008. "Reconciling the Return Predictability Evidence," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1607-1652, July.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
- Mariano M. Croce & Martin Lettau & Sydney Ludvigson, 2006. "Investor Information, Long-Run Risk, and the Duration fo Risky Assets," 2006 Meeting Papers 628, Society for Economic Dynamics.
2005
- Lettau, Martin & Wachter, Jessica, 2005.
"Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium,"
CEPR Discussion Papers
4921, C.E.P.R. Discussion Papers.
- 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, vol. 62(1), pages 55-92, February.
- Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers 302, Society for Economic Dynamics.
- Martin Lettau & Jessica Wachter, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," NBER Working Papers 11144, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney, 2005.
"Euler Equation Errors,"
CEPR Discussion Papers
4922, C.E.P.R. Discussion Papers.
- 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.
- Martin Lettau & Sydney C. Ludvigson, 2005. "Euler Equation Errors," NBER Working Papers 11606, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 5245, C.E.P.R. Discussion Papers.
- Sydney C. Ludvigson & Martin Lettau, 2005. "Euler Equation Errors," 2005 Meeting Papers 487, Society for Economic Dynamics.
- Lettau, Martin & Van Nieuwerburgh, Stijn, 2005. "Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability," CEPR Discussion Papers 5355, C.E.P.R. Discussion Papers.
2004
- David Sraer & David Thesmar, 2004.
"Performance and Behavior of Family Firms : Evidence from the French Stock Market,"
Working Papers
2004-24, Center for Research in Economics and Statistics.
- 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, vol. 5(4), pages 709-751, June.
- David Thesmar & D. Sraer, 2007. "Performance and Behavior of Family Firms: Evidence From the French Stock Market," Post-Print halshs-00170635, HAL.
- Thesmar, David & Sraer, David, 2004. "Performance and Behaviour of Family Firms: Evidence from the French Stock Market," CEPR Discussion Papers 4520, C.E.P.R. Discussion Papers.
2003
- 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.
- 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, vol. 94(1), pages 276-299, March.
2002
- Lettau, Martin & Ludvigson, Sydney, 2002.
"Expected Returns and Expected Dividend Growth,"
CEPR Discussion Papers
3507, C.E.P.R. Discussion Papers.
- Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
- Martin Lettau & Sydney Ludvigson, 2003. "Expected Returns and Expected Dividend Growth," NBER Working Papers 9605, National Bureau of Economic Research, Inc.
2001
- Van Zandt, Timothy & Lettau, Martin, 2001.
"Robustness of Adaptive Expectations as an Equilibrium Selection Device,"
CEPR Discussion Papers
2882, C.E.P.R. Discussion Papers.
- Van Zandt, Timothy & Lettau, Martin, 2003. "Robustness Of Adaptive Expectations As An Equilibrium Selection Device," Macroeconomic Dynamics, Cambridge University Press, vol. 7(1), pages 89-118, February.
- Lettau, M. & Van Zandt, T., 1995. "Robustness of adaptive expectations as an equilibrium selection device," Other publications TiSEM df555a8d-4472-4491-b65e-7, Tilburg University, School of Economics and Management.
- Lettau, M. & Van Zandt, T., 1995. "Robustness of adaptive expectations as an equilibrium selection device," Discussion Paper 1995-98, Tilburg University, Center for Economic Research.
- Lettau, M. & Van Zandt, T., 1995. "Robustness of Adaptive Expections as an Equilibrium Selection Device," Papers 9598, Tilburg - Center for Economic Research.
- 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
3103, C.E.P.R. Discussion Papers.
- 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, vol. 49(1), pages 31-66, January.
- Lettau, Martin & Ludvigson, Sydney, 2001. "Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption," CEPR Discussion Papers 3104, C.E.P.R. Discussion Papers.
- Lettau, Martin & Ludvigson, Sydney, 2001. "Measuring and Modelling Variation in the Risk-Return Trade-off," CEPR Discussion Papers 3105, C.E.P.R. Discussion Papers.
- Nathan Barczi & Martin Lettau & Sydney C. Ludvigson, 2001. "A primer on the economics and time series econometrics of wealth effects: a comment," Staff Reports 131, Federal Reserve Bank of New York.
- Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001.
"Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk,"
Scholarly Articles
3128707, Harvard University Department of Economics.
- 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, vol. 56(1), pages 1-43, February.
- 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.
2000
- 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 8, Society for Computational Economics.
1999
- Lettau, Martin & Ludvigson, Sydney, 1999.
"Consumption, Aggregate Wealth and Expected Stock Returns,"
CEPR Discussion Papers
2223, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney Ludvigson, 2001. "Consumption, Aggregate Wealth, and Expected Stock Returns," Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, June.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
- Martin Lettau & Sydney C. Ludvigson, 1999.
"Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying,"
Staff Reports
93, Federal Reserve Bank of New York.
- 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, vol. 109(6), pages 1238-1287, December.
1998
- Lettau, Martin, 1998.
"Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?,"
CEPR Discussion Papers
1795, C.E.P.R. Discussion Papers.
- Martin Lettau, 2001. "Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?," Staff Reports 130, Federal Reserve Bank of New York.
- Lettau, Martin, 1998. "Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model," CEPR Discussion Papers 1884, C.E.P.R. Discussion Papers.
- Campbell, John Y & Kim, Sangjoon & Lettau, Martin, 1998.
"Dispersion and Volatility in Stock Returns: An Empirical Investigation,"
CEPR Discussion Papers
1923, C.E.P.R. Discussion Papers.
- 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.
1997
- Lettau, Martin & Uhlig, Harald, 1997.
"Preferences, Consumption Smoothing, and Risk Premia,"
CEPR Discussion Papers
1678, C.E.P.R. Discussion Papers.
- Lettau, M. & Uhlig, H.F.H.V.S., 1997. "Preferences, Consumption Smoothing and Risk Premia," Discussion Paper 1997-60, Tilburg University, Center for Economic Research.
- Lettau, M. & Uhlig, H.F.H.V.S., 1997. "Preferences, Consumption Smoothing and Risk Premia," Other publications TiSEM 129a8e4c-f593-4f03-b35b-2, Tilburg University, School of Economics and Management.
- Lettau, M., 1997.
"Comment on "The Spirit of Capitalism and Stock Market Prices" By G.S. Bakshi and Z. Chen (AER, 1996),"
Discussion Paper
1997-49, Tilburg University, Center for Economic Research.
- Lettau, M., 1997. "Comment on "The Spirit of Capitalism and Stock Market Prices" By G.S. Bakshi and Z. Chen (AER, 1996)," Other publications TiSEM 4e353018-6c52-453c-8d89-4, Tilburg University, School of Economics and Management.
1995
- Lettau, M. & Uhlig, H.F.H.V.S., 1995.
"Rule of Thumb and Dynamic Programming,"
Discussion Paper
1995-27, Tilburg University, Center for Economic Research.
- Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Rule of Thumb and Dynamic Programming," Other publications TiSEM 30ad8072-6a3b-4e5b-8227-9, Tilburg University, School of Economics and Management.
- Lettau, M. & Uhlig, H.F.H.V.S., 1995.
"Can Habit Formation be Reconciled with Business Cycle Facts?,"
Discussion Paper
1995-54, Tilburg University, Center for Economic Research.
- 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.
- Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Other publications TiSEM b152dad0-97de-48c9-bde6-6, Tilburg University, School of Economics and Management.
Undated
- 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 36, Society for Computational Economics.
- Peter Woehrmann & Willi Semmler & Martin Lettau, "undated". "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.
Journal articles
2023
- Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
2022
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2022.
"Quantifying Reduced‐Form Evidence on Collateral Constraints,"
Journal of Finance, American Finance Association, vol. 77(4), pages 2143-2181, August.
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2018. "Quantifying Reduced-Form Evidence on Collateral Constraints," Working Papers hal-03393129, HAL.
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2018. "Quantifying Reduced-Form Evidence on Collateral Constraints," SciencePo Working papers hal-03393129, HAL.
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2022. "Quantifying Reduced-Form Evidence on Collateral Constraints," Post-Print hal-03869851, HAL.
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2022. "Quantifying Reduced-Form Evidence on Collateral Constraints," SciencePo Working papers Main hal-03869851, HAL.
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2018. "Quantifying Reduced-Form Evidence on Collateral Constraints," Sciences Po Economics Discussion Papers info:hdl:2441/5e3g19l1fn9, Sciences Po Departement of Economics.
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2018. "Quantifying Reduced-Form Evidence on Collateral Constraints," Sciences Po publications info:hdl:2441/5e3g19l1fn9, Sciences Po.
- Sylvain Catherine & Thomas Chaney & Zongbo Huang & David Sraer & David Thesmar, 2018. "Quantifying Reduced-Form Evidence on Collateral Constraints," SciencePo Working papers Main hal-03393129, HAL.
2021
- 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, vol. 117(C), pages 543-570.
- Landier, Augustin & Sraer, David & Thesmar, David, 2013. "Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy," IDEI Working Papers 800, Institut d'Économie Industrielle (IDEI), Toulouse.
- Landier, Augustin & Sraer, David & Thesmar, David, 2013. "Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy," TSE Working Papers 13-438, Toulouse School of Economics (TSE).
- Gomez, Matthieu & Landier, Augustin & Sraer, David & Thesmar, David, 2016. "Banks' exposure to interest rate risk and the transmission of monetary policy," ESRB Working Paper Series 13, European Systemic Risk Board.
- Thesmar, David & Landier, Augustin & Sraer, David, 2014. "Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy," CEPR Discussion Papers 10300, C.E.P.R. Discussion Papers.
- Augustin Landier & David Sraer & David Thesmar, 2013. "Banks' Exposure to Interest Rate Risk and The Transmission of Monetary Policy," NBER Working Papers 18857, National Bureau of Economic Research, Inc.
- Eben Lazarus & Daniel J. Lewis & James H. Stock, 2021. "The Size‐Power Tradeoff in HAR Inference," Econometrica, Econometric Society, vol. 89(5), pages 2497-2516, September.
2020
- Johan Hombert & Antoinette Schoar & David Sraer & David Thesmar, 2020.
"Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence from France,"
Journal of Finance, American Finance Association, vol. 75(3), pages 1247-1285, June.
- Johan Hombert & Antoinette Schoar & David Alexandre Sraer & David Thesmar, 2013. "Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence from France," Working Papers hal-02058245, HAL.
- Hombert, Johan & Schoar, Antoinette & Sraer, David Alexandre & Thesmar, David, 2013. "Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence from France," HEC Research Papers Series 1020, HEC Paris.
- Valentin Haddad & David Sraer, 2020.
"The Banking View of Bond Risk Premia,"
Journal of Finance, American Finance Association, vol. 75(5), pages 2465-2502, October.
- Valentin Haddad & David A. Sraer, 2019. "The Banking View of Bond Risk Premia," NBER Working Papers 26369, National Bureau of Economic Research, Inc.
- David Sraer & Valentin Haddad, 2016. "The Banking View of Bond Risk Premia," 2016 Meeting Papers 814, Society for Economic Dynamics.
- Sraer, David & Haddad, Valentin, 2019. "The Banking View of Bond Risk Premia," CEPR Discussion Papers 14207, C.E.P.R. Discussion Papers.
- Lettau, Martin & Pelger, Markus, 2020.
"Estimating latent asset-pricing factors,"
Journal of Econometrics, Elsevier, vol. 218(1), pages 1-31.
- Martin Lettau & Markus Pelger, 2018. "Estimating Latent Asset-Pricing Factors," NBER Working Papers 24618, National Bureau of Economic Research, Inc.
- Lettau, Martin & Pelger, Markus, 2018. "Estimating Latent Asset-Pricing Factors," CEPR Discussion Papers 12926, C.E.P.R. Discussion Papers.
- 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, vol. 33(5), pages 2274-2325.
- Martin Lettau & Markus Pelger, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," NBER Working Papers 24858, National Bureau of Economic Research, Inc.
- Lettau, Martin & Pelger, Markus, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," CEPR Discussion Papers 13049, C.E.P.R. Discussion Papers.
2019
- 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, vol. 37(6), pages 745-752, June.
- Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2019.
"Capital Share Risk in U.S. Asset Pricing,"
Journal of Finance, American Finance Association, vol. 74(4), pages 1753-1792, August.
- Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2014. "Capital Share Risk in U.S. Asset Pricing," NBER Working Papers 20744, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2018. "Capital Share Risk in U.S. Asset Pricing," CEPR Discussion Papers 12628, C.E.P.R. Discussion Papers.
2018
- Martin Lettau & Ananth Madhavan, 2018.
"Exchange-Traded Funds 101 for Economists,"
Journal of Economic Perspectives, American Economic Association, vol. 32(1), pages 135-154, Winter.
- Lettau, Martin & Madhavan, Ananth, 2018. "Exchange Traded Funds 101 For Economists," CEPR Discussion Papers 12629, C.E.P.R. Discussion Papers.
- Martin Lettau & Ananth Madhavan, 2018. "Exchange Traded Funds 101 For Economists," NBER Working Papers 24250, National Bureau of Economic Research, Inc.
- 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, vol. 36(4), pages 541-559, October.
- 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, vol. 36(4), pages 574-575, October.
2017
- Martin C. Schmalz & David A. Sraer & David Thesmar, 2017.
"Housing Collateral and Entrepreneurship,"
Journal of Finance, American Finance Association, vol. 72(1), pages 99-132, February.
- Martin Schmalz & David Alexandre Sraer & David Thesmar, 2014. "Housing Collateral and Entrepreneurship," Working Papers hal-02011412, HAL.
- Martin Schmalz & David Alexandre Sraer & David Thesmar, 2014. "Housing Collateral and Entrepreneurship," Working Papers hal-02011415, HAL.
- Martin C. Schmalz & David A. Sraer & David Thesmar, 2013. "Housing Collateral and Entrepreneurship," NBER Working Papers 19680, National Bureau of Economic Research, Inc.
- Thesmar , David & Sraer , David, 2014. "Housing Collateral and Entrepreneurship," HEC Research Papers Series 1077, HEC Paris.
- Landier, Augustin & Sraer, David & Thesmar, David, 2017.
"Banking integration and house price co-movement,"
Journal of Financial Economics, Elsevier, vol. 125(1), pages 1-25.
- Thesmar, David & Landier, Augustin & Sraer, David, 2014. "Banking Integration and House Price Comovement," CEPR Discussion Papers 10295, C.E.P.R. Discussion Papers.
- Augustin Landier & David Alexandre Sraer & David Thesmar, 2013. "Banking Integration and House Price Comovement," Working Papers hal-02058247, HAL.
- Thesmar, David & Landier, Augustin & Sraer, David, 2013. "Banking Integration and House Price Comovement," CEPR Discussion Papers 9754, C.E.P.R. Discussion Papers.
- Landier, Augustin & Sraer, David & Thesmar, David, 2017. "Banking integration and house price comovement," ESRB Working Paper Series 48, European Systemic Risk Board.
- Harrison Hong & David Sraer & Jialin Yu, 2017. "Inflation Bets on the Long Bond," The Review of Financial Studies, Society for Financial Studies, vol. 30(3), pages 900-947.
2016
- Harrison Hong & David A. Sraer, 2016.
"Speculative Betas,"
Journal of Finance, American Finance Association, vol. 71(5), pages 2095-2144, October.
- Harrison Hong & David Sraer, 2012. "Speculative Betas," NBER Working Papers 18548, National Bureau of Economic Research, Inc.
- Barrot, Jean-Noel & Kaniel, Ron & Sraer, David, 2016.
"Are retail traders compensated for providing liquidity?,"
Journal of Financial Economics, Elsevier, vol. 120(1), pages 146-168.
- Sraer, David & Kaniel, Ron & Barrot, Jean-Noël, 2015. "Are retail traders compensated for providing liquidity?," CEPR Discussion Papers 10820, C.E.P.R. Discussion Papers.
- Sraer, David & Kaniel, Ron & Barrot, Jean-Noël, 2014. "Are Retail Traders Compensated for Providing Liquidity?," CEPR Discussion Papers 10285, C.E.P.R. Discussion Papers.
2015
- 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, vol. 28(3), pages 706-742.
- 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.
2014
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014.
"Conditional risk premia in currency markets and other asset classes,"
Journal of Financial Economics, Elsevier, vol. 114(2), pages 197-225.
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," CEPR Discussion Papers 9484, C.E.P.R. Discussion Papers.
- Martin Lettau & Matteo Maggiori & Michael Weber, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers 18844, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney C. Ludvigson, 2014.
"Shocks and Crashes,"
NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
- 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.
- Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
2013
- Hong, Harrison & Sraer, David, 2013.
"Quiet bubbles,"
Journal of Financial Economics, Elsevier, vol. 110(3), pages 596-606.
- Harrison Hong & David Sraer, 2012. "Quiet Bubbles," NBER Working Papers 18547, National Bureau of Economic Research, Inc.
- Augustin Landier & Julien Sauvagnat & David Sraer & David Thesmar, 2013.
"Bottom-Up Corporate Governance,"
Review of Finance, European Finance Association, vol. 17(1), pages 161-201.
- Augustin Landier & Julien Sauvagnat & David Sraer & David Thesmar, 2012. "Bottom-Up Corporate Governance," Post-Print hal-01026127, HAL.
- Augustin Landier & David Sraer & David Thesmar, 2005. "Bottom-Up Corporate Governance," Working Papers 2005-30, Center for Research in Economics and Statistics.
- Thesmar, David & Landier, Augustin & Sraer, David, 2006. "Bottom-Up Corporate Governance," CEPR Discussion Papers 5500, C.E.P.R. Discussion Papers.
- Augustin Landier & David Sraer & David Thesmar, 2005. "Bottom-Up Corporate Governance," Working Papers hal-00584699, HAL.
2012
- Thomas Chaney & David Sraer & David Thesmar, 2012.
"The Collateral Channel: How Real Estate Shocks Affect Corporate Investment,"
American Economic Review, American Economic Association, vol. 102(6), pages 2381-2409, October.
- Thomas Chaney & David Sraer & David Thesmar, 2012. "The Collateral Channel: How Real Estate Shocks Affect Corporate Investment," Post-Print hal-01009900, HAL.
- Thomas Chaney & David Sraer & David Thesmar, 2012. "The Collateral Channel: How Real Estate Shocks Affect Corporate Investment," Sciences Po publications info:hdl:2441/75koqefued8, Sciences Po.
- Thomas Chaney & David Sraer & David Thesmar, 2010. "The Collateral Channel: How Real Estate Shocks Affect Corporate Investment," NBER Working Papers 16060, National Bureau of Economic Research, Inc.
2011
- Thierry Foucault & David Sraer & David J. Thesmar, 2011.
"Individual Investors and Volatility,"
Journal of Finance, American Finance Association, vol. 66(4), pages 1369-1406, August.
- Thierry Foucault & David Sraer & David Thesmar, 2011. "Individual Investors and Volatility," Post-Print hal-00630297, HAL.
- Foucault, Thierry & Themar, David & Sraer, David, 2008. "Individual investors and volatility," HEC Research Papers Series 899, HEC Paris.
- Foucault, Thierry & Thesmar, David & Sraer, David, 2008. "Individual Investors and Volatility," CEPR Discussion Papers 6915, C.E.P.R. Discussion Papers.
- Thierry Foucault & David Thesmar & David Sraer, 2008. "Individual Investors and Volatility," Working Papers hal-00578370, HAL.
- Boucly, Quentin & Sraer, David & Thesmar, David, 2011.
"Growth LBOs,"
Journal of Financial Economics, Elsevier, vol. 102(2), pages 432-453.
- Quentin Boucly & David Sraer & David Thesmar, 2011. "Growth LBOs," Post-Print hal-00632110, HAL.
- Lettau, Martin & Wachter, Jessica A., 2011.
"The term structures of equity and interest rates,"
Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
- Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
2009
- Augustin Landier & David Sraer & David Thesmar, 2009.
"Financial Risk Management: When Does Independence Fail?,"
American Economic Review, American Economic Association, vol. 99(2), pages 454-458, May.
- Augustin Landier & D. Sraer & David Thesmar, 2009. "Financial Risk Management: When Does Independence Fail?," Post-Print hal-00461112, HAL.
- Augustin Landier & David Sraer & David Thesmar, 2009.
"Optimal Dissent in Organizations,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 76(2), pages 761-794.
- Augustin Landier & D. Sraer & David Thesmar, 2009. "Optimal Dissent in Organizations," Post-Print hal-00461108, HAL.
- Romain Aeberhardt & David Sraer, 2009. "Allégements de cotisations patronales et dynamique salariale," Économie et Statistique, Programme National Persée, vol. 429(1), pages 177-189.
- 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.
- Martin Lettau & Sydney C. Ludvigson, 2005. "Euler Equation Errors," NBER Working Papers 11606, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 5245, C.E.P.R. Discussion Papers.
- Sydney C. Ludvigson & Martin Lettau, 2005. "Euler Equation Errors," 2005 Meeting Papers 487, Society for Economic Dynamics.
- Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 4922, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney Ludvigson, 2008. "Code and data files for "Euler Equation Errors"," Computer Codes 08-106, Review of Economic Dynamics.
2008
- Martin Lettau & Stijn Van Nieuwerburgh, 2008.
"Reconciling the Return Predictability Evidence,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1607-1652, July.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
2007
- 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, vol. 5(4), pages 709-751, June.
- David Thesmar & D. Sraer, 2007. "Performance and Behavior of Family Firms: Evidence From the French Stock Market," Post-Print halshs-00170635, HAL.
- Thesmar, David & Sraer, David, 2004. "Performance and Behaviour of Family Firms: Evidence from the French Stock Market," CEPR Discussion Papers 4520, C.E.P.R. Discussion Papers.
- David Sraer & David Thesmar, 2004. "Performance and Behavior of Family Firms : Evidence from the French Stock Market," Working Papers 2004-24, Center for Research in Economics and Statistics.
- 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, vol. 62(1), pages 55-92, February.
- Lettau, Martin & Wachter, Jessica, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers 4921, C.E.P.R. Discussion Papers.
- Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers 302, Society for Economic Dynamics.
- Martin Lettau & Jessica Wachter, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," NBER Working Papers 11144, National Bureau of Economic Research, Inc.
2005
- Lettau, Martin & Ludvigson, Sydney C., 2005. "tay's as good as cay: Reply," Finance Research Letters, Elsevier, vol. 2(1), pages 15-22, March.
- Lettau, Martin & Ludvigson, Sydney C., 2005.
"Expected returns and expected dividend growth,"
Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
- Martin Lettau & Sydney Ludvigson, 2003. "Expected Returns and Expected Dividend Growth," NBER Working Papers 9605, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney, 2002. "Expected Returns and Expected Dividend Growth," CEPR Discussion Papers 3507, C.E.P.R. Discussion Papers.
- 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.).
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1653-1687, July.
- Martin Lettau & Sydney C. Ludvigson, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," 2004 Meeting Papers 644, Society for Economic Dynamics.
- Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," CEPR Discussion Papers 5519, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," NBER Working Papers 10270, National Bureau of Economic Research, Inc.
2004
- 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, vol. 94(1), pages 276-299, March.
- 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.
2003
- Van Zandt, Timothy & Lettau, Martin, 2003.
"Robustness Of Adaptive Expectations As An Equilibrium Selection Device,"
Macroeconomic Dynamics, Cambridge University Press, vol. 7(1), pages 89-118, February.
- Lettau, M. & Van Zandt, T., 1995. "Robustness of adaptive expectations as an equilibrium selection device," Other publications TiSEM df555a8d-4472-4491-b65e-7, Tilburg University, School of Economics and Management.
- Lettau, M. & Van Zandt, T., 1995. "Robustness of adaptive expectations as an equilibrium selection device," Discussion Paper 1995-98, Tilburg University, Center for Economic Research.
- Lettau, M. & Van Zandt, T., 1995. "Robustness of Adaptive Expections as an Equilibrium Selection Device," Papers 9598, Tilburg - Center for Economic Research.
- Van Zandt, Timothy & Lettau, Martin, 2001. "Robustness of Adaptive Expectations as an Equilibrium Selection Device," CEPR Discussion Papers 2882, C.E.P.R. Discussion Papers.
- Martin Lettau, 2003. "Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models," Economic Journal, Royal Economic Society, vol. 113(489), pages 550-575, July.
2002
- Lettau, Martin & Uhlig, Harald, 2002. "The Sharpe Ratio And Preferences: A Parametric Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 6(2), pages 242-265, April.
- 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, vol. 49(1), pages 31-66, January.
- 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 3103, C.E.P.R. Discussion Papers.
- 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, vol. 8(May), pages 117-133.
2001
- 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, vol. 56(1), pages 1-43, February.
- Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Scholarly Articles 3128707, Harvard University Department of Economics.
- 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.
- Martin Lettau & Sydney Ludvigson, 2001.
"Consumption, Aggregate Wealth, and Expected Stock Returns,"
Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, June.
- Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
- 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, vol. 44(1), pages 85-103, January.
- 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, vol. 109(6), pages 1238-1287, December.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
2000
- 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.
- Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Discussion Paper 1995-54, Tilburg University, Center for Economic Research.
- Lettau, M. & Uhlig, H.F.H.V.S., 1995. "Can Habit Formation be Reconciled with Business Cycle Facts?," Other publications TiSEM b152dad0-97de-48c9-bde6-6, Tilburg University, School of Economics and Management.
- Martin Lettau, 2000. "Cross-variable restrictions in Euler equations and risk premia," Applied Economics Letters, Taylor & Francis Journals, vol. 7(2), pages 99-101.
1999
- Harald Uhlig & Martin Lettau, 1999. "Rules of Thumb versus Dynamic Programming," American Economic Review, American Economic Association, vol. 89(1), pages 148-174, March.
1997
- Lettau, Martin, 1997. "Explaining the facts with adaptive agents: The case of mutual fund flows," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1117-1147, June.
Chapters
2016
- Johan Hombert & Antoinette Schoar & David Sraer & David Thesmar, 2016. "Does Unemployment Insurance Change the Selection into Entrepreneurship?," NBER Chapters, in: Measuring Entrepreneurial Businesses: Current Knowledge and Challenges, pages 351-369, National Bureau of Economic Research, Inc.
2013
- 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.
- Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
- Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
2010
- Claire Lelarge & David Sraer & David Thesmar, 2010.
"Entrepreneurship and Credit Constraints: Evidence from a French Loan Guarantee Program,"
NBER Chapters, in: International Differences in Entrepreneurship, pages 243-273,
National Bureau of Economic Research, Inc.
- C. Lelarge & D. Sraer & D. Thesmar, 2008. "Entrepreurship and Credit Constraints - Evidence from a French Loan Guarantee Program," Documents de Travail de l'Insee - INSEE Working Papers g2008-07, Institut National de la Statistique et des Etudes Economiques.
Software components
2008
- Martin Lettau & Sydney Ludvigson, 2008.
"Code and data files for "Euler Equation Errors","
Computer Codes
08-106, Review of Economic Dynamics.
- 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.