Martin Lettau
Personal Details
First Name: | Martin |
Middle Name: | |
Last Name: | Lettau |
Suffix: | |
RePEc Short-ID: | ple572 |
Terminal Degree: | 1994 Department of Economics; Princeton University (from RePEc Genealogy) |
Affiliation
Finance Group
Walter A. Haas School of Business
University of California-Berkeley
Berkeley, California (United States)http://www.haas.berkeley.edu/groups/finance/
RePEc:edi:fgbrkus (more details at EDIRC)
Research output
Jump to: Working papers Articles SoftwareWorking papers
- 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.
- 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.
- 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," Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 706-742.
- 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, 2008. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1653-1687, July.
- Martin Lettau & Sydney 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, 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," 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.
- 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.
- 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 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.
- 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.
- 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.
- 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 C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
- 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, 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.
- 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. "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.
- 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 & Van Zandt, Timothy, 2001.
"Robustness of Adaptive Expectations as an Equilibrium Selection Device,"
CEPR Discussion Papers
2882, C.E.P.R. Discussion Papers.
- Lettau, M. & Van Zandt, T., 1995. "Robustness of Adaptive Expections as an Equilibrium Selection Device," Papers 9598, Tilburg - Center for Economic Research.
- Nathan Barczi & Martin Lettau & Sydney 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.
- 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.
- 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.
- 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.
- 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.
- Martin Lettau & Sydney Ludvigson, 1999.
"Consumption, aggregate wealth and expected stock returns,"
Staff Reports
77, Federal Reserve Bank of New York.
- 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.
- 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.
- 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.
- Martin Lettau & Sydney 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.
- 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.
- 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.
- 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.
- 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.
Articles
- 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.
- 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.
- 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.
- Martin Lettau & Stijn Van Nieuwerburgh, 2008.
"Reconciling the Return Predictability Evidence,"
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.
- 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.
- 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.
- 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.
- Lettau, Martin & Ludvigson, Sydney C., 2005. "tay's as good as cay: Reply," Finance Research Letters, Elsevier, vol. 2(1), pages 15-22, March.
- Martin Lettau & Sydney 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?," 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.
- 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, 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.
- 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.
- Martin Lettau & Sydney 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.
- 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 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 Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, 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.
- Martin Lettau & Sydney 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.
- 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 & 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.
- Martin Lettau, 2000. "Cross-variable restrictions in Euler equations and risk premia," Applied Economics Letters, Taylor & Francis Journals, vol. 7(2), pages 99-101.
- Harald Uhlig & Martin Lettau, 1999. "Rules of Thumb versus Dynamic Programming," American Economic Review, American Economic Association, vol. 89(1), pages 148-174, March.
- 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.
Software components
- 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.
More information
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This author is among the top 5% authors according to these criteria:- Average Rank Score
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- Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
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- Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
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- Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 21 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-FMK: Financial Markets (6) 2000-03-20 2001-06-08 2005-02-27 2005-06-14 2006-04-08 2009-01-31. Author is listed
- NEP-MAC: Macroeconomics (6) 2003-07-21 2004-02-01 2004-08-02 2006-04-08 2007-02-24 2011-05-07. Author is listed
- NEP-DGE: Dynamic General Equilibrium (5) 2004-02-01 2004-08-02 2005-06-14 2005-09-29 2009-01-31. Author is listed
- NEP-RMG: Risk Management (5) 2004-02-01 2005-02-01 2005-06-14 2006-04-01 2007-01-13. Author is listed
- NEP-CFN: Corporate Finance (4) 2003-03-14 2003-04-09 2005-02-01 2007-02-24
- NEP-ETS: Econometric Time Series (3) 1999-06-08 2005-12-09 2006-04-01
- NEP-FOR: Forecasting (3) 2005-12-09 2006-04-01 2007-01-13
- NEP-BEC: Business Economics (2) 2006-04-08 2011-05-07
- NEP-CBA: Central Banking (1) 2009-01-31
- NEP-ECM: Econometrics (1) 2000-03-06
- NEP-MON: Monetary Economics (1) 2009-01-31
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