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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

as
Jump to: Working papers Articles Software

Working papers

  1. Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
  2. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
  3. 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.
  4. 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.
  5. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
  6. 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.
  7. 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.
  8. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 4922, C.E.P.R. Discussion Papers.
  9. 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.
  10. Martin Lettau & Sydney Ludvigson, 2003. "Expected Returns and Expected Dividend Growth," NBER Working Papers 9605, National Bureau of Economic Research, Inc.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. Martin Lettau & Sydney Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
  20. 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.
  21. 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.
  22. 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.
  23. Lettau, Martin & Uhlig, Harald, 1997. "Preferences, Consumption Smoothing, and Risk Premia," CEPR Discussion Papers 1678, C.E.P.R. Discussion Papers.
  24. 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.
  25. 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

  1. Martin Lettau & Sydney Ludvigson, 2009. "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 255-283, April.
  2. 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.
  3. 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.
  4. Lettau, Martin & Ludvigson, Sydney C., 2005. "tay's as good as cay: Reply," Finance Research Letters, Elsevier, vol. 2(1), pages 15-22, March.
  5. 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.).
  6. Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. Martin Lettau, 2000. "Cross-variable restrictions in Euler equations and risk premia," Applied Economics Letters, Taylor & Francis Journals, vol. 7(2), pages 99-101.
  16. Harald Uhlig & Martin Lettau, 1999. "Rules of Thumb versus Dynamic Programming," American Economic Review, American Economic Association, vol. 89(1), pages 148-174, March.
  17. 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

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

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. h-index
  19. Number of Registered Citing Authors
  20. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  21. Number of Journal Pages, Weighted by Simple Impact Factor
  22. Number of Journal Pages, Weighted by Recursive Impact Factor
  23. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  24. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  25. Euclidian citation score
  26. Breadth of citations across fields
  27. Wu-Index
  28. Record of graduates

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.
  1. 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
  2. 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
  3. NEP-DGE: Dynamic General Equilibrium (5) 2004-02-01 2004-08-02 2005-06-14 2005-09-29 2009-01-31. Author is listed
  4. NEP-RMG: Risk Management (5) 2004-02-01 2005-02-01 2005-06-14 2006-04-01 2007-01-13. Author is listed
  5. NEP-CFN: Corporate Finance (4) 2003-03-14 2003-04-09 2005-02-01 2007-02-24
  6. NEP-ETS: Econometric Time Series (3) 1999-06-08 2005-12-09 2006-04-01
  7. NEP-FOR: Forecasting (3) 2005-12-09 2006-04-01 2007-01-13
  8. NEP-BEC: Business Economics (2) 2006-04-08 2011-05-07
  9. NEP-CBA: Central Banking (1) 2009-01-31
  10. NEP-ECM: Econometrics (1) 2000-03-06
  11. NEP-MON: Monetary Economics (1) 2009-01-31

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