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Martin Lettau A · Study
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Author
Martin Lettau A
56 works
· latest 2024
· 12 institutions
cluster: provisional
ORCID 0000-0003-4049-4706
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56
Citations
15,587
Works here
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Most cited in this library
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
2001 · 2,419 citations
Consumption, Aggregate Wealth, and Expected Stock Returns
2001 · 2,187 citations
Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying
2001 · 1,445 citations
Reconciling the Return Predictability Evidence
2007 · 701 citations
Consumption, Aggregate Wealth and Expected Stock Returns
1999 · 686 citations
Works
56 shown
Missing Financial Data
Review of Financial Studies
·
2024
·
4 authors
·
Open access
77
citations
Monetary Policy and Asset Valuation
The Journal of Finance
·
2022
·
3 authors
·
Open access
158
citations
Factors That Fit the Time Series and Cross-Section of Stock Returns
Review of Financial Studies
·
2020
·
2 authors
338
citations
Estimating latent asset-pricing factors
Journal of Econometrics
·
2020
·
2 authors
181
citations
How the Wealth Was Won: Factor Shares as Market Fundamentals
National Bureau of Economic Research
·
2019
·
3 authors
·
report
34
citations
Capital Share Risk in U.S. Asset Pricing
The Journal of Finance
·
2019
·
3 authors
76
citations
Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
National Bureau of Economic Research
·
2018
·
3 authors
·
report
46
citations
Factors that Fit the Time Series and Cross-Section of Stock Returns
National Bureau of Economic Research
·
2018
·
2 authors
·
report
·
Open access
38
citations
Exchange-Traded Funds 101 for Economists
The Journal of Economic Perspectives
·
2018
·
2 authors
·
Open access
178
citations
Factors That Fit the Time Series and Cross-Section of Stock Returns
SSRN Electronic Journal
·
2018
·
2 authors
·
preprint
·
Open access
138
citations
Monetary Policy and Asset Valuation
National Bureau of Economic Research
·
2016
·
3 authors
·
report
·
Open access
36
citations
Investor Information, Long-Run Risk, and the Term Structure of Equity
Review of Financial Studies
·
2014
·
3 authors
149
citations
Conditional risk premia in currency markets and other asset classes
Journal of Financial Economics
·
2014
·
3 authors
398
citations
Shocks and Crashes
NBER Macroeconomics Annual
·
2014
·
2 authors
17
citations
Origins of Stock Market Fluctuations
National Bureau of Economic Research
·
2014
·
3 authors
·
report
·
Open access
59
citations
Conditional Risk Premia in Currency Markets and Other Asset Classes
SSRN Electronic Journal
·
2013
·
3 authors
·
preprint
·
Open access
167
citations
Shocks and Crashes
National Bureau of Economic Research
·
2011
·
2 authors
·
report
·
Open access
26
citations
The term structures of equity and interest rates
Journal of Financial Economics
·
2011
·
2 authors
·
Open access
221
citations
Measuring and Modeling Variation in the Risk-Return Trade-off
Elsevier eBooks
·
2010
·
2 authors
·
chapter
424
citations
Euler equation errors
Review of Economic Dynamics
·
2008
·
2 authors
49
citations
Reconciling the Return Predictability Evidence
Review of Financial Studies
·
2007
·
2 authors
701
citations
The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
Review of Financial Studies
·
2007
·
3 authors
·
Open access
375
citations
Investor Information, Long-Run Risk, and the Term Structure of Equity
National Bureau of Economic Research
·
2007
·
3 authors
·
report
·
Open access
83
citations
Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium
The Journal of Finance
·
2007
·
2 authors
·
Open access
506
citations
Investor Information, Long-Run Risk, and the Duration of Risky Cash Flows
Faculty Digital Archive (New York University Florence)
·
2006
·
3 authors
·
report
·
Open access
74
citations
Reconciling the Return Predictability Evidence
National Bureau of Economic Research
·
2006
·
2 authors
·
report
·
Open access
35
citations
Reconciling the Return Predictability Evidence
SSRN Electronic Journal
·
2006
·
2 authors
·
preprint
·
Open access
72
citations
Inflation and Earnings Uncertainty and Volatility Forecasts
·
2006
·
6 authors
31
citations
A Primer on the Economics and Time Series Econometrics of Wealth Effects: A Comment
SSRN Electronic Journal
·
2006
·
3 authors
·
preprint
·
Open access
16
citations
Monetary Policy Transmission through the Consumption-Wealth Channel
SSRN Electronic Journal
·
2005
·
3 authors
·
preprint
·
Open access
33
citations
Expected returns and expected dividend growth
Journal of Financial Economics
·
2005
·
2 authors
433
citations
Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
National Bureau of Economic Research
·
2005
·
2 authors
·
report
·
Open access
124
citations
Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
SSRN Electronic Journal
·
2005
·
2 authors
·
preprint
·
Open access
229
citations
tay's as good as cay: Reply
Finance research letters
·
2004
·
2 authors
41
citations
Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
American Economic Review
·
2004
·
2 authors
569
citations
The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
National Bureau of Economic Research
·
2004
·
3 authors
·
report
·
Open access
84
citations
The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
SSRN Electronic Journal
·
2004
·
3 authors
·
preprint
·
Open access
200
citations
Inspecting the Mechanism: closed‐form Solutions for Asset Prices in Real Business Cycle Models
The Economic Journal
·
2003
·
1 author
·
Open access
81
citations
Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
National Bureau of Economic Research
·
2003
·
2 authors
·
report
·
Open access
49
citations
Monetary policy transmission through the consumption-wealth channel
Swedish economic policy review
·
2002
·
3 authors
156
citations
Idiosyncratic Risk and Volatility Bounds, or Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?
The Review of Economics and Statistics
·
2002
·
1 author
36
citations
Monetary Policy Transmission through the Consumption-Wealth Channel. (Session 2: The Macroeconomic Environment)
Federal Reserve Bank of New York Economic policy review
·
2002
·
3 authors
36
citations
Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment
Journal of Monetary Economics
·
2002
·
2 authors
·
Open access
161
citations
Expected Returns and Expected Dividend Growth
SSRN Electronic Journal
·
2002
·
2 authors
·
preprint
·
Open access
62
citations
Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying
Journal of Political Economy
·
2001
·
2 authors
·
Open access
1,445
citations
Measuring and Modelling Variation in the Risk-Return Trade-off
SSRN Electronic Journal
·
2001
·
2 authors
·
preprint
·
Open access
35
citations
Consumption, Aggregate Wealth, and Expected Stock Returns
The Journal of Finance
·
2001
·
2 authors
2,187
citations
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
The Journal of Finance
·
2001
·
4 authors
2,419
citations
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
National Bureau of Economic Research
·
2000
·
4 authors
·
report
·
Open access
153
citations
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
SSRN Electronic Journal
·
2000
·
4 authors
·
preprint
·
Open access
663
citations
Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varying
SSRN Electronic Journal
·
2000
·
2 authors
·
preprint
·
Open access
412
citations
Can Habit Formation Be Reconciled with Business Cycle Facts?
Review of Economic Dynamics
·
2000
·
2 authors
·
Open access
275
citations
Dispersion and Volatility in Stock Returns: An Empirical Investigation
National Bureau of Economic Research
·
1999
·
2 authors
·
report
·
Open access
34
citations
Rules of Thumb versus Dynamic Programming
American Economic Review
·
1999
·
2 authors
115
citations
Consumption, Aggregate Wealth and Expected Stock Returns
SSRN Electronic Journal
·
1999
·
2 authors
·
preprint
·
Open access
686
citations
Explaining the facts with adaptive agents: The case of mutual fund flows
Journal of Economic Dynamics and Control
·
1997
·
1 author
166
citations