NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Martin Lettau

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers

January 2014Origins of Stock Market Fluctuations
with Daniel L. Greenwald, Sydney C. Ludvigson: w19818
February 2013Conditional Risk Premia in Currency Markets and Other Asset Classes
with Matteo Maggiori, Michael Weber: w18844
April 2011Shocks and Crashes
with Sydney C. Ludvigson: w16996

Published: Shocks and Crashes, Martin Lettau, Sydney C. Ludvigson. in NBER Macroeconomics Annual 2013, Volume 28, Parker and Woodford. 2014

January 2009The Term Structures of Equity and Interest Rates
with Jessica A. Wachter: w14698

Published: 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. citation courtesy of

February 2007Investor Information, Long-Run Risk, and the Term Structure of Equity
with Mariano M. Croce, Sydney C. Ludvigson: w12912
March 2006Reconciling the Return Predictability Evidence
with Stijn Van Nieuwerburgh: w12109

Published: Martin Lettau & Stijn Van Nieuwerburgh, 2008. "Reconciling the Return Predictability Evidence," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(4), pages 1607-1652, July. citation courtesy of

September 2005Euler Equation Errors
with Sydney C. Ludvigson: w11606

Published:

  • Martin Lettau & Sydney Ludvigson, 2008. "Code and data files for "Euler Equation Errors"," Computer Codes 08-106, Review of Economic Dynamics.
  • Lettau, Matt and Sydney Ludvigson. "Euler Equation Errors." Review of Economic Dynamics 12 (2009): 255-283. citation courtesy of

February 2005Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
with Jessica Wachter: w11144

Published: 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, 02. citation courtesy of

February 2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
with Sydney C. Ludvigson, Jessica A. Wachter: w10270

Published:

July 2003Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
with Sydney Ludvigson: w9848

Published: Lettau, Martin and Sydney C. Ludvigson. "Understanding Trend And Cycle In Asset Values: Reevaluating The Wealth Effect On Consumption," American Economic Review, 2004, v94(1,Mar), 276-299. citation courtesy of

April 2003Expected Returns and Expected Dividend Growth
with Sydney Ludvigson: w9605

Published: Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June. citation courtesy of

March 2000Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
with John Y. Campbell, Burton G. Malkiel, Yexiao Xu: w7590

Published: Campbell, John Y., Martin Lettau, Burton G. Malkiel and Yexiao Xu. "Have Individual Stocks Become More Volatile? An Empirical Exploration Of Idiosyncratic Risk," Journal of Finance, 2001, v56(1,Feb), 1-43. citation courtesy of

May 1999Dispersion and Volatility in Stock Returns: An Empirical Investigation
with John Y. Campbell: w7144

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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