Martin Lettau

Haas School of Business
University of California, Berkeley
545 Student Services Bldg. #1900
Berkeley, CA 94720-1900
Tel: 510/642-6349
Fax: 510/643-1412

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
NBER Program Affiliations: AP
NBER Affiliation: Research Associate
Institutional Affiliations: University of California at Berkeley and CEPR

NBER Working Papers and Publications

December 2018Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
with Sydney C. Ludvigson, Paulo Manoel: w25381
July 2018Factors that Fit the Time Series and Cross-Section of Stock Returns
with Markus Pelger: w24858
May 2018Estimating Latent Asset-Pricing Factors
with Markus Pelger: w24618
January 2018Exchange Traded Funds 101 For Economists
with Ananth Madhavan: w24250

Published: Martin Lettau & Ananth Madhavan, 2018. "Exchange-Traded Funds 101 for Economists," Journal of Economic Perspectives, vol 32(1), pages 135-154.

August 2016Monetary Policy and Asset Valuation
with Francesco Bianchi, Sydney C. Ludvigson: w22572
December 2014Capital Share Risk in U.S. Asset Pricing
with Sydney C. Ludvigson, Sai Ma: w20744
January 2014Origins of Stock Market Fluctuations
with Daniel L. Greenwald, Sydney C. Ludvigson: w19818
May 2013Shocks and Crashes
with Sydney C. Ludvigson
in NBER Macroeconomics Annual 2013, Volume 28, Jonathan A. Parker and Michael Woodford, editors
February 2013Conditional Risk Premia in Currency Markets and Other Asset Classes
with Matteo Maggiori, Michael Weber: w18844

Published: 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. citation courtesy of

April 2011Shocks and Crashes
with Sydney C. Ludvigson: w16996
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

Published: 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. citation courtesy of

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


  • 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


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
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