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
WWW: http://faculty.haas.berkeley.edu/lettau
NBER Program Affiliations: AP
NBER Affiliation: Research Associate
Institutional Affiliations: University of California at Berkeley and CEPR

Information about this author at RePEc

NBER Working Papers and Publications

April 2019	How the Wealth Was Won: Factors Shares as Market Fundamentals with Daniel L. Greenwald, Sydney C. Ludvigson: w25769
December 2018	Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? with Sydney C. Ludvigson, Paulo Manoel: w25381
July 2018	Factors that Fit the Time Series and Cross-Section of Stock Returns with Markus Pelger: w24858
May 2018	Estimating Latent Asset-Pricing Factors with Markus Pelger: w24618
January 2018	Exchange 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. citation courtesy of
August 2016	Monetary Policy and Asset Valuation with Francesco Bianchi, Sydney C. Ludvigson: w22572
December 2014	Capital Share Risk in U.S. Asset Pricing with Sydney C. Ludvigson, Sai Ma: w20744 Published: MARTIN LETTAU & SYDNEY C. LUDVIGSON & SAI MA, 2019. "Capital Share Risk in U.S. Asset Pricing," The Journal of Finance, vol 74(4), pages 1753-1792.
January 2014	Origins of Stock Market Fluctuations with Daniel L. Greenwald, Sydney C. Ludvigson: w19818
May 2013	Shocks and Crashes with Sydney C. Ludvigson in NBER Macroeconomics Annual 2013, Volume 28, Jonathan A. Parker and Michael Woodford, editors
February 2013	Conditional 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 2011	Shocks and Crashes with Sydney C. Ludvigson: w16996
January 2009	The 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 2007	Investor 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 2006	Reconciling 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 2005	Euler 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 2005	Why 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 2004	The Declining Equity Premium: What Role Does Macroeconomic Risk Play? with Sydney C. Ludvigson, Jessica A. Wachter: w10270 Published: Lettau, Martin, Sydney C. Ludvigson, and Jessica A. Wachter. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?" Review of Financial Studies 21(4): 1653-1687, July 2008 citation courtesy of Martin Lettau & Sydney Ludvigson & Jessica Wachter, 2005. "The declining equity premium: what role does macroeconomic risk play?," Proceedings, Board of Governors of the Federal Reserve System (U.S.). citation courtesy of
July 2003	Understanding 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 2003	Expected 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 2000	Have 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 1999	Dispersion and Volatility in Stock Returns: An Empirical Investigation with John Y. Campbell: w7144