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: 
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
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| December 2018 | Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
with Sydney C. Ludvigson, Paulo Manoel: w25381
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| July 2018 | Factors that Fit the Time Series and Cross-Section of Stock Returns
with Markus Pelger: w24858
Published: Martin Lettau & Markus Pelger, 2020. "Factors That Fit the Time Series and Cross-Section of Stock Returns," The Review of Financial Studies, vol 33(5), pages 2274-2325.
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| May 2018 | Estimating Latent Asset-Pricing Factors
with Markus Pelger: w24618
Published: Martin Lettau & Markus Pelger, 2020. "Estimating latent asset-pricing factors," Journal of Econometrics, .
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| 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 
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| August 2016 | Monetary Policy and Asset Valuation
with Francesco Bianchi, Sydney C. Ludvigson: w22572
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| 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.
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| January 2014 | Origins of Stock Market Fluctuations
with Daniel L. Greenwald, Sydney C. Ludvigson: w19818
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| May 2013 | Shocks and Crashes
with Sydney C. Ludvigson
in NBER Macroeconomics Annual 2013, Volume 28, Jonathan A. Parker and Michael Woodford, editors
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| 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
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| April 2011 | Shocks and Crashes
with Sydney C. Ludvigson: w16996
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| 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
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| 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
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| 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
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| 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
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| 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
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| February 2004 | The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
with Sydney C. Ludvigson, Jessica A. Wachter: w10270
Published:
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| 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
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| 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
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| 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
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| May 1999 | Dispersion and Volatility in Stock Returns: An Empirical Investigation
with John Y. Campbell: w7144
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