Martin Lettau : Citation Profile


Are you Martin Lettau?

University of California-Berkeley

24

H index

33

i10 index

4693

Citations

RESEARCH PRODUCTION:

29

Articles

74

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1995 - 2022). See details.
   Cites by year: 173
   Journals where Martin Lettau has often published
   Relations with other researchers
   Recent citing documents: 317.    Total self citations: 44 (0.93 %)

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   Permalink: http://citec.repec.org/ple572
   Updated: 2022-10-01    RAS profile: 2022-03-14    
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Relations with other researchers


Works with:

Pelger, Markus (6)

Madhavan, Ananth (3)

Bianchi, Francesco (2)

Ma, Sai (2)

Greenwald, Daniel (2)

Ludvigson, Sydney (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Martin Lettau.

Is cited by:

Marfe, Roberto (51)

Guo, Hui (49)

Sousa, Ricardo (48)

GUPTA, RANGAN (43)

Weber, Michael (43)

Van Nieuwerburgh, Stijn (35)

Lustig, Hanno (30)

Pettenuzzo, Davide (29)

Zhang, Lu (29)

Nitschka, Thomas (28)

Hoffmann, Mathias (28)

Cites to:

Campbell, John (86)

Cochrane, John (31)

Ludvigson, Sydney (28)

French, Kenneth (22)

Hansen, Lars (20)

Shiller, Robert (17)

Fama, Eugene (16)

Constantinides, George (14)

Van Nieuwerburgh, Stijn (14)

Mankiw, N. Gregory (13)

Prescott, Edward (12)

Main data


Where Martin Lettau has published?


Journals with more than one article published# docs
Review of Financial Studies4
Journal of Finance4
Journal of Financial Economics3
Review of Economic Dynamics2
American Economic Review2
Macroeconomic Dynamics2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers26
NBER Working Papers / National Bureau of Economic Research, Inc22
Staff Reports / Federal Reserve Bank of New York4
2005 Meeting Papers / Society for Economic Dynamics2
2006 Meeting Papers / Society for Economic Dynamics2

Recent works citing Martin Lettau (2022 and 2021)


YearTitle of citing document
2022The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05.

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2022The Anatomy of the Global Saving Glut. (2022). Schularick, Moritz ; Novokmet, Filip ; Bauluz, Luis. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:161.

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2021How does monetary policy affect income inequality in Japan? Evidence from grouped data. (2018). Feldkircher, Martin ; Kakamu, Kazuhiko. In: Papers. RePEc:arx:papers:1803.08868.

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2021Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2021On LASSO for Predictive Regression. (2018). Lee, Ji Hyung ; Gao, Zhan ; Shi, Zhentao ; Hyung, JI. In: Papers. RePEc:arx:papers:1810.03140.

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2021High-dimensional statistical arbitrage with factor models and stochastic control. (2019). Guijarro-Ordonez, Jorge. In: Papers. RePEc:arx:papers:1901.09309.

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2021Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745.

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2022Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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2022High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1912.02151.

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2021Existence and uniqueness of recursive utilities without boundedness. (2020). Christensen, Timothy M. In: Papers. RePEc:arx:papers:2008.00963.

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2021Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2021Dirichlet policies for reinforced factor portfolios. (2020). Coqueret, Guillaume ; Andr, Eric. In: Papers. RePEc:arx:papers:2011.05381.

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2021Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2021Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2021Double robust inference for continuous updating GMM. (2021). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2105.08345.

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2021Deep Learning Statistical Arbitrage. (2021). Pelger, Markus ; Guijarro-Ordonez, Jorge ; Zanotti, Greg. In: Papers. RePEc:arx:papers:2106.04028.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021Bilinear Input Normalization for Neural Networks in Financial Forecasting. (2021). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Tran, Dat Thanh. In: Papers. RePEc:arx:papers:2109.00983.

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2021Approximate Factor Models with Weaker Loadings. (2021). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2109.03773.

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2021A New Multivariate Predictive Model for Stock Returns. (2021). Xie, Jianying. In: Papers. RePEc:arx:papers:2110.01873.

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2021An Economy of Neural Networks: Learning from Heterogeneous Experiences. (2021). Kuriksha, Artem. In: Papers. RePEc:arx:papers:2110.11582.

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2022The Time-Varying Multivariate Autoregressive Index Model. (2022). Cubadda, Gianluca ; Guardabascio, B ; Grassi, S. In: Papers. RePEc:arx:papers:2201.07069.

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2022Weighted-average quantile regression. (2022). Chetverikov, Denis ; Tsyvinski, Aleh ; Liu, Yukun. In: Papers. RePEc:arx:papers:2203.03032.

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2022Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865.

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2022Portfolio Diversification Revisited. (2022). Shaw, Charles. In: Papers. RePEc:arx:papers:2204.13398.

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2022The Cross-Sectional Intrinsic Entropy. A Comprehensive Stock Market Volatility Estimator. (2022). Ausloos, Marcel ; Vinte, Claudiu. In: Papers. RePEc:arx:papers:2205.00104.

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2022Deep Partial Least Squares for Empirical Asset Pricing. (2022). Goicoechea, Kemen ; Polson, Nicholas G ; Dixon, Matthew F. In: Papers. RePEc:arx:papers:2206.10014.

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2022Misspecification and Weak Identification in Asset Pricing. (2022). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2206.13600.

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2022Dissecting the dot-com bubble in the 1990s NASDAQ. (2022). Fan, Yuchao. In: Papers. RePEc:arx:papers:2206.14130.

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2022Missing Values and the Dimensionality of Expected Returns. (2022). McCoy, Jack ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2207.13071.

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2022Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2021.

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2022Expectation-Driven Term Structure of Equity and Bond Yields. (2022). Zhao, Guihai ; Zeng, Ming. In: Staff Working Papers. RePEc:bca:bocawp:22-21.

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2022Bank of Japans ETF purchase program and equity risk premium: a CAPM interpretation. (2022). Shino, Junnosuke ; Takahashi, Koji ; Katagiri, Mitsuru. In: BIS Working Papers. RePEc:bis:biswps:1029.

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2021Non-bank financial intermediaries and financial stability. (2021). Schrimpf, Andreas ; Shin, Hyun Song ; Aramonte, Sirio. In: BIS Working Papers. RePEc:bis:biswps:972.

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2021ETFs, illiquid assets, and fire sales. (2021). Todorov, Karamfil ; Shim, John J. In: BIS Working Papers. RePEc:bis:biswps:975.

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2021Momentum, Reversals, and Business Cycle Turning Points. (2021). Xiao, Yuchao ; Min, Byoungkyu. In: Abacus. RePEc:bla:abacus:v:57:y:2021:i:4:p:679-708.

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2021Do accounting information and market environment matter for cross?asset predictability?. (2021). Visaltanachoti, Nuttawat ; Nguyen, Nhut H ; Thakerngkiat, Narongdech. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4389-4434.

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2021The effect of increasing retirement age on consumption in China. (2021). Cao, Zhan ; Tang, Yizhou. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:35:y:2021:i:2:p:136-150.

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2022Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385.

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2022Is the value effect due to M&A deals? Evidence from the Italian stock market. (2022). Roma, Antonio. In: Economic Notes. RePEc:bla:ecnote:v:51:y:2022:i:1:n:e12194.

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2021Sentiment?scaled CAPM and market mispricing. (2021). Han, Xiao ; Doukas, John A. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:2:p:208-243.

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2021Charitable inclination and the chief executive officers pay package. (2021). Mishra, Dev. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:1:p:85-108.

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2021The role of asymmetry and dynamics in carry trade and general financial markets. (2021). Wu, ChihChiang ; Huang, Meichi. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:331-353.

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2022The cross?sectional return predictability of employment growth: A liquidity risk explanation. (2022). Luo, DI ; Liu, Weimin ; Zhao, Huainan ; Park, Seyoung. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:155-178.

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2022Persistence of investor sentiment and market mispricing. (2022). Eshraghi, Arman ; Danbolt, JO ; Sakkas, Nikolaos ; Han, Xiao. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:617-640.

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2021Variants of consumption?wealth ratios and predictability of U.S. government bond risk premia. (2021). GUPTA, RANGAN ; Wohar, Mark E ; Epni, Ouzhan. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:661-674.

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2022Can technical indicators predict the Chinese equity risk premium?. (2022). Glabadanidis, Paskalis ; Sun, Mingwei. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:114-142.

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2021Equilibrium Asset Pricing with Leverage and Default. (2021). Schmid, Lukas ; Gomes, Joo F. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:977-1018.

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2021Reinvestment Risk and the Equity Term Structure. (2021). Gonalves, Andrei S. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2153-2197.

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2021Do Intermediaries Matter for Aggregate Asset Prices?. (2021). Muir, Tyler ; Haddad, Valentin. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:2719-2761.

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2021Valuing Private Equity Investments Strip by Strip. (2021). van Nieuwerburgh, Stijn ; Gupta, Arpit. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:3255-3307.

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2022Stock Market and No?Dividend Stocks. (2022). Basak, Suleyman ; Atmaz, Adem. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:545-599.

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2022Monetary Policy and Asset Valuation. (2022). Ludvigson, Sydney C ; Lettau, Martin ; Bianchi, Francesco. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:967-1017.

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2021Information?driven stock price comovement. (2021). Shang, Danjue ; Box, Travis. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:2:p:403-429.

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2021Liquidity risk and the beta premium. (2021). Zhao, Huainan ; Luo, DI ; Gong, Cynthia M. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:4:p:789-814.

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2021Economic Downturns and the Informativeness of Management Earnings Forecasts. (2021). Shaikh, Sarah ; Serfling, Matthew ; Maslar, David A. In: Journal of Accounting Research. RePEc:bla:joares:v:59:y:2021:i:4:p:1481-1520.

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2021Filtering the intensity of public concern from social media count data with jumps. (2021). Santagiustina, Carlo ; Iacopini, Matteo. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:4:p:1283-1302.

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2022Is the ECB’s conventional monetary policy state?dependent? An event study approach. (2022). Perdichizzi, Salvatore ; Torluccio, Giuseppe ; Cotugno, Matteo. In: Manchester School. RePEc:bla:manchs:v:90:y:2022:i:2:p:213-236.

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2021There is no place like home: Information asymmetries, local asset concentration, and portfolio returns. (2021). Ling, David ; Scheick, Benjamin ; Naranjo, Andy. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:1:p:36-74.

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2021Financial market spillovers of U.S. monetary policy shocks. (2021). Ha, Jongrim. In: Review of International Economics. RePEc:bla:reviec:v:29:y:2021:i:5:p:1221-1274.

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2021Disaggregate income and wealth effects on private consumption in Greece. (2021). Pavlou, Georgia ; Sideris, Dimitrios. In: Working Papers. RePEc:bog:wpaper:293.

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2021The Pricing of Unexpected Volatility in the Currency Market. (2021). Xu, Yongdeng ; Lu, Wenna ; Copeland, Laurence. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/16.

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2021What triggers stock market jumps?. (2021). Davis, Steven ; bloom, nicholas ; Sammon, Marco ; Baker, Scott R. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1789.

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2021Asset Prices and Business Cycles with Liquidity Shocks. (2021). Slavik, Ctirad ; Nezafat, Mahdi. In: CERGE-EI Working Papers. RePEc:cer:papers:wp711.

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2021Factor Strengths, Pricing Errors, and Estimation of Risk Premia. (2021). Smith, Ronald ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8947.

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2021Bargaining Shocks and Aggregate Fluctuations. (2021). Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo ; Drautzburg, Thorsten. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8989.

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2021Dynamic Spending Responses to Wealth Shocks: Evidence from Quasi-Lotteries on the Stock Market. (2021). Sheridan, Adam ; Johannesen, Niels ; Andersen, Asger Lau. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9184.

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2022Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect. (2022). Simsek, Alp ; Caballero, Ricardo J. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9632.

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2022Dynamics of Subjective Risk Premia. (2022). Xu, Zhengyang ; Nagel, Stefan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9693.

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2021What goes around comes around: How large are spillbacks from US monetary policy?. (2021). Georgiadis, Georgios ; Schumann, Ben ; Breitenlechner, Max. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_003.

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2021What goes around comes around: How large are spillbacks from US monetary policy?. (2021). Georgiadis, Georgios ; Schumann, Ben ; Breitenlechner, Max. In: Working Paper Series. RePEc:ecb:ecbwps:20212613.

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2021OFDI and stock returns: Evidence from manufacturing firms listed on the Chinese A-shares market. (2021). Xie, Shenxiang ; Woo, Wing Thye ; Wu, Huan ; Wang, Xiaosong. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000336.

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2021How does housing wealth affect household consumption? Evidence from macro-data with special implications for China. (2021). Li, Cheng ; Zhang, Ying. In: China Economic Review. RePEc:eee:chieco:v:69:y:2021:i:c:s1043951x21000730.

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2021Mimicking insider trades. (2021). Thapa, Chandra ; Neupane, Biwesh ; Marshall, Andrew. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000614.

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2021Stakeholder orientation and the value of cash holdings: Evidence from a natural experiment. (2021). Park, Jong Chool ; Doukas, John A ; Chowdhury, Rajib. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921001504.

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2022Corporate hedging and the variance of stock returns. (2022). Brownlees, Christian ; Ippolito, Filippo ; Biguri, Kizkitza. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002698.

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2022Unique bidder-target relatedness and synergies creation in mergers and acquisitions. (2022). Wei, Fengrong ; Shu, Tao ; Lu, Zhongjin ; Liu, Tingting. In: Journal of Corporate Finance. RePEc:eee:corfin:v:73:y:2022:i:c:s0929119922000396.

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2021Risk matters: Breaking certainty equivalence in linear approximations. (2021). Polattimur, Hamza ; Posch, Olaf ; Parra-Alvarez, Juan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001834.

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2022Asymmetries in risk premia, macroeconomic uncertainty and business cycles. (2022). Yeromonahos, Mallory ; Gortz, Christoph. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000355.

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2021New evidence on COVID-19 and firm performance. (2021). Zhang, Zhekai ; Ren, Zhaomin. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:72:y:2021:i:c:p:213-225.

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2021The impact of hedging on risk-averse agents’ output decisions. (2021). Dunbar, Kwamie ; Owusu-Amoako, Johnson. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002273.

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2022Does systematic risk change when markets close? An analysis using stocks’ beta. (2022). Insana, Alessandra. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000281.

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2021Risk attitude, financial literacy and household consumption: Evidence from stock market crash in China. (2021). Chen, Chen ; Jia, Qinmin ; Zhang, Yixing. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:995-1006.

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2021Intraday momentum and return predictability: Evidence from the crude oil market. (2021). Gong, XU ; Wen, Zhuzhu ; Xu, Yahua ; Ma, Diandian. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:374-384.

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2021Effectiveness of Augmented Dollar-Cost Averaging. (2021). Lien, Donald ; Kapalczynski, Anna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000103.

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2021Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115.

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2021Predicting equity premium using dynamic model averaging. Does the state–space representation matter?. (2021). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100070x.

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2021Cross-sectional tests of asset pricing models with full-rank mimicking portfolios. (2021). Kim, Jin Yong ; Lee, Jeong Hwan ; Ho, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000802.

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2021Stock returns and carry trades. (2021). Qian, Zongxin ; Gang, Jianhua ; Chen, Zilin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001261.

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2022Lessons from naïve diversification about the risk-reward trade-off. (2022). Haensly, Paul J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001856.

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2022Further evidence on financial information and economic activity forecasts in the United States. (2022). Li, Bin ; Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000079.

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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2021Testing high-dimensional covariance matrices under the elliptical distribution and beyond. (2021). Chen, Jiaqi ; Zheng, Xinghua ; Yang, Xinxin. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:409-423.

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2021Solving Euler equations via two-stage nonparametric penalized splines. (2021). Hong, Yongmiao ; Cui, Liyuan ; Li, Yingxing. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:1024-1056.

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2022Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence. (2022). Xu, Qiuhua ; Fang, Ying ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:114-133.

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2022Testing for episodic predictability in stock returns. (2022). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:85-113.

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2022Copula-based time series with filtered nonstationarity. (2022). Wang, BO ; Xiao, Zhijie ; Chen, Xiaohong. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:1:p:127-155.

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2022Factor models with many assets: Strong factors, weak factors, and the two-pass procedure. (2022). Anatolyev, Stanislav ; Mikusheva, Anna. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:103-126.

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2022Projected estimation for large-dimensional matrix factor models. (2022). Zhang, Xinsheng ; Kong, Xinbing ; He, Yong ; Yu, Long. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:201-217.

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2022The Fama-French model for estimating the cost of equity capital: The impact of real options of investment projects. (2022). Zarzecki, Dariusz ; Urbaski, Stanisaw. In: Economic Systems. RePEc:eee:ecosys:v:46:y:2022:i:1:s0939362521000224.

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More than 100 citations found, this list is not complete...

Works by Martin Lettau:


YearTitleTypeCited
1999Rules of Thumb versus Dynamic Programming In: American Economic Review.
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article62
2004Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption In: American Economic Review.
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article386
2003Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption.(2003) In: NBER Working Papers.
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2018Exchange-Traded Funds 101 for Economists In: Journal of Economic Perspectives.
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article29
2018Exchange Traded Funds 101 For Economists.(2018) In: CEPR Discussion Papers.
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paper
2018Exchange Traded Funds 101 For Economists.(2018) In: NBER Working Papers.
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paper
2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk In: Journal of Finance.
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article964
2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk.(2001) In: Scholarly Articles.
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paper
2000Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk.(2000) In: NBER Working Papers.
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This paper has another version. Agregated cites: 964
paper
2001Consumption, Aggregate Wealth, and Expected Stock Returns In: Journal of Finance.
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article905
1999Consumption, Aggregate Wealth and Expected Stock Returns.(1999) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 905
paper
1999Consumption, aggregate wealth and expected stock returns.(1999) In: Staff Reports.
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This paper has another version. Agregated cites: 905
paper
2007Why Is Long?Horizon Equity Less Risky? A Duration?Based Explanation of the Value Premium In: Journal of Finance.
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article168
2005Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium.(2005) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 168
paper
2005Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 168
paper
2005Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium.(2005) In: 2005 Meeting Papers.
[Citation analysis]
This paper has another version. Agregated cites: 168
paper
2019Capital Share Risk in U.S. Asset Pricing In: Journal of Finance.
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article11
2018Capital Share Risk in U.S. Asset Pricing.(2018) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 11
paper
2014Capital Share Risk in U.S. Asset Pricing.(2014) In: NBER Working Papers.
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This paper has another version. Agregated cites: 11
paper
2015Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing In: CEPR Discussion Papers.
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paper1
2015Origins of Stock Market Fluctuations In: CEPR Discussion Papers.
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paper37
2014Origins of Stock Market Fluctuations.(2014) In: NBER Working Papers.
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paper
2014The Origins of Stock Market Fluctuations.(2014) In: 2014 Meeting Papers.
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paper
2017Monetary Policy and Asset Valuation In: CEPR Discussion Papers.
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paper32
2018Monetary Policy and Asset Valuation.(2018) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 32
paper
2016Monetary Policy and Asset Valuation.(2016) In: NBER Working Papers.
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This paper has another version. Agregated cites: 32
paper
2018Estimating Latent Asset-Pricing Factors In: CEPR Discussion Papers.
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paper25
2020Estimating latent asset-pricing factors.(2020) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 25
article
2018Estimating Latent Asset-Pricing Factors.(2018) In: NBER Working Papers.
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This paper has another version. Agregated cites: 25
paper
2018Factors that Fit the Time Series and Cross-Section of Stock Returns In: CEPR Discussion Papers.
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paper24
2018Factors that Fit the Time Series and Cross-Section of Stock Returns.(2018) In: NBER Working Papers.
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This paper has another version. Agregated cites: 24
paper
2020Factors That Fit the Time Series and Cross-Section of Stock Returns.(2020) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 24
article
2018Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? In: CEPR Discussion Papers.
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paper2
2018Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?.(2018) In: NBER Working Papers.
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paper
2019How the Wealth Was Won: Factor Shares as Market Fundamentals In: CEPR Discussion Papers.
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paper12
2019How the Wealth Was Won: Factors Shares as Market Fundamentals.(2019) In: NBER Working Papers.
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This paper has another version. Agregated cites: 12
paper
1997Preferences, Consumption Smoothing, and Risk Premia In: CEPR Discussion Papers.
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paper14
1997Preferences, Consumption Smoothing and Risk Premia.(1997) In: Discussion Paper.
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This paper has another version. Agregated cites: 14
paper
1997Preferences, Consumption Smoothing and Risk Premia.(1997) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 14
paper
1998Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle? In: CEPR Discussion Papers.
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paper6
2001Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?.(2001) In: Staff Reports.
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This paper has another version. Agregated cites: 6
paper
1998Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model In: CEPR Discussion Papers.
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paper1
1998Dispersion and Volatility in Stock Returns: An Empirical Investigation In: CEPR Discussion Papers.
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paper20
1999Dispersion and Volatility in Stock Returns: An Empirical Investigation.(1999) In: NBER Working Papers.
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paper
2001Robustness of Adaptive Expectations as an Equilibrium Selection Device In: CEPR Discussion Papers.
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paper23
2003ROBUSTNESS OF ADAPTIVE EXPECTATIONS AS AN EQUILIBRIUM SELECTION DEVICE.(2003) In: Macroeconomic Dynamics.
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article
1995Robustness of Adaptive Expections as an Equilibrium Selection Device..(1995) In: Tilburg - Center for Economic Research.
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paper
1995Robustness of adaptive expectations as an equilibrium selection device.(1995) In: Discussion Paper.
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paper
1995Robustness of adaptive expectations as an equilibrium selection device.(1995) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 23
paper
2001Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment In: CEPR Discussion Papers.
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paper66
2002Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment.(2002) In: Journal of Monetary Economics.
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This paper has another version. Agregated cites: 66
article
2001Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption In: CEPR Discussion Papers.
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paper7
2001Measuring and Modelling Variation in the Risk-Return Trade-off In: CEPR Discussion Papers.
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paper3
2002Expected Returns and Expected Dividend Growth In: CEPR Discussion Papers.
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paper168
2005Expected returns and expected dividend growth.(2005) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 168
article
2003Expected Returns and Expected Dividend Growth.(2003) In: NBER Working Papers.
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paper
2005Euler Equation Errors In: CEPR Discussion Papers.
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paper32
2005Euler Equation Errors.(2005) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 32
paper
2005Euler Equation Errors.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 32
paper
2009Euler Equation Errors.(2009) In: Review of Economic Dynamics.
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This paper has another version. Agregated cites: 32
article
2005Euler Equation Errors.(2005) In: 2005 Meeting Papers.
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This paper has another version. Agregated cites: 32
paper
2005Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability In: CEPR Discussion Papers.
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paper0
2006The Declining Equity Premium: What Role Does Macroeconomic Risk Play? In: CEPR Discussion Papers.
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paper211
2005The declining equity premium: what role does macroeconomic risk play?.(2005) In: Proceedings.
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This paper has another version. Agregated cites: 211
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2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: NBER Working Papers.
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paper
2008The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2008) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 211
article
2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: 2004 Meeting Papers.
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paper
2013Conditional Risk Premia in Currency Markets and Other Asset Classes In: CEPR Discussion Papers.
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paper149
2014Conditional risk premia in currency markets and other asset classes.(2014) In: Journal of Financial Economics.
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2013Conditional Risk Premia in Currency Markets and Other Asset Classes.(2013) In: NBER Working Papers.
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This paper has another version. Agregated cites: 149
paper
2002THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH In: Macroeconomic Dynamics.
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article23
2003Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models In: Economic Journal.
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article33
1997Explaining the facts with adaptive agents: The case of mutual fund flows In: Journal of Economic Dynamics and Control.
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article51
2005tays as good as cay: Reply In: Finance Research Letters.
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article15
2001Statistical estimation and moment evaluation of a stochastic growth model with asset market restrictions In: Journal of Economic Behavior & Organization.
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article4
2011The term structures of equity and interest rates In: Journal of Financial Economics.
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article75
2009The Term Structures of Equity and Interest Rates.(2009) In: NBER Working Papers.
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This paper has another version. Agregated cites: 75
paper
2002Monetary policy transmission through the consumption-wealth channel In: Economic Policy Review.
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article62
2001A primer on the economics and time series econometrics of wealth effects: a comment In: Staff Reports.
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paper10
1999Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying In: Staff Reports.
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paper473
2001Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying.(2001) In: Journal of Political Economy.
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This paper has another version. Agregated cites: 473
article
2013Shocks and Crashes In: NBER Chapters.
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chapter38
2011Shocks and Crashes.(2011) In: NBER Working Papers.
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paper
2014Shocks and Crashes.(2014) In: NBER Macroeconomics Annual.
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This paper has another version. Agregated cites: 38
article
2006Reconciling the Return Predictability Evidence In: NBER Working Papers.
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paper279
2008Reconciling the Return Predictability Evidence.(2008) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 279
article
2006Reconciling the Return Predictability Evidence.(2006) In: 2006 Meeting Papers.
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This paper has another version. Agregated cites: 279
paper
2007Investor Information, Long-Run Risk, and the Term Structure of Equity In: NBER Working Papers.
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paper69
2015Investor Information, Long-Run Risk, and the Term Structure of Equity.(2015) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 69
article
2022High-Dimensional Factor Models with an Application to Mutual Fund Characteristics In: NBER Working Papers.
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paper0
2021High Dimensional Factor Models with an Application to Mutual Fund Characteristics.(2021) In: MPRA Paper.
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2022Idiosyncratic Equity Risk Two Decades Later In: NBER Working Papers.
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paper0
2000Can Habit Formation be Reconciled with Business Cycle Facts? In: Review of Economic Dynamics.
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article174
1995Can Habit Formation be Reconciled with Business Cycle Facts?.(1995) In: Discussion Paper.
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paper
1995Can Habit Formation be Reconciled with Business Cycle Facts?.(1995) In: Other publications TiSEM.
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2006Investor Information, Long-Run Risk, and the Duration fo Risky Assets In: 2006 Meeting Papers.
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paper10
2000LARGE NONPARAMETRIC ESTIMATION OF TIME VARYING CHARACTERISTICS OF INTERTEMPORAL ASSET PRICING MODELS In: Computing in Economics and Finance 2000.
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paper1
Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market In: Computing in Economics and Finance 1997.
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paper6
2000Cross-variable restrictions in Euler equations and risk premia In: Applied Economics Letters.
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article3
1995Rule of Thumb and Dynamic Programming In: Discussion Paper.
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paper1
1995Rule of Thumb and Dynamic Programming.(1995) In: Other publications TiSEM.
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1997Comment on The Spirit of Capitalism and Stock Market Prices By G.S. Bakshi and Z. Chen (AER, 1996) In: Discussion Paper.
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1997Comment on The Spirit of Capitalism and Stock Market Prices By G.S. Bakshi and Z. Chen (AER, 1996).(1997) In: Other publications TiSEM.
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Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models In: IEW - Working Papers.
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