Martin Lettau : Citation Profile


Are you Martin Lettau?

University of California-Berkeley

16

H index

22

i10 index

2575

Citations

RESEARCH PRODUCTION:

18

Articles

38

Papers

RESEARCH ACTIVITY:

   16 years (1995 - 2011). See details.
   Cites by year: 160
   Journals where Martin Lettau has often published
   Relations with other researchers
   Recent citing documents: 191.    Total self citations: 23 (0.89 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple572
   Updated: 2017-04-29    RAS profile: 2014-01-17    
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Relations with other researchers


Works with:

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

Is cited by:

Guo, Hui (39)

Sousa, Ricardo (37)

Lustig, Hanno (27)

Zhang, Lu (24)

Hoffmann, Mathias (21)

Nitschka, Thomas (19)

GUPTA, RANGAN (19)

Ang, Andrew (18)

Wachter, Jessica (18)

Campbell, John (18)

Bekaert, Geert (18)

Cites to:

Campbell, John (58)

Cochrane, John (20)

Ludvigson, Sydney (19)

French, Kenneth (18)

Shiller, Robert (13)

Hansen, Lars (13)

Prescott, Edward (11)

Bernanke, Ben (11)

Fama, Eugene (8)

Stambaugh, Robert (8)

Hodrick, Robert (7)

Main data


Where Martin Lettau has published?


Journals with more than one article published# docs
American Economic Review2
Journal of Finance2
Review of Financial Studies2
Review of Economic Dynamics2

Working Papers Series with more than one paper published# docs
Staff Reports / Federal Reserve Bank of New York4
2005 Meeting Papers / Society for Economic Dynamics2

Recent works citing Martin Lettau (2017 and 2016)


YearTitle of citing document
2016Parameter Learning in General Equilibrium: The Asset Pricing Implications. (2016). Collin-Dufresne, Pierre ; Lochstoer, Lars A ; Johannes, Michael . In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:3:p:664-98.

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2017Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence. (2017). Nakamura, Emi ; Steinsson, Jon ; Sergeyev, Dmitriy . In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:9:y:2017:i:1:p:1-39.

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2016Asset Pricing with Idiosyncratic Shocks. (2016). Srisuksai, Pithak ; Vanitcharearntham, Vimut . In: Applied Economics Journal. RePEc:aej:apecjn:v:23:y:2016:i:1:p:35-58.

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2016Heterotic Risk Models. (2016). Kakushadze, Zura . In: Papers. RePEc:arx:papers:1508.04883.

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2016Multifactor Risk Models and Heterotic CAPM. (2016). Yu, Willie ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1602.04902.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie . In: Papers. RePEc:arx:papers:1602.08070.

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2016A diagnostic criterion for approximate factor structure. (2016). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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2016Predictability Hidden by Anomalous Observations. (2016). Scaillet, Olivier ; Camponovo, Lorenzo ; Trojani, Fabio . In: Papers. RePEc:arx:papers:1612.05072.

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2017Media Network and Return Predictability. (2017). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2016Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis. (2016). Guidolin, Massimo ; Pra, Giulia Dal ; Vasile, Fabiola ; Pedio, Manuela . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1637.

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2017Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects. (2017). Gungor, Sermin ; Luger, Richard . In: Staff Working Papers. RePEc:bca:bocawp:17-10.

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2016Monetary Policy and the Stock Market: Time-Series Evidence. (2016). Weber, Michael ; Neuhierl, Andreas . In: Working Papers. RePEc:bfi:wpaper:2016-26.

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2016Testing the Q theory of investment in the frequency domain. (2016). Verona, Fabio ; Kilponen, Juha . In: Research Discussion Papers. RePEc:bof:bofrdp:2016_032.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonalo . In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2016Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonalo . In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:052016.

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2016Forecasting the equity risk premium with frequency-decomposed predictors. (2016). Verona, Fabio ; Faria, Gonalo . In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:062016.

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2016Cash Flow Duration and the Term Structure of Equity Returns. (2016). Weber, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6043.

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2016Monetary Policy and the Stock Market: Time-Series Evidence. (2016). Weber, Michael ; Neuhierl, Andreas . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6199.

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2017Flexible Prices and Leverage. (2017). Weber, Michael ; D'Acunto, Francesco ; Pflueger, Carolin ; Liu, Ryan . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6317.

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2016A Return Prediction-based Investment with Particle Filtering and Anomaly Detection. (2016). Nakano, Masafumi ; Takahashi, Soichiro . In: CARF F-Series. RePEc:cfi:fseres:cf391.

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2016Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market. (2016). Wodarczyk, Aneta ; Otola, Iwona . In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:16:y:2016:p:87-116.

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2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11307.

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2016Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds. (2016). Vogt, Erik ; Crump, Richard ; Adrian, Tobias . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11401.

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2016Real Interest Rates, Imbalances and the Curse of Regional Safe Asset Providers at the Zero Lower Bound. (2016). Rey, Helene ; Gourinchas, Pierre-Olivier. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11503.

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2016Implications of Return Predictability across Horizons for Asset Pricing Models. (2016). Favero, Carlo A ; Yang, Haoxi ; Tamoni, Andrea ; Ortu, Fulvio . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11645.

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2016Equity Premium Prediction: Are Economic and Technical Indicators Unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1552.

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2016The dynamics of Stock price adjustment to fundamentals: an empirical essay via STAR models in the Tunisian stock market. (2016). Boussaidi, Ramzi ; Ezzeddine, Abaoub. In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00358.

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2016The housing market, household portfolios and the German consumer. (2016). Rupprecht, Manuel ; muellbauer, john ; Geiger, Felix. In: Working Paper Series. RePEc:ecb:ecbwps:20161904.

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2016Management Forecasts, Idiosyncratic Risk, and the Information Environment. (2016). Kitagawa, Norio ; Okuda, Shinya . In: The International Journal of Accounting. RePEc:eee:accoun:v:51:y:2016:i:4:p:487-503.

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2016Chinas oil product pricing mechanism: What role does it play in Chinas macroeconomy?. (2016). Zhang, Jin ; Xie, Mingjia . In: China Economic Review. RePEc:eee:chieco:v:38:y:2016:i:c:p:209-221.

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2016Corporate social responsibility and corporate cash holdings. (2016). Cheung, Adrian (Wai-Kong). In: Journal of Corporate Finance. RePEc:eee:corfin:v:37:y:2016:i:c:p:412-430.

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2016Multinationality as real option facilitator — Illusion or reality?. (2016). Park, Jung Chul ; Pantzalis, Christos ; Aabo, Tom . In: Journal of Corporate Finance. RePEc:eee:corfin:v:38:y:2016:i:c:p:1-17.

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2016Do investors care about corporate taxes?. (2016). Brooks, Chris ; Money, Kevin ; Hillenbrand, Carola ; Godfrey, Chris . In: Journal of Corporate Finance. RePEc:eee:corfin:v:38:y:2016:i:c:p:218-248.

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2017Product market competition, idiosyncratic and systematic volatility. (2017). Abdoh, Hussein ; Varela, Oscar . In: Journal of Corporate Finance. RePEc:eee:corfin:v:43:y:2017:i:c:p:500-513.

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2016Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466.

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2016Itchy feet vs cool heads: Flow of funds in an agent-based financial market. (2016). Schenk-Hoppé, Klaus ; Wang, Tongya ; Schenk-Hoppe, Klaus Reiner ; Palczewski, Jan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:63:y:2016:i:c:p:53-68.

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2016The impact of idiosyncratic uncertainty when investment opportunities are endogenous. (2016). Lee, Jung Hoon . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:65:y:2016:i:c:p:105-124.

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2017Composite habits and international transmission of business cycles. (2017). Dmitriev, Alexandre. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:76:y:2017:i:c:p:1-34.

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2016Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange. (2016). Jayawardena, Nirodha I ; Su, Jen-Je ; Li, Bin ; Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:592-608.

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2016Durable consumption and asset returns: Cointegration analysis. (2016). Ren, Yu ; Chen, Guojin ; Hong, Zhiwu . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:231-244.

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2016R2 and idiosyncratic volatility: Which captures the firm-specific return variation?. (2016). Teglio, Andrea ; Shen, Dehua ; Zhang, Wei . In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:298-304.

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2016A reexamination of stock return predictability. (2016). Choi, Yongok ; Park, Joon Y ; Jacewitz, Stefan . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:168-189.

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2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:367-389.

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2016Stock return predictability and determinants of predictability and profits. (2016). Narayan, Paresh ; Bannigidadmath, Deepa. In: Emerging Markets Review. RePEc:eee:ememar:v:26:y:2016:i:c:p:153-173.

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2017The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test. (2017). Masih, Abul ; Dewandaru, Ginanjar ; Mansur, A ; Bacha, Obiyathulla Ismath . In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:66-95.

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2016On the properties of the constrained Hansen–Jagannathan distance. (2016). Gospodinov, Nikolay ; Robotti, Cesare ; Kan, Raymond . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:121-150.

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2016The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility. (2016). Byun, Sung Je ; Je, Sung . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:162-180.

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2016Risk and return of short-duration equity investments. (2016). Cejnek, Georg ; Randl, Otto . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:181-198.

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2016Are idiosyncratic volatility and MAX priced in the Canadian market?. (2016). Aboulamer, Anas ; Kryzanowski, Lawrence . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:20-36.

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2016Capital asset pricing model: A time-varying volatility approach. (2016). Ho, Kun ; Kim, Taejin . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:268-281.

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2017Institutional ownership and aggregate volatility risk. (2017). Barinov, Alexander . In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:20-38.

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2017Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain. (2017). Mihov, Atanas ; Naranjo, Andy . In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:73-100.

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2017A comparison of alternative cash flow and discount rate news proxies. (2017). Khimich, Natalya . In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:31-52.

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2017Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data. (2017). Wohar, Mark ; GUPTA, RANGAN ; Balcilar, Mehmet. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:72-86.

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2016Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom. (2016). Antonakakis, Nikolaos ; Floros, Christos . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:111-122.

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2016Some extensions of the CAPM for individual assets. (2016). Vendrame, Vasco ; Guermat, Cherif ; Tucker, Jon . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:78-85.

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2016The modified dividend–price ratio. (2016). POLIMENIS, VASSILIS ; Neokosmidis, Ioannis M. In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:31-38.

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2016Is idiosyncratic volatility priced in commodity futures markets?. (2016). Fuertes, Ana-Maria ; Fernandez-Perez, Adrian ; Miffre, Joelle . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:219-226.

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2016Time-varying risk, mispricing attributes, and the accrual premium. (2016). Simlai, Prodosh E. In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:150-161.

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2017Effects of common factors on stock correlation networks and portfolio diversification. (2017). Eom, Cheoljun ; Park, Jong Won . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:1-11.

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2017Firm life cycle and idiosyncratic volatility. (2017). Hasan, Mostafa Monzur ; Habib, Ahsan . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:164-175.

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2016Long-term perspective on the stock market matters in asset pricing. (2016). Park, Heungju ; Sohn, Bumjean . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:162-170.

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2016Idiosyncratic risk, private benefits, and the value of family firms. (2016). Schatt, Alain ; ROGER, Patrick. In: Finance Research Letters. RePEc:eee:finlet:v:17:y:2016:i:c:p:235-245.

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2016Early warning indicators of banking crisis and bank related stock returns. (2016). Sohn, Bumjean ; Park, Heungju . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:193-198.

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2016Idiosyncratic risk and share repurchases. (2016). Hsu, Yuan-Teng ; Huang, Chia-Wei . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:76-82.

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2016Idiosyncratic volatility and excess Return: Evidence from the Greater China region. (2016). Kang, Jui-Heng ; Lin, Chu-Hsiung ; Wang, Li-Hsun ; Fung, Hung-Gay . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:126-129.

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2016Cross-sectional return dispersion and the equity premium. (2016). Maio, Paulo . In: Journal of Financial Markets. RePEc:eee:finmar:v:29:y:2016:i:c:p:87-109.

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2016Pricing default risk: The good, the bad, and the anomaly. (2016). Filipe, Sara Ferreira ; Michala, Dimitra ; Grammatikos, Theoharry . In: Journal of Financial Stability. RePEc:eee:finsta:v:26:y:2016:i:c:p:190-213.

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2016Nonparametric long term prediction of stock returns with generated bond yields. (2016). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:82-96.

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2017Economic freedom and crashes in financial markets. (2017). Blau, Benjamin M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:33-46.

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2016Getting the most out of macroeconomic information for predicting excess stock returns. (2016). van Dijk, Dick ; Akmakli, Cem . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:650-668.

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2016Equity premium prediction: Are economic and technical indicators unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1193-1207.

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2016Transaction costs, liquidity risk, and the CCAPM. (2016). Liu, Wei Min ; Zhao, Huainan ; Luo, DI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:63:y:2016:i:c:p:126-145.

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2016Does the uncertainty of firm-level fundamentals help explain cross-sectional differences in liquidity commonality?. (2016). faff, robert ; Isshaq, Zangina . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:153-161.

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2016TARP and the long-term perception of risk. (2016). Semaan, Elias ; Drake, Pamela Peterson . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:216-235.

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2016Systematic limited arbitrage and the cross-section of stock returns: Evidence from exchange traded funds. (2016). Delisle, Jared R ; Smedema, Adam R ; McTier, Brian C. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:70:y:2016:i:c:p:118-136.

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2016Credible reforms and stock return volatility: Evidence from privatization. (2016). Some, Hyacinthe Y ; Valery, Pascale ; Cosset, Jean-Claude . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:c:p:99-120.

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2016Momentum and downside risk. (2016). Min, Byoung-Kyu ; Kim, Tong Suk . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s104-s118.

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2017Idiosyncratic volatility: An indicator of noise trading?. (2017). Aabo, Tom ; Park, Jung Chul ; Pantzalis, Christos . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:136-151.

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2017Aggregate earnings and stock market returns: The good, the bad, and the state-dependent. (2017). Zolotoy, Leon ; Lyon, John D ; Frederickson, James R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:157-175.

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2017Dividends, earnings, and predictability. (2017). Moller, Stig V ; Sander, Magnus . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:153-163.

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2016Delegated portfolio management, optimal fee contracts, and asset prices. (2016). Sato, Yuki . In: Journal of Economic Theory. RePEc:eee:jetheo:v:165:y:2016:i:c:p:360-389.

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2016Endogenous information acquisition and countercyclical uncertainty. (2016). Wang, Pengfei ; Benhabib, Jess ; Liu, Xuewen . In: Journal of Economic Theory. RePEc:eee:jetheo:v:165:y:2016:i:c:p:601-642.

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2016Target revaluation after failed takeover attempts: Cash versus stock. (2016). Saidi, Farzad ; Opp, Marcus ; Malmendier, Ulrike. In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:1:p:92-106.

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2016The common factor in idiosyncratic volatility: Quantitative asset pricing implications. (2016). Van Nieuwerburgh, Stijn ; Herskovic, Bernard ; Lustig, Hanno ; Kelly, Bryan . In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:2:p:249-283.

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2016The expected returns and valuations of private and public firms. (2016). Cooper, Ilan ; Priestley, Richard . In: Journal of Financial Economics. RePEc:eee:jfinec:v:120:y:2016:i:1:p:41-57.

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2016Sentiments, financial markets, and macroeconomic fluctuations. (2016). Wang, Pengfei ; Benhabib, Jess ; Liu, Xuewen . In: Journal of Financial Economics. RePEc:eee:jfinec:v:120:y:2016:i:2:p:420-443.

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2016Performance measurement with selectivity, market and volatility timing. (2016). Mo, Haitao ; Ferson, Wayne . In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:1:p:93-110.

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2016The volatility of a firms assets and the leverage effect. (2016). Choi, Jaewon ; Richardson, Matthew . In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:2:p:254-277.

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2016Anxiety in the face of risk. (2016). Eisenbach, Thomas ; Schmalz, Martin C. In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:2:p:414-426.

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2016Disaster recovery and the term structure of dividend strips. (2016). Hasler, Michael ; Marfe, Roberto . In: Journal of Financial Economics. RePEc:eee:jfinec:v:122:y:2016:i:1:p:116-134.

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2016Have financial markets become more informative?. (2016). Savov, Alexi ; PHILIPPON, Thomas ; Bai, Jennie . In: Journal of Financial Economics. RePEc:eee:jfinec:v:122:y:2016:i:3:p:625-654.

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2017Growth through rigidity: An explanation for the rise in CEO pay. (2017). Shue, Kelly ; Townsend, Richard R. In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:1:p:1-21.

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2017The term structure of returns: Facts and theory. (2017). van Binsbergen, Jules H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:1-21.

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2017The term structure of credit spreads, firm fundamentals, and expected stock returns. (2017). Han, Bing ; Zhou, YI ; Subrahmanyam, Avanidhar . In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:147-171.

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2016Does consumer confidence affect durable goods spending during bad and good economic times equally?. (2016). Cassou, Steven P ; Ahmed, Iqbal M. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:50:y:2016:i:c:p:86-97.

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2016Does wage rigidity make firms riskier? Evidence from long-horizon return predictability. (2016). Lin, Xiaoji ; Favilukis, Jack . In: Journal of Monetary Economics. RePEc:eee:moneco:v:78:y:2016:i:c:p:80-95.

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2016When bonds matter: Home bias in goods and assets. (2016). Gourinchas, Pierre-Olivier ; Coeurdacier, Nicolas . In: Journal of Monetary Economics. RePEc:eee:moneco:v:82:y:2016:i:c:p:119-137.

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2016Risks for the long run: Estimation with time aggregation. (2016). Yaron, Amir ; Bansal, Ravi ; Kiku, Dana . In: Journal of Monetary Economics. RePEc:eee:moneco:v:82:y:2016:i:c:p:52-69.

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2016Evaluation of long-dated assets: The role of parameter uncertainty. (2016). Gollier, Christian. In: Journal of Monetary Economics. RePEc:eee:moneco:v:84:y:2016:i:c:p:66-83.

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2017Investor sentiment and economic forces. (2017). Shen, Junyan ; Zhao, Shen ; Yu, Jianfeng . In: Journal of Monetary Economics. RePEc:eee:moneco:v:86:y:2017:i:c:p:1-21.

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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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article41
2004Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption In: American Economic Review.
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article204
2003Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption.(2003) In: NBER Working Papers.
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This paper has another version. Agregated cites: 204
paper
2001Consumption, Aggregate Wealth, and Expected Stock Returns In: Journal of Finance.
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article536
1999Consumption, Aggregate Wealth and Expected Stock Returns.(1999) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 536
paper
1999Consumption, aggregate wealth and expected stock returns.(1999) In: Staff Reports.
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This paper has another version. Agregated cites: 536
paper
2007Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium In: Journal of Finance.
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article98
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: 98
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: 98
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: 98
paper
1997Preferences, Consumption Smoothing, and Risk Premia In: CEPR Discussion Papers.
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paper10
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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paper13
1999Dispersion and Volatility in Stock Returns: An Empirical Investigation.(1999) In: NBER Working Papers.
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This paper has another version. Agregated cites: 13
paper
2001Robustness of Adaptive Expectations as an Equilibrium Selection Device In: CEPR Discussion Papers.
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paper14
1995Robustness of Adaptive Expections as an Equilibrium Selection Device..(1995) In: Tilburg - Center for Economic Research.
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This paper has another version. Agregated cites: 14
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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paper46
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: 46
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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paper2
2002Expected Returns and Expected Dividend Growth In: CEPR Discussion Papers.
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paper89
2003Expected Returns and Expected Dividend Growth.(2003) In: NBER Working Papers.
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This paper has another version. Agregated cites: 89
paper
2005Expected returns and expected dividend growth.(2005) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 89
article
2005Euler Equation Errors In: CEPR Discussion Papers.
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paper11
2005Euler Equation Errors.(2005) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 11
paper
2005Euler Equation Errors.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 11
paper
2009Euler Equation Errors.(2009) In: Review of Economic Dynamics.
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This paper has another version. Agregated cites: 11
article
2005Euler Equation Errors.(2005) In: 2005 Meeting Papers.
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This paper has another version. Agregated cites: 11
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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paper127
2005The declining equity premium: what role does macroeconomic risk play?.(2005) In: Proceedings.
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This paper has another version. Agregated cites: 127
article
2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: NBER Working Papers.
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This paper has another version. Agregated cites: 127
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: 127
article
2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: 2004 Meeting Papers.
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This paper has another version. Agregated cites: 127
paper
2003Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models In: Economic Journal.
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article15
1997Explaining the facts with adaptive agents: The case of mutual fund flows In: Journal of Economic Dynamics and Control.
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article30
2005tays as good as cay: Reply In: Finance Research Letters.
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article14
2001Statistical estimation and moment evaluation of a stochastic growth model with asset market restrictions In: Journal of Economic Behavior & Organization.
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article3
2002Monetary policy transmission through the consumption-wealth channel In: Economic Policy Review.
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article43
2001A primer on the economics and time series econometrics of wealth effects: a comment In: Staff Reports.
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paper9
1999Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying In: Staff Reports.
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paper313
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: 313
article
2006Reconciling the Return Predictability Evidence In: NBER Working Papers.
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paper139
2008Reconciling the Return Predictability Evidence.(2008) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 139
article
2006Reconciling the Return Predictability Evidence.(2006) In: 2006 Meeting Papers.
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This paper has another version. Agregated cites: 139
paper
2007Investor Information, Long-Run Risk, and the Term Structure of Equity In: NBER Working Papers.
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paper32
2009The Term Structures of Equity and Interest Rates In: NBER Working Papers.
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paper35
2011Shocks and Crashes In: NBER Working Papers.
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paper16
2000Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk In: NBER Working Papers.
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paper588
2000Can Habit Formation be Reconciled with Business Cycle Facts? In: Review of Economic Dynamics.
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article122
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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paper2
2000Cross-variable restrictions in Euler equations and risk premia In: Applied Economics Letters.
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article2
Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models In: IEW - Working Papers.
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paper6

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