Martin Lettau : Citation Profile


Are you Martin Lettau?

University of California-Berkeley

16

H index

22

i10 index

2863

Citations

RESEARCH PRODUCTION:

18

Articles

38

Papers

RESEARCH ACTIVITY:

   16 years (1995 - 2011). See details.
   Cites by year: 178
   Journals where Martin Lettau has often published
   Relations with other researchers
   Recent citing documents: 202.    Total self citations: 24 (0.83 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple572
   Updated: 2018-05-19    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 (42)

Sousa, Ricardo (38)

Marfè, Roberto (32)

Lustig, Hanno (27)

Zhang, Lu (25)

Hoffmann, Mathias (23)

Pettenuzzo, Davide (21)

Nitschka, Thomas (20)

Van Nieuwerburgh, Stijn (19)

GUPTA, RANGAN (19)

Wachter, Jessica (19)

Cites to:

Campbell, John (57)

Cochrane, John (20)

Ludvigson, Sydney (19)

French, Kenneth (18)

Shiller, Robert (13)

Hansen, Lars (13)

Bernanke, Ben (11)

Prescott, Edward (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
Review of Financial Studies2
American Economic Review2
Journal of Finance2
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 (2018 and 2017)


YearTitle of citing document
2018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Mao, Xiuping ; Casas, Isabel. In: CREATES Research Papers. RePEc:aah:create:2018-10.

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

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2017CAPM applications for appropriate stock pricing – impact of speculation companies. (2017). Urbaski, Stanisaw ; Skalna, Iwona . In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:227-245.

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2017Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342.

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

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2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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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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2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2018A Term Structure Model for Dividends and Interest Rates. (2018). Filipovi, Damir ; Willems, Sander. In: Papers. RePEc:arx:papers:1803.02249.

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2018How 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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2017Importance of housing wealth effect in selected European countries: evidence from panel VAR model. (2017). Casni, Anita Ceh . In: ERES. RePEc:arz:wpaper:eres2017_138.

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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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2017Do wealth inequalities have an impact on consumption?. (2017). Savignac, Frédérique. In: Rue de la Banque. RePEc:bfr:rueban:2017:42.

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2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

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2017Monetary Policy Transmission in Vietnam: Evidence from a VAR Approach. (2017). Vo, Xuan Vinh ; Nguyen, Phuc Canh . In: Australian Economic Papers. RePEc:bla:ausecp:v:56:y:2017:i:1:p:27-38.

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2017Improved Forecasts of Tax Revenue via the Permanent Income Hypothesis. (2017). Fisher, Lance A ; Kingston, Geoffrey . In: Australian Economic Review. RePEc:bla:ausecr:v:50:y:2017:i:1:p:21-31.

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2017Social comparisons in consumption, international capital flows and tax competition. (2017). Chang, Juin-Jen ; Peng, Shin-Kun ; Shin- Kun Peng, ; Cheng, Yi-Ling . In: International Journal of Economic Theory. RePEc:bla:ijethy:v:13:y:2017:i:1:p:47-71.

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2017Corporate Hedging and the High Idiosyncratic Volatility Low Return Puzzle. (2017). Chng, Michael T ; Zhang, Hong Feng ; Xiang, Vincent ; Fang, Victor. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:395-425.

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2017MONETARY POLICY SURPRISES, INVESTMENT OPPORTUNITIES, AND ASSET PRICES. (2017). Detzel, Andrew . In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:315-348.

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2017Detecting at-Most-m Changes in Linear Regression Models. (2017). Pouliot, William ; Horvath, Lajos ; Wang, Shixuan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:552-590.

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2017A Simple Approach for Diagnosing Instabilities in Predictive Regressions. (2017). Pitarakis, Jean-Yves. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:5:p:851-874.

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2017Financial Depth and the Asymmetric Impact of Monetary Policy. (2017). Caglayan, Mustafa ; Mouratidis, Kostas ; Kocaaslan, Ozge Kandemir . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:6:p:1195-1218.

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2017What Drives Urban Consumption in Mainland China? The Role of Property Price Dynamics. (2017). Mehrotra, Aaron ; Funke, Michael ; Chen, Yu-Fu. In: Pacific Economic Review. RePEc:bla:pacecr:v:22:y:2017:i:3:p:383-409.

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2017Dissecting Exchange Rates and Fundamentals in the Modern Floating Era: The Role of Permanent and Transitory Shocks. (2017). Chou, Yu-Hsi. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:1:p:165-194.

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2017Do macro shocks matter for equities?. (2017). Theodoridis, Konstantinos ; Dison, Will . In: Bank of England working papers. RePEc:boe:boeewp:0692.

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

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2017Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Pettenuzzo, Davide. In: Working Papers. RePEc:brd:wpaper:116.

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2017Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Pettenuzzo, Davide ; Wang, Yudong ; Pan, Zhiyuan. In: Working Papers. RePEc:brd:wpaper:116r.

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2018High-frequency Cash Flow Dynamics. (2018). Pettenuzzo, Davide ; Timmermann, Allan ; Sabbatucci, Riccardo. In: Working Papers. RePEc:brd:wpaper:120.

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2017Aggregate and Firm level volatility: the role of acquisitions and disposals.. (2017). Devonald, L ; Holly, S ; Higson, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1748.

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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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2017Why Does Idiosyncratic Risk Increase with Market Risk?. (2017). Bartram, Söhnke ; Stulz, Rene M ; Brown, Gregory . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6560.

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2017Taxation and Corporate Risk-Taking. (2017). Langenmayr, Dominika ; Lester, Rebecca. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6566.

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2018Predictibilidad del Mercado Accionario Colombiano. (2018). LOPEZ, JOSE. In: DOCUMENTOS CEDE. RePEc:col:000089:016086.

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2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12085.

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2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460.

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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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2017Expropriation risk by block holders, institutional quality and expected stock returns. (2017). Hearn, Bruce ; Piesse, Jenifer ; Phylaktis, Kate . In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:122-149.

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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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2017Booms, busts and behavioural heterogeneity in stock prices. (2017). Hommes, Cars ; In, Daan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:101-124.

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2017Learning Ricardian Equivalence. (2017). Rostam-Afschar, Davud ; Meissner, Thomas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:273-288.

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2017The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis. (2017). Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:221-230.

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2017Generalized financial ratios to predict the equity premium. (2017). Algaba, Andres ; Boudt, Kris. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:244-257.

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2017Growth effects of EU and EZ memberships: Empirical findings from the first 15 years of the Euro. (2017). Dreyer, Johannes Kabderian ; SCHMID, Peter Alfons . In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:45-54.

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2018Directional predictability and time-varying spillovers between stock markets and economic cycles. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:301-312.

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2017An intertemporal CAPM with higher-order moments. (2017). Jang, Jeewon ; Kang, Jangkoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:314-337.

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2017Ultimate consumption risk and investment-based stock returns. (2017). Kang, Hankil ; Lee, Changjun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:473-486.

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2017Optimal tax policy in the presence of productive, consumption, and leisure externalities. (2017). Monteiro, Goncalo ; Escobar Posada, Rolando ; Escobar-Posada, Rolando A. In: Economics Letters. RePEc:eee:ecolet:v:152:y:2017:i:c:p:62-65.

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2018The upward trend in the volatility of firm productivity shocks. (2018). Liu, Yunting. In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:68-71.

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

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2017Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets. (2017). Chan, Sok-Gee ; Gee, Chan Sok ; Ismail, Izlin ; Kutan, Ali M ; Qureshi, Fiza . In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:176-192.

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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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2017Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

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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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2017Empirical evidence of news about future prospects in the risk-pricing of oil assets. (2017). Kakeu, Johnson ; Bouaddi, Mohammed . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:458-468.

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2017Effects of common factors on stock correlation networks and portfolio diversification. (2017). Eom, Cheoljun ; Park, Jongwon . 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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2017International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113.

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2018A conditional regime switching CAPM. (2018). Vendrame, Vasco ; Tucker, Jon ; Guermat, Cherif. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:1-11.

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2017Human capital measures and stock return predictability: Macroeconomic versus microeconomic approaches. (2017). Lee, Jaeram ; Ryu, Doojin ; Ihm, Jungjoon . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:53-56.

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2017Can tree-structured classifiers add value to the investor?. (2017). Laborda, Ricardo. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:211-226.

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2017On the short-term predictability of stock returns: A quantile boosting approach. (2017). Pierdzioch, Christian ; Demirer, Riza ; Zhang, Huacheng . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:35-41.

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2018Multi-dimensional portfolio risk and its diversification: A note. (2018). Kim, Tae-Hwan ; Bang, Seungbeom . In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:147-156.

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2017Economic freedom and crashes in financial markets. (2017). Blau, Benjamin. 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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2017Can investors gain from investing in certain sectors?. (2017). Narayan, Paresh Kumar ; Ahmed, Huson Ali . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:160-177.

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2017Predicting risk premium under changes in the conditional distribution of stock returns. (2017). Sousa, Ricardo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:204-218.

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2018Is stock return predictability time-varying?. (2018). Devpura, Neluka ; Sharma, Susan Sunila ; Narayan, Paresh Kumar. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:152-172.

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2017Optimal asset allocation for strategic investors. (2017). Laborda, Ricardo ; Olmo, Jose. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:970-987.

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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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2017Risk evaluations with robust approximate factor models. (2017). Chou, Ray Yeutien ; Yen, Yu-Min . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:244-264.

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2017The q-factors and expected bond returns. (2017). Franke, Benedikt ; Muller, Sonja . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:19-35.

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2017The market price of risk of the variance term structure. (2017). Dotsis, George. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

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2017Doing good and doing bad: The impact of corporate social responsibility and irresponsibility on firm performance. (2017). Price, Joseph M ; Sun, Wenbin . In: Journal of Business Research. RePEc:eee:jbrese:v:80:y:2017:i:c:p:82-97.

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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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2017Firm characteristics, consumption risk, and firm-level risk exposures. (2017). Dittmar, Robert F ; Lundblad, Christian T. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:2:p:326-343.

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2017Volatility of aggregate volatility and hedge fund returns. (2017). ARISOY, Yakup ; Agarwal, Vikas ; Naik, Narayan Y. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:491-510.

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2017Maximum likelihood estimation of the equity premium. (2017). Avdis, Efstathios ; Wachter, Jessica A. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:589-609.

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2017Confidence, bond risks, and equity returns. (2017). Zhao, Guihai. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:668-688.

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2018Do universal banks finance riskier but more productive firms?. (2018). Neuhann, Daniel ; Saidi, Farzad. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:1:p:66-85.

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2017Systematic consumption risk in currency returns. (2017). Hoffmann, Mathias ; Studer-Suter, Rahel . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:187-208.

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2018Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74.

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2017The consumption–investment decision of a prospect theory household: A two-period model. (2017). Tsigaris, Panagiotis ; Hlouskova, Jaroslava ; Fortin, Ines . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:70:y:2017:i:c:p:74-89.

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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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2017Taxes and capital structure: Understanding firms’ savings. (2017). Armenter, Roc ; Hnatkovska, Viktoria . In: Journal of Monetary Economics. RePEc:eee:moneco:v:87:y:2017:i:c:p:13-33.

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2017The cross-section and time series of stock and bond returns. (2017). Van Nieuwerburgh, Stijn ; Lustig, Hanno. In: Journal of Monetary Economics. RePEc:eee:moneco:v:88:y:2017:i:c:p:50-69.

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2017The reactions to on-air stock reports: Prices, volume, and order submission behavior. (2017). Chiao, Chaoshin ; Lee, Cheng-Few ; Lin, Tung-Ying. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:44:y:2017:i:c:p:27-46.

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2017Institutional ownership around stock splits. (2017). Li, Fengyu ; Shi, Yongdong ; Liu, Mark H. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:46:y:2017:i:pa:p:14-40.

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2018The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China. (2018). Su, Zhi ; Yin, Libo ; Shu, Tengjia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:497:y:2018:i:c:p:218-235.

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2017Intraday industry-specific spillover effect in European equity markets. (2017). Mateus, Cesario ; Chinthalapati, Raju . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:278-298.

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2017Diversification of risk exposure through country mutual funds under alternative investment opportunities. (2017). Naka, Atsuyuki ; Noman, Abdullah . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:215-227.

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2017Market states and the risk-return tradeoff. (2017). Wang, Zijun ; Khan, Moosa M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:314-327.

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2018A re-examination of firm, industry and market volatilities. (2018). Lebedinsky, Alex ; Wilmes, Nicholas. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:113-120.

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2017Measuring the financial soundness of U.S. firms, 1926–2012. (2017). Weill, Pierre-Olivier ; Eisfeldt, Andrea L ; Atkeson, Andrew G. In: Research in Economics. RePEc:eee:reecon:v:71:y:2017:i:3:p:613-635.

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2017Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test. (2017). Wohar, Mark ; Sousa, Ricardo ; GUPTA, RANGAN ; Balcilar, Mehmet. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:269-279.

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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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article44
2004Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption In: American Economic Review.
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article225
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: 225
paper
2001Consumption, Aggregate Wealth, and Expected Stock Returns In: Journal of Finance.
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article587
1999Consumption, Aggregate Wealth and Expected Stock Returns.(1999) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 587
paper
1999Consumption, aggregate wealth and expected stock returns.(1999) In: Staff Reports.
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This paper has another version. Agregated cites: 587
paper
2007Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium In: Journal of Finance.
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article116
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: 116
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: 116
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: 116
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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paper15
1995Robustness of Adaptive Expections as an Equilibrium Selection Device..(1995) In: Tilburg - Center for Economic Research.
[Citation analysis]
This paper has another version. Agregated cites: 15
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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paper49
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: 49
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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paper110
2005Expected returns and expected dividend growth.(2005) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 110
article
2003Expected Returns and Expected Dividend Growth.(2003) In: NBER Working Papers.
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This paper has another version. Agregated cites: 110
paper
2005Euler Equation Errors In: CEPR Discussion Papers.
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paper12
2005Euler Equation Errors.(2005) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 12
paper
2005Euler Equation Errors.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 12
paper
2005Euler Equation Errors.(2005) In: 2005 Meeting Papers.
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This paper has another version. Agregated cites: 12
paper
2009Euler Equation Errors.(2009) In: Review of Economic Dynamics.
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This paper has another version. Agregated cites: 12
article
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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paper144
2005The declining equity premium: what role does macroeconomic risk play?.(2005) In: Proceedings.
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This paper has another version. Agregated cites: 144
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: 144
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: 144
article
2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: 2004 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 144
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.
[Full Text][Citation analysis]
article31
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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article49
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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paper347
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: 347
article
2006Reconciling the Return Predictability Evidence In: NBER Working Papers.
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paper167
2008Reconciling the Return Predictability Evidence.(2008) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 167
article
2006Reconciling the Return Predictability Evidence.(2006) In: 2006 Meeting Papers.
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This paper has another version. Agregated cites: 167
paper
2007Investor Information, Long-Run Risk, and the Term Structure of Equity In: NBER Working Papers.
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paper49
2009The Term Structures of Equity and Interest Rates In: NBER Working Papers.
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paper39
2011Shocks and Crashes In: NBER Working Papers.
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paper19
2000Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk In: NBER Working Papers.
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paper640
2000Can Habit Formation be Reconciled with Business Cycle Facts? In: Review of Economic Dynamics.
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article129
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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