Martin Lettau : Citation Profile

Are you Martin Lettau?

University of California-Berkeley

25

H index

34

i10 index

5192

Citations

RESEARCH PRODUCTION:

29

Articles

76

Papers

1

Chapters

RESEARCH ACTIVITY:

   29 years (1995 - 2024). See details.
   Cites by year: 179
   Journals where Martin Lettau has often published
   Relations with other researchers
   Recent citing documents: 266.    Total self citations: 44 (0.84 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple572
   Updated: 2024-12-03    RAS profile: 2023-02-24    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Greenwald, Daniel (2)

Pelger, Markus (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)

Weber, Michael (47)

GUPTA, RANGAN (45)

Van Nieuwerburgh, Stijn (37)

Zhang, Lu (30)

Lustig, Hanno (30)

Pettenuzzo, Davide (29)

Schrimpf, Andreas (28)

Nitschka, Thomas (28)

Cites to:

Campbell, John (94)

Cochrane, John (35)

Ludvigson, Sydney (28)

French, Kenneth (24)

Hansen, Lars (20)

Shiller, Robert (18)

Fama, Eugene (16)

Constantinides, George (14)

Van Nieuwerburgh, Stijn (14)

Mankiw, N. Gregory (13)

Bernanke, Ben (12)

Main data

Where Martin Lettau has published?

Journals with more than one article published# docs
Journal of Finance4
The Review of Financial Studies4
Journal of Financial Economics3
Macroeconomic Dynamics2
American Economic Review2
Review of Economic 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, Inc24
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 (2024 and 2023)

YearTitle of citing document
2023Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach. (2020). , Vincent ; Vincent, ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2012.05757.

Full description at Econpapers || Download paper

2024Theory 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.

Full description at Econpapers || Download paper

2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

Full description at Econpapers || Download paper

2023Approximate Factor Models with Weaker Loadings. (2021). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2109.03773.

Full description at Econpapers || Download paper

2024Missing Values and the Dimensionality of Expected Returns. (2022). McCoy, Jack ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2207.13071.

Full description at Econpapers || Download paper

2024Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

Full description at Econpapers || Download paper

2023Surveying Generative AIs Economic Expectations. (2023). Bybee, Leland. In: Papers. RePEc:arx:papers:2305.02823.

Full description at Econpapers || Download paper

2023More than Words: Twitter Chatter and Financial Market Sentiment. (2023). Vazquez-Grande, Francisco ; Silva, Diego ; Ajello, Andrea ; Adams, Travis. In: Papers. RePEc:arx:papers:2305.16164.

Full description at Econpapers || Download paper

2023A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484.

Full description at Econpapers || Download paper

2024Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

Full description at Econpapers || Download paper

2023Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968.

Full description at Econpapers || Download paper

2023Valuation Duration of the Stock Market. (2023). Wang, Chen ; Li, YE. In: Papers. RePEc:arx:papers:2310.07110.

Full description at Econpapers || Download paper

2023The Covid-19 Pandemic and the Productivity Paradox. (2023). Mefford, Robert N. In: Journal of Behavioral Economics for Policy. RePEc:beh:jbepv1:v:7:y:2023:i:1:p:11-18.

Full description at Econpapers || Download paper

2023The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128.

Full description at Econpapers || Download paper

2023Audit Effort and Stock Price Crash Risk. (2023). Zhou, Wei ; Wu, Liansheng ; Luo, Wei ; Han, Xiaomei. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:1:p:230-257.

Full description at Econpapers || Download paper

2023Board Connections and Dividend Policy. (2023). Ruan, Jun ; Chui, Chin Man ; Azeem, Muhammad ; Farooq, Kambar. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:4:p:983-1040.

Full description at Econpapers || Download paper

2023Toxic chemical releases and idiosyncratic return volatility: A prospect theory perspective. (2023). Zaman, Rashid ; Nadeem, Muhammad ; Bahadar, Stephen. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:2109-2143.

Full description at Econpapers || Download paper

2023Macroeconomic fundamentals and cryptocurrency prices: A common trend approach. (2023). Rodriguez, Ivan ; Zhang, Qianying ; Jiang, Xiaoquan. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:1:p:181-198.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Political geography and the value relevance of real options. (2023). Pantzalis, Christos ; Douidar, Shaddy ; Park, Jung Chul. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:703-733.

Full description at Econpapers || Download paper

2023The price impact of analyst revisions and the state of the economy: Evidence around the world. (2023). Su, Chen. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:887-930.

Full description at Econpapers || Download paper

2023Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

Full description at Econpapers || Download paper

2023Low‐Risk Anomalies?. (2020). Zechner, Josef ; Wagner, Christian ; Schneider, Paul. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718.

Full description at Econpapers || Download paper

2023Stock 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.

Full description at Econpapers || Download paper

2023Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models. (2023). Julliard, Christian ; Huang, Jiantao ; Bryzgalova, Svetlana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:487-557.

Full description at Econpapers || Download paper

2023Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730.

Full description at Econpapers || Download paper

2023Model Comparison with Transaction Costs. (2023). Velikov, Mihail ; Novymarx, Robert ; Detzel, Andrew. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1743-1775.

Full description at Econpapers || Download paper

2023Understanding Monetary Spillovers in Highly Integrated Regions: The Case of Europe. (2023). Schuberth, Helene ; Feldkircher, Martin. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:859-893.

Full description at Econpapers || Download paper

2023Uncertainty premia in REIT returns. (2023). Strobel, Johannes ; Ruf, Daniel ; Lotz, Marton. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:2:p:372-407.

Full description at Econpapers || Download paper

2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

Full description at Econpapers || Download paper

2023Aggregate Insider Trading and Stock Market Volatility in the UK. (2023). Spagnolo, Nicola ; Kyriacou, Kyriacos ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10511.

Full description at Econpapers || Download paper

2023Households’ Response to the Wealth Effects of Inflation. (2023). Weber, Michael ; Hackethal, Andreas ; Schnorpfeil, Philip. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10648.

Full description at Econpapers || Download paper

2024Dividend based risk measures: A Markov chain approach. (2024). de Blasis, Riccardo ; D'Amico, Guglielmo. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:471:y:2024:i:c:s0096300324000833.

Full description at Econpapers || Download paper

2023Asset prices in a labor search model with confidence shocks. (2023). Krivenko, Pavel. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002676.

Full description at Econpapers || Download paper

2023Social contagion and the survival of diverse investment styles. (2023). Hirshleifer, David ; Zhang, Ruixun ; Lo, Andrew W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001173.

Full description at Econpapers || Download paper

2023Machine learning goes global: Cross-sectional return predictability in international stock markets. (2023). Zaremba, Adam ; Metko, Daniel ; Fieberg, Christian ; Cakici, Nusret. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:155:y:2023:i:c:s0165188923001318.

Full description at Econpapers || Download paper

2023Short-run and long-run effects of ESG policies on value creation and the cost of equity of firms. (2023). Alonso-Conde, Ana B ; Rojo-Suarez, Javier. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:599-616.

Full description at Econpapers || Download paper

2023An empirical analysis of exchange-traded funds in the US. (2023). Moradi-Motlagh, Amir ; Valadkhani, Abbas. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:995-1009.

Full description at Econpapers || Download paper

2023Forecasting dividend growth: The role of adjusted earnings yield. (2023). Li, Luyang ; Chen, LI ; Huang, Difang ; Yu, Deshui. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004254.

Full description at Econpapers || Download paper

2023The effects of the BoJs ETF purchases on equities and corporate investment. (2023). Cohen, Lior. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003528.

Full description at Econpapers || Download paper

2023The RP-PCA factors and stock return predictability: An aligned approach. (2023). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001978.

Full description at Econpapers || Download paper

2023US structural drivers of international portfolio returns. (2023). Tong, Eric ; So, Inhwan ; Jang, Bosung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002078.

Full description at Econpapers || Download paper

2023Price discovery between Bitcoin spot markets and exchange traded products. (2023). Bowden, James ; Franus, Tatiana ; Gemayel, Roland. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001775.

Full description at Econpapers || Download paper

2023Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data. (2023). Xia, Yin ; Xu, Yan ; Yang, Dan ; Chen, Xin ; Shen, Haipeng ; Wang, Dong. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:544-564.

Full description at Econpapers || Download paper

2023Canonical correlation-based model selection for the multilevel factors. (2023). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:22-44.

Full description at Econpapers || Download paper

2023Identifying latent factors based on high-frequency data. (2023). Zhang, Chuanhai ; Xu, Wen ; Sun, Yucheng. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:251-270.

Full description at Econpapers || Download paper

2023Large dimensional latent factor modeling with missing observations and applications to causal inference. (2023). Pelger, Markus ; Xiong, Ruoxuan. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:271-301.

Full description at Econpapers || Download paper

2023Approximate factor models with weaker loadings. (2023). Ng, Serena ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1893-1916.

Full description at Econpapers || Download paper

2023Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics. (2023). Rodrigues, Paulo ; Stoykov, Marian Z ; Nicolau, Joo. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2266-2284.

Full description at Econpapers || Download paper

2023Penetrating sporadic return predictability. (2023). Xie, Xinling ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002257.

Full description at Econpapers || Download paper

2023Transformed regression-based long-horizon predictability tests. (2023). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001294.

Full description at Econpapers || Download paper

2023Uniform predictive inference for factor models with instrumental and idiosyncratic betas. (2023). Yang, Xiye ; Liao, Yuan ; Cheng, Mingmian. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002123.

Full description at Econpapers || Download paper

2023Are bond returns predictable with real-time macro data?. (2023). Li, Kunpeng ; Jiang, Fuwei ; Huang, Dashan ; Zhou, Guofu ; Tong, Guoshi. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001161.

Full description at Econpapers || Download paper

2023Business-cycle consumption risk and asset prices. (2023). Tamoni, Andrea ; Bandi, Federico M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001410.

Full description at Econpapers || Download paper

2023Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance. (2023). Umlandt, Dennis. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001641.

Full description at Econpapers || Download paper

2024Semi-parametric single-index predictive regression models with cointegrated regressors. (2024). GAO, Jiti ; Zhou, Weilun ; Kew, Hsein ; Harris, David. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002932.

Full description at Econpapers || Download paper

2024Mining the factor zoo: Estimation of latent factor models with sufficient proxies. (2024). Song, Rui ; Lu, Wenbin ; Li, Yingying ; Wan, Runzhe. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000179.

Full description at Econpapers || Download paper

2024Testing underidentification in linear models, with applications to dynamic panel and asset pricing models. (2024). Windmeijer, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s030440762100097x.

Full description at Econpapers || Download paper

2024Long-term dynamic asset allocation under asymmetric risk preferences. (2024). Pantelous, Athanasios A ; Kallinterakis, Vasileios ; Hwang, Soosung ; Kontosakos, Vasileios E. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:765-782.

Full description at Econpapers || Download paper

2023Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122.

Full description at Econpapers || Download paper

2023Expected returns and risk in the stock market. (2023). Taylor, Alex P ; Brennan, M J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:276-300.

Full description at Econpapers || Download paper

2023Cross-sectional uncertainty and expected stock returns. (2023). Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:321-340.

Full description at Econpapers || Download paper

2023Stock return predictability and cyclical movements in valuation ratios. (2023). Chen, LI ; Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:36-53.

Full description at Econpapers || Download paper

2023Automated stock picking using random forests. (2023). Breitung, Christian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:532-556.

Full description at Econpapers || Download paper

2023Macroeconomic news and price synchronicity. (2023). Wang, Qingwei ; Eshraghi, Arman ; Cheema, Arbab K. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:390-412.

Full description at Econpapers || Download paper

2024International asset pricing with heterogeneous agents: Estimation and inference. (2024). Tinang, Jules ; Tedongap, Romeo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001263.

Full description at Econpapers || Download paper

2024Carbon dioxide and asset pricing: Evidence from international stock markets. (2024). Lu, Andrea ; Liu, Jinyu ; Chen, Zhuo ; Tao, Libin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001287.

Full description at Econpapers || Download paper

2023Forecasting the real prices of crude oil: What is the role of parameter instability?. (2023). Wang, Yudong ; Hao, Xianfeng. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006120.

Full description at Econpapers || Download paper

2024Financial market development and corporate risk management: Evidence from Shanghai crude oil futures launched in China. (2024). Wu, Ji ; Chen, Longxuan ; Hao, Jing. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300748x.

Full description at Econpapers || Download paper

2024Factor models and investment strategies in the renewable energy sector. (2024). Miralles-Quiros, Maria Mar. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001919.

Full description at Econpapers || Download paper

2023A novel downside beta and expected stock returns. (2023). Liu, Jinjing. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004057.

Full description at Econpapers || Download paper

2023The calming effects of conflict: The impact of partisan conflict on market volatility. (2023). Fan, Zaifeng S ; Beyer, Deborah B. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004124.

Full description at Econpapers || Download paper

2023Unemployment beta and the cross-section of stock returns: Evidence from Australia. (2023). Huynh, Nhan. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000388.

Full description at Econpapers || Download paper

2023A conditional higher-moment CAPM. (2023). Tucker, Jon ; Guermat, Cherif ; Vendrame, Vasco. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000406.

Full description at Econpapers || Download paper

2023Long-term adjusted volatility: Powerful capability in forecasting stock market returns. (2023). Li, Yan ; Liu, Jing ; Qiu, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000467.

Full description at Econpapers || Download paper

2023Does foreign competition affect corporate debt maturity structure? Evidence from import penetration. (2023). Maghyereh, Aktham ; Atawna, Thaer ; Liu, Jia ; Zaman, Rashid ; Atawnah, Nader. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000558.

Full description at Econpapers || Download paper

2023Hidden Gem or Fool’s Gold: Can passive ESG ETFs outperform the benchmarks?. (2023). Zakriya, Mohammed ; Jarvinen, Jesse ; Dumitrescu, Ariadna. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s105752192300056x.

Full description at Econpapers || Download paper

2023ESG, risk, and (tail) dependence. (2023). Paterlini, Sandra ; Czado, Claudia ; Sahin, Ozge ; Bax, Karoline. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000297.

Full description at Econpapers || Download paper

2023Nonlinear asset pricing in Chinese stock market: A deep learning approach. (2023). Xie, Ying ; Wang, Yiming ; Long, Suwan ; Pan, Shuiyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001436.

Full description at Econpapers || Download paper

2023Precautionary motive or private benefit motive for holding cash: Evidence from CEO ownership. (2023). Zeng, Yeqin ; Yin, Chao ; Sun, Wenyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003368.

Full description at Econpapers || Download paper

2023When do investors go green? Evidence from a time-varying asset-pricing model. (2023). Panzica, Roberto ; Ossola, Elisa ; Alessi, Lucia. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004143.

Full description at Econpapers || Download paper

2024Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Ur, Mobeen ; Kashif, Muhammad ; Palwishah, Rana. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004350.

Full description at Econpapers || Download paper

2024Is downside risk priced in cryptocurrency market?. (2024). Dobrynskaya, Victoria. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004635.

Full description at Econpapers || Download paper

2024Stock price swings and fundamentals: The role of Knightian uncertainty. (2024). Mangee, Nicholas. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005033.

Full description at Econpapers || Download paper

2024Have shifts in investor tastes led the market portfolio to capture ESG preferences?. (2024). Alonso-Conde, Ana B ; Rojo-Suarez, Javier. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005355.

Full description at Econpapers || Download paper

2024Bank credit, consumption risk, and the cross-section of expected returns. (2024). Ho, JI. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000358.

Full description at Econpapers || Download paper

2024A consumption-based term structure model of bonds and equity. (2024). Suzuki, Masataka. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002424.

Full description at Econpapers || Download paper

2023When stock return synchronicity meets investor sentiment. (2023). Xing, Yao ; Li, Xiao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000296.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]		article62
2004Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption In: American Economic Review.
[Full Text][Citation analysis]		article408
2003Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 408		paper
2018Exchange-Traded Funds 101 for Economists In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article45
2018Exchange Traded Funds 101 For Economists.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		paper
2018Exchange Traded Funds 101 For Economists.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		paper
2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk In: Journal of Finance.
[Full Text][Citation analysis]		article1043
2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk.(2001) In: Scholarly Articles.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1043		paper
2000Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1043		paper
2001Consumption, Aggregate Wealth, and Expected Stock Returns In: Journal of Finance.
[Full Text][Citation analysis]		article988
1999Consumption, Aggregate Wealth and Expected Stock Returns.(1999) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 988		paper
1999Consumption, aggregate wealth and expected stock returns.(1999) In: Staff Reports.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 988		paper
2007Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium In: Journal of Finance.
[Full Text][Citation analysis]		article188
2005Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium.(2005) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 188		paper
2005Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 188		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 nother version. Agregated cites: 188		paper
2019Capital Share Risk in U.S. Asset Pricing In: Journal of Finance.
[Full Text][Citation analysis]		article16
2018Capital Share Risk in U.S. Asset Pricing.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2014Capital Share Risk in U.S. Asset Pricing.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2015Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
2015Origins of Stock Market Fluctuations In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper40
2014Origins of Stock Market Fluctuations.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2014The Origins of Stock Market Fluctuations.(2014) In: 2014 Meeting Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2017Monetary Policy and Asset Valuation In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper39
2018Monetary Policy and Asset Valuation.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2016Monetary Policy and Asset Valuation.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2018Estimating Latent Asset-Pricing Factors In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper40
2020Estimating latent asset-pricing factors.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		article
2018Estimating Latent Asset-Pricing Factors.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2018Factors that Fit the Time Series and Cross-Section of Stock Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper50
2018Factors that Fit the Time Series and Cross-Section of Stock Returns.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2020Factors That Fit the Time Series and Cross-Section of Stock Returns.(2020) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		article
2018Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
2018Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2019How the Wealth Was Won: Factor Shares as Market Fundamentals In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper20
2019How the Wealth Was Won: Factor Shares as Market Fundamentals.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
1997Preferences, Consumption Smoothing, and Risk Premia In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper14
1997Preferences, Consumption Smoothing and Risk Premia.(1997) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
1997Preferences, Consumption Smoothing and Risk Premia.(1997) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother 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.
[Full Text][Citation analysis]		paper6
2001Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?.(2001) In: Staff Reports.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
1998Inspecting the Mechanism: The Determination of Asset Prices in the Real Business Cycle Model In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper2
1998Dispersion and Volatility in Stock Returns: An Empirical Investigation In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper20
1999Dispersion and Volatility in Stock Returns: An Empirical Investigation.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2001Robustness of Adaptive Expectations as an Equilibrium Selection Device In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper24
2003ROBUSTNESS OF ADAPTIVE EXPECTATIONS AS AN EQUILIBRIUM SELECTION DEVICE.(2003) In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		article
1995Robustness of Adaptive Expections as an Equilibrium Selection Device..(1995) In: Tilburg - Center for Economic Research.
[Citation analysis]
This paper has nother version. Agregated cites: 24		paper
1995Robustness of adaptive expectations as an equilibrium selection device.(1995) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		paper
1995Robustness of adaptive expectations as an equilibrium selection device.(1995) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		paper
2001Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper68
2002Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment.(2002) In: Journal of Monetary Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 68		article
2001Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper12
2001Measuring and Modelling Variation in the Risk-Return Trade-off In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper4
2002Expected Returns and Expected Dividend Growth In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper180
2005Expected returns and expected dividend growth.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 180		article
2003Expected Returns and Expected Dividend Growth.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 180		paper
2005Euler Equation Errors In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper33
2005Euler Equation Errors.(2005) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2005Euler Equation Errors.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2009Euler Equation Errors.(2009) In: Review of Economic Dynamics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		article
2005Euler Equation Errors.(2005) In: 2005 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2005Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
2006The Declining Equity Premium: What Role Does Macroeconomic Risk Play? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper226
2005The declining equity premium: what role does macroeconomic risk play?.(2005) In: Proceedings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 226		article
2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 226		paper
2008The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2008) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 226		article
2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: 2004 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 226		paper
2013Conditional Risk Premia in Currency Markets and Other Asset Classes In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper184
2014Conditional risk premia in currency markets and other asset classes.(2014) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 184		article
2013Conditional Risk Premia in Currency Markets and Other Asset Classes.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 184		paper
2002THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article25
2003Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models In: Economic Journal.
[Full Text][Citation analysis]		article35
1997Explaining the facts with adaptive agents: The case of mutual fund flows In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article50
2005tays as good as cay: Reply In: Finance Research Letters.
[Full Text][Citation analysis]		article16
2001Statistical estimation and moment evaluation of a stochastic growth model with asset market restrictions In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article4
2011The term structures of equity and interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article85
2009The Term Structures of Equity and Interest Rates.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 85		paper
2002Monetary policy transmission through the consumption-wealth channel In: Economic Policy Review.
[Full Text][Citation analysis]		article67
2001A primer on the economics and time series econometrics of wealth effects: a comment In: Staff Reports.
[Full Text][Citation analysis]		paper10
1999Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying In: Staff Reports.
[Full Text][Citation analysis]		paper545
2001Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying.(2001) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 545		article
2013Shocks and Crashes In: NBER Chapters.
[Full Text][Citation analysis]		chapter38
2011Shocks and Crashes.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2014Shocks and Crashes.(2014) In: NBER Macroeconomics Annual.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		article
2006Reconciling the Return Predictability Evidence In: NBER Working Papers.
[Full Text][Citation analysis]		paper307
2008Reconciling the Return Predictability Evidence.(2008) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 307		article
2006Reconciling the Return Predictability Evidence.(2006) In: 2006 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 307		paper
2007Investor Information, Long-Run Risk, and the Term Structure of Equity In: NBER Working Papers.
[Full Text][Citation analysis]		paper77
2015Investor Information, Long-Run Risk, and the Term Structure of Equity.(2015) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 77		article
2022High-Dimensional Factor Models with an Application to Mutual Fund Characteristics In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2021High Dimensional Factor Models with an Application to Mutual Fund Characteristics.(2021) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2022Idiosyncratic Equity Risk Two Decades Later In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2023High-Dimensional Factor Models and the Factor Zoo In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
20243D-PCA: Factor Models with Restrictions In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2000Can Habit Formation be Reconciled with Business Cycle Facts? In: Review of Economic Dynamics.
[Full Text][Citation analysis]		article181
1995Can Habit Formation be Reconciled with Business Cycle Facts?.(1995) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 181		paper
1995Can Habit Formation be Reconciled with Business Cycle Facts?.(1995) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 181		paper
2006Investor Information, Long-Run Risk, and the Duration fo Risky Assets In: 2006 Meeting Papers.
[Full Text][Citation analysis]		paper10
2000LARGE NONPARAMETRIC ESTIMATION OF TIME VARYING CHARACTERISTICS OF INTERTEMPORAL ASSET PRICING MODELS In: Computing in Economics and Finance 2000.
[Citation analysis]		paper1
Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market In: Computing in Economics and Finance 1997.
[Full Text][Citation analysis]		paper6
2000Cross-variable restrictions in Euler equations and risk premia In: Applied Economics Letters.
[Full Text][Citation analysis]		article3
1995Rule of Thumb and Dynamic Programming In: Discussion Paper.
[Full Text][Citation analysis]		paper1
1995Rule of Thumb and Dynamic Programming.(1995) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
1997Comment on The Spirit of Capitalism and Stock Market Prices By G.S. Bakshi and Z. Chen (AER, 1996) In: Discussion Paper.
[Full Text][Citation analysis]		paper0
1997Comment on The Spirit of Capitalism and Stock Market Prices By G.S. Bakshi and Z. Chen (AER, 1996).(1997) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models In: IEW - Working Papers.
[Full Text][Citation analysis]		paper8

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team