Martin Lettau : Citation Profile

University of California-Berkeley

25

H index

34

i10 index

5431

Citations

RESEARCH PRODUCTION:

29

Articles

77

Papers

1

Chapters

RESEARCH ACTIVITY:

   29 years (1995 - 2024). See details.
   Cites by year: 187
   Journals where Martin Lettau has often published
   Relations with other researchers
   Recent citing documents: 245.    Total self citations: 44 (0.8 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple572
   Updated: 2025-11-08    RAS profile: 2023-02-24    
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Relations with other researchers

Works with:

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:

Sousa, Ricardo (52)

Marfe, Roberto (51)

Weber, Michael (49)

Guo, Hui (49)

GUPTA, RANGAN (46)

Van Nieuwerburgh, Stijn (38)

Lustig, Hanno (30)

Zhang, Lu (30)

Pettenuzzo, Davide (29)

Hoffmann, Mathias (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)

Van Nieuwerburgh, Stijn (14)

Constantinides, George (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
American Economic Review2
Macroeconomic Dynamics2
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, Inc25
Staff Reports / Federal Reserve Bank of New York4
2006 Meeting Papers / Society for Economic Dynamics2
2005 Meeting Papers / Society for Economic Dynamics2

Recent works citing Martin Lettau (2025 and 2024)

YearTitle of citing document
2025Coarse Categories in a Complex World. (2025). Sammon, Marco ; Roth, Christopher ; Graeber, Thomas. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:364.

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2025Joint News, Attention Spillover,and Market Returns. (2022). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2024Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2024). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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2024Missing Values Handling for Machine Learning Portfolios. (2024). McCoy, Jack ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2207.13071.

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2025Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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

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2024Markowitz Portfolio Construction at Seventy. (2024). Schmelzer, Thomas ; Boyd, Stephen ; Kahn, Ronald ; Schiele, Philipp ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2401.05080.

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2024Dynamic Programming: Finite States. (2024). Sargent, Thomas ; Stachurski, John. In: Papers. RePEc:arx:papers:2401.10473.

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2024Reference-dependent asset pricing with a stochastic consumption-dividend ratio. (2024). Yang, Yuting ; He, Xuedong ; Strub, Moris Simon ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:2401.12856.

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2025Sparse Asymptotic PCA: Identifying Sparse Latent Factors Across Time Horizon. (2025). Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2407.09738.

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2024NeuralBeta: Estimating Beta Using Deep Learning. (2024). Liu, Yuxin ; Lin, Jimin ; Gopal, Achintya. In: Papers. RePEc:arx:papers:2408.01387.

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2024Modeling coskewness with zero correlation and correlation with zero coskewness. (2024). Vanduffel, Steven ; Chen, Jinghui ; Bernard, Carole. In: Papers. RePEc:arx:papers:2412.13362.

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2025Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study. (2024). Yu, Xun ; Jia, Yanwei ; Huang, Yilie. In: Papers. RePEc:arx:papers:2412.16175.

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2025Robust Quantile Factor Analysis. (2025). Feng, Junlong ; Chen, Songnian. In: Papers. RePEc:arx:papers:2501.15761.

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2025Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

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2025Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure. (2025). Zhang, Ruixun ; Xu, Yumin ; Chen, Minshuo. In: Papers. RePEc:arx:papers:2504.06566.

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2025Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks. (2025). Lai, Shanyan. In: Papers. RePEc:arx:papers:2505.01921.

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2025Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation. (2025). Fabozzi, Frank J ; Rachev, Svetlozar T ; Jha, Ayush ; Shirvani, Abootaleb ; Jaffri, Ali. In: Papers. RePEc:arx:papers:2505.12198.

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2025Winners vs. Losers: Momentum-based Strategies with Intertemporal Choice for ESG Portfolios. (2025). Jha, Ayush ; Rachev, Svetlozar T ; Fabozzi, Frank J ; Jaffri, Ali ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2505.24250.

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2025Residual Income Valuation and Stock Returns: Evidence from a Value-to-Price Investment Strategy. (2025). Haboub, Ahmad ; Kartsaklas, Aris ; Sarafidis, Vasilis. In: Papers. RePEc:arx:papers:2506.00206.

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2025Single-Index Quantile Factor Model with Observed Characteristics. (2025). Fan, Qingliang ; Xu, Ruofan. In: Papers. RePEc:arx:papers:2506.19586.

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2025Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach. (2025). Sarafidis, Vasilis ; Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios ; Kapetanios, George. In: Papers. RePEc:arx:papers:2506.21100.

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2025How weak are weak factors? Uniform inference for signal strength in signal plus noise models. (2025). Sodin, Sasha ; Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2507.18554.

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2025Mean-tail Gini framework for optimal portfolio selection. (2025). Shanthirajah, Judeto ; Ricci, Stephano ; Furman, Edward ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2509.17225.

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2025Cryptocurrency as an Investable Asset Class: Coming of Age. (2025). Wu, XI ; Borri, Nicola ; Tsyvinski, Aleh ; Liu, Yukun. In: Papers. RePEc:arx:papers:2510.14435.

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2025Systemic Climate Risk. (2025). Jourde, Tristan ; Moreaux, Quentin. In: Working papers. RePEc:bfr:banfra:993.

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2024Inequality and the zero lower bound. (2024). Rachedi, Omar ; Nuño Barrau, Galo ; Fernandez-Villaverde, Jesus ; Marbet, Joel. In: BIS Working Papers. RePEc:bis:biswps:1160.

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2024Market power and systematic risk. (2024). Prokopczuk, Marcel ; Hollstein, Fabian ; Wursig, Christoph Matthias. In: Financial Management. RePEc:bla:finmgt:v:53:y:2024:i:2:p:233-266.

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2024Non‐Fungible Tokens (NFTs): A Review of Pricing Determinants, Applications and Opportunities. (2024). Kräussl, Roman ; Krussl, Roman ; Tugnetti, Alessandro. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:2:p:555-574.

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2024Measuring “Dark Matter” in Asset Pricing Models. (2024). Dou, Winston ; Kogan, Leonid ; Chen, Hui. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:843-902.

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2024Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect. (2024). Caballero, Ricardo ; Simsek, Alp. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:1719-1753.

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2024What Drives Variation in the U.S. Debt‐to‐Output Ratio? The Dogs that Did not Bark. (2024). Van Nieuwerburgh, Stijn ; Xiaolan, Mindy Z ; Lustig, Hanno ; Jiang, Zhengyang. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2603-2665.

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2024Bonds versus Equities: Information for Investment. (2024). Chang, Huifeng ; Eisfeldt, Andrea L ; D'Avernas, Adrien. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:3893-3941.

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2024Equity Term Structures without Dividend Strips Data. (2024). Kozak, Serhiy ; Kelly, Bryan ; Giglio, Stefano. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:4143-4196.

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2024Corporate cash holdings and industry risk. (2024). Lee, Jinsook. In: Journal of Financial Research. RePEc:bla:jfnres:v:47:y:2024:i:2:p:435-470.

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2024The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China. (2024). Yu, Jun ; Chen, Chuanglian ; Zeng, Tao ; Liu, Xiaobin. In: Working Papers. RePEc:boa:wpaper:202421.

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2024Time-varying Investment Dynamics in the USA. (2024). Mendieta-Muñoz, Ivan. In: Economics - The Open-Access, Open-Assessment Journal. RePEc:bpj:econoa:v:18:y:2024:i:1:p:18:n:1035.

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2025The Interest Rate Effects of Government Debt Maturity: Solving the Bond Conundrum. (2025). Chadha, Jagjit ; Zampolli, F ; Turner, P. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2519.

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2025ETF (Mis)pricing. (2025). Kraus, W ; Kirilenko, A ; Xiao, M ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2537.

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2025Single-Index Quantile Factor Model with Observed Characteristics. (2025). Xu, R ; Fan, Q. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2562.

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2025The Interest Rate Effects of Government Debt Maturity: Solving the Bond Conundrum. (2025). Chadha, Jagjit ; Turner, P ; Zampolli, F. In: Janeway Institute Working Papers. RePEc:cam:camjip:2511.

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2025ETF (Mis)pricing. (2025). Kirilenko, A ; Kraus, W ; Xiao, M ; Linton, O B. In: Janeway Institute Working Papers. RePEc:cam:camjip:2515.

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2025Single-Index Quantile Factor Model with Observed Characteristics. (2025). Xu, R ; Fan, Q. In: Janeway Institute Working Papers. RePEc:cam:camjip:2524.

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2025Star-struck; Monetary Policy and the Neutral Rate. (2025). Garabedian, Garo. In: Research Technical Papers. RePEc:cbi:wpaper:4/rt/25.

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2024Dynamic Equity Slope. (2024). Colonnello, Stefano ; Marfe, Roberto ; Breugem, Matthijs ; Zucchi, Francesca. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:713.

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2024Machine Learning for Continuous-Time Finance. (2024). Duarte, Victor ; Silva, Dejanir H. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10909.

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2024Financial Education or Incentivizing Learning-by-Doing? Evidence from an RCT with Undergraduate Students. (2024). Kaiser, Tim ; Oberrauch, Luis. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11187.

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2024Green Stocks and Monetary Policy Shocks: Evidence from Europe. (2024). Bauer, Michael ; Rudebusch, Glenn D ; Offner, Eric A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11552.

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2025Sovereign vs. Corporate Debt and Default: More Similar than You Think. (2025). Trebesch, Christoph ; Gopinath, Gita ; Meyer, Josefin ; Reinhart, Carmen. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11799.

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2025Coarse Categories in a Complex World. (2025). Graeber, Thomas W ; Sammon, Marco ; Roth, Christopher. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12032.

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2024Sovereign vs. Corporate Debt and Default: More Similar than You Think. (2024). Reinhart, Carmen ; Meyer, Josefin ; Gopinath, Gita ; Trebesch, Christoph. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2097.

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2024Households response to the wealth effects of inflation. (2024). Weber, Michael ; Schnorpfeil, Philip ; Hackethal, Andreas. In: Working Paper Series. RePEc:ecb:ecbwps:20242904.

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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.

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2024Financial Education or Incentivizing Learning-By-Doing? Evidence from an RCT with Undergraduate Students. (2024). Kaiser, Tim ; Oberrauch, Luis. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000698.

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202470 years of US corporate profits. (2024). Barkai, Simcha ; Benzell, Seth G. In: Journal of Corporate Finance. RePEc:eee:corfin:v:87:y:2024:i:c:s0929119924000841.

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2024Long-term institutional investors and climate change news Beta. (2024). Hossain, Ashrafee ; Benkraiem, Ramzi ; Masum, Abdullah-Al. In: Journal of Corporate Finance. RePEc:eee:corfin:v:89:y:2024:i:c:s092911992400155x.

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2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Li, Junye ; Zinna, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x.

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2024Energy transitions across household distributions in northern India. (2024). Nepal, Rabindra ; Best, Rohan ; Nibedita, Barsha. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:83:y:2024:i:c:p:1151-1163.

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2024Financial stability policy and downside risk in stock returns. (2024). Yang, Jianlei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001219.

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2024Utility-implied term structures of equity risk premia. (2024). Piccotti, Louis R. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524004312.

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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.

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

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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.

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2024Target PCA: Transfer learning large dimensional panel data. (2024). Pelger, Markus ; Duan, Junting ; Xiong, Ruoxuan. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407623002373.

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2024Estimating and testing for smooth structural changes in moment condition models. (2024). Li, Haiqi ; Zhou, Jin ; Hong, Yongmiao. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002471.

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2025Spanning latent and observable factors. (2025). Gagliardini, P ; Ghysels, E ; Rubin, M ; Andreou, E. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000897.

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2025Uncovering asset market participation from household consumption and income. (2025). Czellar, Veronika ; le Grand, Franois ; Garcia, Ren. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002124.

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2025Long-run risk in stationary vector autoregressive models. (2025). Jasiak, Joann ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002562.

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2025Inequality and the zero lower bound. (2025). Rachedi, Omar ; Fernandez-Villaverde, Jesus ; Fernndez-Villaverde, Jess ; Marbet, Jol ; Nuo, Galo. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624001647.

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2025Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches. (2025). Hull, Isaiah ; Bertsch, Christoph ; Lumsdaine, Robin L ; Zhang, Xin. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407625000028.

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2024The pure benefit of risk in production: real options in general equilibrium. (2024). Mandler, Michael. In: European Economic Review. RePEc:eee:eecrev:v:168:y:2024:i:c:s0014292124000461.

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2024The asymmetric effects of monetary policy on stock price bubbles. (2024). Labondance, Fabien ; Hubert, Paul ; Blot, Christophe. In: European Economic Review. RePEc:eee:eecrev:v:168:y:2024:i:c:s0014292124001533.

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2025Time-varying stock return correlation, news shocks, and business cycles. (2025). Metiu, Norbert ; Prieto, Esteban. In: European Economic Review. RePEc:eee:eecrev:v:172:y:2025:i:c:s0014292124002459.

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

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2025Predictive distributions and the market return: The role of market illiquidity. (2025). Ellington, Michael ; Kalli, Maria. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:1:p:309-322.

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2024Heterogeneous uncertainty matters! Evidence based on firms cost management decisions. (2024). Yuan, XI ; Li, LU ; Yang, Guochao ; Wei, Shuang. In: Emerging Markets Review. RePEc:eee:ememar:v:63:y:2024:i:c:s1566014124001055.

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

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

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2024Local predictability of stock returns and cash flows. (2024). Chen, LI ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000203.

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2024The risk–return tradeoff among equity factors. (2024). Barroso, Pedro ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000537.

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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

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2024Big portfolio selection by graph-based conditional moments method. (2024). Zhu, Zhoufan ; Zhang, Ningning. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000689.

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2024Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA. (2024). Zhou, Guofu ; Lu, Yueliang ; Han, Yufeng ; Xu, Weike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000720.

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2024A comparison of factor models in China. (2024). Wang, Jinzhe ; Zhu, Yifeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000823.

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2025Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects. (2025). Cheng, Mingmian ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001099.

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2025A system of time-varying models for predictive regressions. (2025). Yan, Yayi ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000441.

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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.

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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.

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2024Monetary policy uncertainty and the price bubbles in energy markets. (2024). Cao, Yang ; Yang, Jinyu ; Dong, Dayong ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002111.

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2024Exploring the risk dynamics of US green energy stocks: A green time-varying beta approach. (2024). Chakrabarti, Gagari ; Sen, Chitrakalpa. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006595.

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2025Performance of energy ETFs and climate risks. (2025). Nguyen, Minh Nhat ; Li, Youwei ; Liu, Rui Peng. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007400.

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2025In the shadows of opacity: Firm information quality and latent factor model performance. (2025). Zhang, Guanglong ; Wang, Chuyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000572.

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

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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.

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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.

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

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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.

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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.

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2024From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns. (2024). Zhu, Lin ; Tang, Guohao ; Jiang, Fuwei ; Jin, Fujing. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s105752192400365x.

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2024Risks of heterogeneously persistent higher moments. (2024). Baruník, Jozef ; Kurka, Josef ; Barunk, Jozef. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005052.

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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.
[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]		article416
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: 416		paper
2018Exchange-Traded Funds 101 for Economists In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article53
2018Exchange Traded Funds 101 For Economists.(2018) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 53		paper
2018Exchange Traded Funds 101 For Economists.(2018) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 53		paper
2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk In: Journal of Finance.
[Full Text][Citation analysis]		article1080
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: 1080		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: 1080		paper
2001Consumption, Aggregate Wealth, and Expected Stock Returns In: Journal of Finance.
[Full Text][Citation analysis]		article1016
1999Consumption, Aggregate Wealth and Expected Stock Returns.(1999) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 1016		paper
1999Consumption, aggregate wealth and expected stock returns.(1999) In: Staff Reports.
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This paper has nother version. Agregated cites: 1016		paper
2007Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium In: Journal of Finance.
[Full Text][Citation analysis]		article199
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: 199		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: 199		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: 199		paper
2019Capital Share Risk in U.S. Asset Pricing In: Journal of Finance.
[Full Text][Citation analysis]		article19
2018Capital Share Risk in U.S. Asset Pricing.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2014Capital Share Risk in U.S. Asset Pricing.(2014) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 19		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]		paper41
2014Origins of Stock Market Fluctuations.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		paper
2014The Origins of Stock Market Fluctuations.(2014) In: 2014 Meeting Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 41		paper
2017Monetary Policy and Asset Valuation In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper75
2018Monetary Policy and Asset Valuation.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 75		paper
2016Monetary Policy and Asset Valuation.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 75		paper
2018Estimating Latent Asset-Pricing Factors In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper48
2020Estimating latent asset-pricing factors.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 48		article
2018Estimating Latent Asset-Pricing Factors.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 48		paper
2018Factors that Fit the Time Series and Cross-Section of Stock Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper69
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: 69		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: 69		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]		paper21
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: 21		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]		paper19
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: 19		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]		paper72
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: 72		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]		paper183
2005Expected returns and expected dividend growth.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 183		article
2003Expected Returns and Expected Dividend Growth.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 183		paper
2005Euler Equation Errors In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper34
2005Euler Equation Errors.(2005) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2005Euler Equation Errors.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2009Euler Equation Errors.(2009) In: Review of Economic Dynamics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		article
2005Euler Equation Errors.(2005) In: 2005 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		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]		paper231
2005The declining equity premium: what role does macroeconomic risk play?.(2005) In: Proceedings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 231		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: 231		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: 231		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: 231		paper
2013Conditional Risk Premia in Currency Markets and Other Asset Classes In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper203
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: 203		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: 203		paper
2002THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article26
2003Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models In: Economic Journal.
[Full Text][Citation analysis]		article38
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]		article89
2009The Term Structures of Equity and Interest Rates.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 89		paper
2002Monetary policy transmission through the consumption-wealth channel In: Economic Policy Review.
[Full Text][Citation analysis]		article69
2001A primer on the economics and time series econometrics of wealth effects: a comment In: Staff Reports.
[Full Text][Citation analysis]		paper14
1999Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying In: Staff Reports.
[Full Text][Citation analysis]		paper559
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: 559		article
2013Shocks and Crashes In: NBER Chapters.
[Full Text][Citation analysis]		chapter39
2011Shocks and Crashes.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2014Shocks and Crashes.(2014) In: NBER Macroeconomics Annual.
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This paper has nother version. Agregated cites: 39		article
2006Reconciling the Return Predictability Evidence In: NBER Working Papers.
[Full Text][Citation analysis]		paper314
2008Reconciling the Return Predictability Evidence.(2008) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 314		article
2006Reconciling the Return Predictability Evidence.(2006) In: 2006 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 314		paper
2007Investor Information, Long-Run Risk, and the Term Structure of Equity In: NBER Working Papers.
[Full Text][Citation analysis]		paper79
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: 79		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.
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This paper has nother version. Agregated cites: 0		paper
2022Idiosyncratic Equity Risk Two Decades Later In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
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
2024Glass Box Machine Learning and Corporate Bond Returns In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2000Can Habit Formation be Reconciled with Business Cycle Facts? In: Review of Economic Dynamics.
[Full Text][Citation analysis]		article185
1995Can Habit Formation be Reconciled with Business Cycle Facts?.(1995) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 185		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: 185		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.
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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

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