Martin Lettau : Citation Profile


Are you Martin Lettau?

University of California-Berkeley

24

H index

34

i10 index

5135

Citations

RESEARCH PRODUCTION:

29

Articles

76

Papers

1

Chapters

RESEARCH ACTIVITY:

   29 years (1995 - 2024). See details.
   Cites by year: 177
   Journals where Martin Lettau has often published
   Relations with other researchers
   Recent citing documents: 221.    Total self citations: 44 (0.85 %)

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   Permalink: http://citec.repec.org/ple572
   Updated: 2024-07-05    RAS profile: 2023-02-24    
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Relations with other researchers


Works with:

Pelger, Markus (2)

Greenwald, Daniel (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 (46)

GUPTA, RANGAN (45)

Van Nieuwerburgh, Stijn (37)

Zhang, Lu (30)

Lustig, Hanno (30)

Pettenuzzo, Davide (29)

Nitschka, Thomas (28)

Hoffmann, Mathias (28)

Cites to:

Campbell, John (93)

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
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, 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.

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

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

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

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2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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

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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.

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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.

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

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

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

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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.

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

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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.

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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.

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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.

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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.

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2023.

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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.

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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.

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2023Anticipation in leisure—Effects on labor?leisure choice. (2023). Monteiro, Goncalo ; Escobarposada, Rolando ; Chatterjee, Bibaswan. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:2:p:384-412.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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). Alonso-Conde, Ana B ; Rojo-Suarez, Javier. 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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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.

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2023Realized semibetas and international stock return predictability. (2023). Perez, Fernando ; Herrerias, Renata ; Amaya, Diego ; Vasquez, Aurelio. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323010139.

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2023Financial indicators analysis using machine learning: Evidence from Chinese stock market. (2023). Long, Jun ; Yuan, Xianghui ; Zhao, Chencheng ; Guan, Bowen ; Jin, Liwei. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323009625.

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2023A Gordon growth formula for wealth-income ratios and its implications on cross-country differences. (2023). Nilsen, Jeffrey ; Kim, Daehwan. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323009819.

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2023How does a change in downside risk affect optimal demand for a risky asset?: Comparative statics on Tail Conditional Expectation. (2023). Nakamura, Kazuki. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010401.

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2024The ICAPM and empirical pricing factors: A simulation study. (2024). Sohn, Bumjean ; Ho, JI. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012084.

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2024The impact of the war in Ukraine on the idiosyncratic risk and the market risk. (2024). le Saout, Erwan ; Soliman, Alain. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012679.

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2023Investor sentiment, style investing, and momentum. (2023). Harper, Adam ; Hao, Grace Qing ; Ashour, Samar. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000477.

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2023Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation. (2023). Faias, Jose Afonso. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000593.

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2023The Bank of Japans equity purchases and stock illiquidity. (2023). Yamada, Kazuo ; Takahashi, Hidenori ; Leung, Woon Sau ; el Kalak, Izidin. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s138641812200060x.

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2023Profitability anomaly and aggregate volatility risk. (2023). Barinov, Alexander. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000714.

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2023Equity premium prediction: The role of information from the options market. (2023). Voukelatos, Nikolaos ; Panopoulou, Ekaterini ; Apergis, Iraklis ; Alexandridis, Antonios K. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000908.

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2023Investor information and bank instability during the European debt crisis. (2023). Ross, Chase P ; Iorgova, Silvia. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308922001218.

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2023Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S.. (2023). Jiang, Cheng ; Chauvet, Marcelle. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000989.

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2023Market risks that change US-European equity correlations. (2023). Sarwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122002037.

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2023Recency bias and the cross-section of international stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000069.

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

Works by Martin Lettau:


YearTitleTypeCited
1999Rules of Thumb versus Dynamic Programming In: American Economic Review.
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article62
2004Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption In: American Economic Review.
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article407
2003Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption.(2003) In: NBER Working Papers.
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2018Exchange-Traded Funds 101 for Economists In: Journal of Economic Perspectives.
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article40
2018Exchange Traded Funds 101 For Economists.(2018) In: CEPR Discussion Papers.
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2018Exchange Traded Funds 101 For Economists.(2018) In: NBER Working Papers.
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2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk In: Journal of Finance.
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2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk.(2001) In: Scholarly Articles.
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paper
2000Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk.(2000) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 1034
paper
2001Consumption, Aggregate Wealth, and Expected Stock Returns In: Journal of Finance.
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article981
1999Consumption, Aggregate Wealth and Expected Stock Returns.(1999) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 981
paper
1999Consumption, aggregate wealth and expected stock returns.(1999) In: Staff Reports.
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This paper has nother version. Agregated cites: 981
paper
2007Why Is Long?Horizon Equity Less Risky? A Duration?Based Explanation of the Value Premium In: Journal of Finance.
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article187
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 nother version. Agregated cites: 187
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 nother version. Agregated cites: 187
paper
2005Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium.(2005) In: 2005 Meeting Papers.
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This paper has nother version. Agregated cites: 187
paper
2019Capital Share Risk in U.S. Asset Pricing In: Journal of Finance.
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article15
2018Capital Share Risk in U.S. Asset Pricing.(2018) In: CEPR Discussion Papers.
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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: 15
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2015Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing In: CEPR Discussion Papers.
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paper1
2015Origins of Stock Market Fluctuations In: CEPR Discussion Papers.
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paper40
2014Origins of Stock Market Fluctuations.(2014) In: NBER Working Papers.
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paper
2014The Origins of Stock Market Fluctuations.(2014) In: 2014 Meeting Papers.
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paper
2017Monetary Policy and Asset Valuation In: CEPR Discussion Papers.
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paper39
2018Monetary Policy and Asset Valuation.(2018) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 39
paper
2016Monetary Policy and Asset Valuation.(2016) In: NBER Working Papers.
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paper
2018Estimating Latent Asset-Pricing Factors In: CEPR Discussion Papers.
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paper38
2020Estimating latent asset-pricing factors.(2020) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 38
article
2018Estimating Latent Asset-Pricing Factors.(2018) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 38
paper
2018Factors that Fit the Time Series and Cross-Section of Stock Returns In: CEPR Discussion Papers.
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paper45
2018Factors that Fit the Time Series and Cross-Section of Stock Returns.(2018) In: NBER Working Papers.
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paper
2020Factors That Fit the Time Series and Cross-Section of Stock Returns.(2020) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 45
article
2018Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? In: CEPR Discussion Papers.
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paper6
2018Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?.(2018) In: NBER Working Papers.
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2019How the Wealth Was Won: Factor Shares as Market Fundamentals In: CEPR Discussion Papers.
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paper20
2019How the Wealth Was Won: Factors Shares as Market Fundamentals.(2019) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 20
paper
1997Preferences, Consumption Smoothing, and Risk Premia In: CEPR Discussion Papers.
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paper14
1997Preferences, Consumption Smoothing and Risk Premia.(1997) In: Discussion Paper.
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This paper has nother version. Agregated cites: 14
paper
1997Preferences, Consumption Smoothing and Risk Premia.(1997) In: Other publications TiSEM.
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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.
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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 nother 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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paper2
1998Dispersion and Volatility in Stock Returns: An Empirical Investigation In: CEPR Discussion Papers.
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paper20
1999Dispersion and Volatility in Stock Returns: An Empirical Investigation.(1999) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 20
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2001Robustness of Adaptive Expectations as an Equilibrium Selection Device In: CEPR Discussion Papers.
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paper23
2003ROBUSTNESS OF ADAPTIVE EXPECTATIONS AS AN EQUILIBRIUM SELECTION DEVICE.(2003) In: Macroeconomic Dynamics.
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article
1995Robustness of Adaptive Expections as an Equilibrium Selection Device..(1995) In: Tilburg - Center for Economic Research.
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paper
1995Robustness of adaptive expectations as an equilibrium selection device.(1995) In: Discussion Paper.
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This paper has nother version. Agregated cites: 23
paper
1995Robustness of adaptive expectations as an equilibrium selection device.(1995) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 23
paper
2001Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment In: CEPR Discussion Papers.
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paper67
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 nother version. Agregated cites: 67
article
2001Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption In: CEPR Discussion Papers.
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paper12
2001Measuring and Modelling Variation in the Risk-Return Trade-off In: CEPR Discussion Papers.
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paper4
2002Expected Returns and Expected Dividend Growth In: CEPR Discussion Papers.
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paper178
2005Expected returns and expected dividend growth.(2005) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 178
article
2003Expected Returns and Expected Dividend Growth.(2003) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 178
paper
2005Euler Equation Errors In: CEPR Discussion Papers.
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paper33
2005Euler Equation Errors.(2005) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 33
paper
2005Euler Equation Errors.(2005) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 33
paper
2009Euler Equation Errors.(2009) In: Review of Economic Dynamics.
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This paper has nother version. Agregated cites: 33
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2005Euler Equation Errors.(2005) In: 2005 Meeting Papers.
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This paper has nother version. Agregated cites: 33
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2005Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability In: CEPR Discussion Papers.
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paper1
2006The Declining Equity Premium: What Role Does Macroeconomic Risk Play? In: CEPR Discussion Papers.
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paper223
2005The declining equity premium: what role does macroeconomic risk play?.(2005) In: Proceedings.
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2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 223
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2008The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2008) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 223
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2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: 2004 Meeting Papers.
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paper
2013Conditional Risk Premia in Currency Markets and Other Asset Classes In: CEPR Discussion Papers.
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paper180
2014Conditional risk premia in currency markets and other asset classes.(2014) In: Journal of Financial Economics.
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2013Conditional Risk Premia in Currency Markets and Other Asset Classes.(2013) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 180
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2002THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH In: Macroeconomic Dynamics.
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article23
2003Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models In: Economic Journal.
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article34
1997Explaining the facts with adaptive agents: The case of mutual fund flows In: Journal of Economic Dynamics and Control.
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article50
2005tays as good as cay: Reply In: Finance Research Letters.
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article16
2001Statistical estimation and moment evaluation of a stochastic growth model with asset market restrictions In: Journal of Economic Behavior & Organization.
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article4
2011The term structures of equity and interest rates In: Journal of Financial Economics.
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article84
2009The Term Structures of Equity and Interest Rates.(2009) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 84
paper
2002Monetary policy transmission through the consumption-wealth channel In: Economic Policy Review.
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article67
2001A primer on the economics and time series econometrics of wealth effects: a comment In: Staff Reports.
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paper10
1999Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying In: Staff Reports.
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paper540
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 nother version. Agregated cites: 540
article
2013Shocks and Crashes In: NBER Chapters.
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chapter38
2011Shocks and Crashes.(2011) In: NBER Working Papers.
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paper
2014Shocks and Crashes.(2014) In: NBER Macroeconomics Annual.
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This paper has nother version. Agregated cites: 38
article
2006Reconciling the Return Predictability Evidence In: NBER Working Papers.
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paper304
2008Reconciling the Return Predictability Evidence.(2008) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 304
article
2006Reconciling the Return Predictability Evidence.(2006) In: 2006 Meeting Papers.
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This paper has nother version. Agregated cites: 304
paper
2007Investor Information, Long-Run Risk, and the Term Structure of Equity In: NBER Working Papers.
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paper77
2015Investor Information, Long-Run Risk, and the Term Structure of Equity.(2015) In: The Review of Financial Studies.
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2022High-Dimensional Factor Models with an Application to Mutual Fund Characteristics In: NBER Working Papers.
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paper0
2021High Dimensional Factor Models with an Application to Mutual Fund Characteristics.(2021) In: MPRA Paper.
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2022Idiosyncratic Equity Risk Two Decades Later In: NBER Working Papers.
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paper3
2023High-Dimensional Factor Models and the Factor Zoo In: NBER Working Papers.
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20243D-PCA: Factor Models with Restrictions In: NBER Working Papers.
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paper0
2000Can Habit Formation be Reconciled with Business Cycle Facts? In: Review of Economic Dynamics.
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article178
1995Can Habit Formation be Reconciled with Business Cycle Facts?.(1995) In: Discussion Paper.
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1995Can Habit Formation be Reconciled with Business Cycle Facts?.(1995) In: Other publications TiSEM.
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2006Investor Information, Long-Run Risk, and the Duration fo Risky Assets In: 2006 Meeting Papers.
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2000LARGE NONPARAMETRIC ESTIMATION OF TIME VARYING CHARACTERISTICS OF INTERTEMPORAL ASSET PRICING MODELS In: Computing in Economics and Finance 2000.
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Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market In: Computing in Economics and Finance 1997.
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2000Cross-variable restrictions in Euler equations and risk premia In: Applied Economics Letters.
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1995Rule of Thumb and Dynamic Programming In: Discussion Paper.
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1995Rule of Thumb and Dynamic Programming.(1995) In: Other publications TiSEM.
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1997Comment on The Spirit of Capitalism and Stock Market Prices By G.S. Bakshi and Z. Chen (AER, 1996) In: Discussion Paper.
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1997Comment on The Spirit of Capitalism and Stock Market Prices By G.S. Bakshi and Z. Chen (AER, 1996).(1997) In: Other publications TiSEM.
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Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models In: IEW - Working Papers.
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