Martin Lettau : Citation Profile

University of California-Berkeley

25

H index

34

i10 index

5289

Citations

RESEARCH PRODUCTION:

29

Articles

77

Papers

1

Chapters

RESEARCH ACTIVITY:

   29 years (1995 - 2024). See details.
   Cites by year: 182
   Journals where Martin Lettau has often published
   Relations with other researchers
   Recent citing documents: 154.    Total self citations: 44 (0.83 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple572
   Updated: 2025-04-19    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:

Marfe, Roberto (51)

Guo, Hui (49)

Sousa, Ricardo (48)

Weber, Michael (48)

GUPTA, RANGAN (45)

Van Nieuwerburgh, Stijn (38)

Lustig, Hanno (30)

Zhang, Lu (30)

Pettenuzzo, Davide (29)

Nitschka, Thomas (28)

Hoffmann, Mathias (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

Production by document typechapterpaperarticle199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300400Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year1995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240k1k2k3kCitations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 25Most cited documents12345678910111213141516171819202122232425262705001,0001,500Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Martin Lettau has published?

Journals with more than one article published# docs
The Review of Financial Studies4
Journal of Finance4
Journal of Financial Economics3
Review of Economic Dynamics2
Macroeconomic Dynamics2
American Economic Review2

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
2005 Meeting Papers / Society for Economic Dynamics2
2006 Meeting Papers / Society for Economic Dynamics2

Recent works citing Martin Lettau (2025 and 2024)

Year  ↓Title of citing document  ↓
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.

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

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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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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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2024Mean--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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2024.

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2024Measuring “Dark Matter” in Asset Pricing Models. (2024). Dou, Winston ; Chen, Hui ; Kogan, Leonid. 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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2024.

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

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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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2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Zinna, Gabriele ; Li, Junye. 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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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). Song, Rui ; Lu, Wenbin ; Li, Yingying ; Wan, Runzhe. 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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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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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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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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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). Rubesam, Alexandre ; Branco, Rafael R ; Zevallos, Mauricio. 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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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 ; Liang, Chao ; Dong, Dayong ; Yang, Jinyu. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002111.

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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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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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2024Sovereign momentum currency returns. (2024). Lin, Ming-Tsung ; Calice, Giovanni. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924004046.

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2024Heterogeneous impacts of multiple climate policies on the chinese stock market. (2024). Chen, Yunyue ; Zeng, Zheyu. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323011881.

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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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2024Potential pricing factors in the Korean market. (2024). Kang, Yeonchan ; Bang, Jeongseok ; Ryu, Doojin. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009760.

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2024Risk spillovers and optimal hedging in commodity ETFs: A TVP-VAR Approach. (2024). Vasileiou, Evangelos ; Malhotra, Davinder ; Hadad, Elroi. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324014016.

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2024The volatility of stock investor returns. (2024). Zheng, Xin ; Dichev, Ilia D. In: Journal of Financial Markets. RePEc:eee:finmar:v:70:y:2024:i:c:s1386418124000454.

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2024Greenhouse gas emissions and the stability of equity markets. (2024). Wu, Zhenyu ; Jacoby, Gady ; Baig, Ahmed S ; Aharon, David Y. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000180.

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2024Forecasting the equity premium with frequency-decomposed technical indicators. (2024). Stein, Tobias. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:6-28.

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2024Geopolitical risk and currency returns. (2024). Zhang, Xueyong ; Liu, XI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000177.

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2024Multifactor conditional equity premium model: Evidence from Chinas stock market. (2024). Shi, Yongdong ; Guo, Hui ; Cheng, Hang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000372.

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2024Discount rates and cash flows: A local projection approach. (2024). Lof, Matthijs ; Nyberg, Henri. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000475.

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2024On the economic implications of international travel restrictions: Evidence from Chinese MNEs’ firm value. (2024). Chen, Daniel Q ; Zhang, Hengyuan ; Liu, YI. In: Journal of Business Research. RePEc:eee:jbrese:v:170:y:2024:i:c:s0148296323007130.

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2024Disaster learning and aggregate investment. (2024). Zou, Zhentao ; Niu, Yingjie ; Yang, Jinqiang. In: Journal of Economic Theory. RePEc:eee:jetheo:v:220:y:2024:i:c:s0022053124000784.

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2024The use of asset growth in empirical asset pricing models. (2024). Ion, Mihai ; Gulen, Huseyin ; Cooper, Michael. In: Journal of Financial Economics. RePEc:eee:jfinec:v:151:y:2024:i:c:s0304405x23001861.

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2024Learning about the consumption risk exposure of firms. (2024). Li, Kai ; Kuehn, Lars-Alexander ; Kim, Yongjin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:152:y:2024:i:c:s0304405x2300199x.

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2024Persistent and transitory components of firm characteristics: Implications for asset pricing. (2024). Tamoni, Andrea ; Boons, Martijn ; Baba-Yara, Fahiz. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400031x.

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2024Missing values handling for machine learning portfolios. (2024). McCoy, Jack ; Chen, Andrew Y. In: Journal of Financial Economics. RePEc:eee:jfinec:v:155:y:2024:i:c:s0304405x24000382.

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2024Conditional risk. (2024). Gormsen, Niels ; Jensen, Christian Skov. In: Journal of Financial Economics. RePEc:eee:jfinec:v:162:y:2024:i:c:s0304405x24001569.

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2024Cross-momentum strategies in the equity futures and currency markets. (2024). Sakemoto, Ryuta ; Iwanaga, Yasuhiro. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:148:y:2024:i:c:s0261560624001578.

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2024Does sustainability improve financial performance? An analysis of Latin American oil and gas firms. (2024). Gonzalez-Ruiz, Juan David ; Alonso-Conde, Ana B ; Rojo-Suarez, Javier. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011959.

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2024Why do rational investors like variance at the peak of a crisis? A learning-based explanation. (2024). Seo, Sang Byung ; Kilic, Mete ; Ghaderi, Mohammad. In: Journal of Monetary Economics. RePEc:eee:moneco:v:142:y:2024:i:c:s0304393223001009.

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2024Parameter learning in production economies. (2024). Kozhan, Roman ; Babiak, Mykola. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393224000084.

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2024Comparative analysis of profits from Bitcoin and its derivatives using artificial intelligence for hedge. (2024). Liu, Shan ; Che, Jianhua ; Zhu, Qing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:654:y:2024:i:c:s037843712400668x.

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2024Term structure of equity risk premia in rough terrain: 150 years of the French stock market. (2024). Prat, Georges ; le Bris, David. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s106297692400084x.

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2024The role of shifts in the effective tax rate on the cost of equity. (2024). Alonso-Conde, Ana B ; Rojo-Suarez, Javier. In: Research in Economics. RePEc:eee:reecon:v:78:y:2024:i:1:p:61-72.

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2024Overextrapolation of disaster probabilities and asset pricing in a production economy. (2024). Peng, Juan ; Lin, Chunpeng ; Gao, Han ; Zhao, Siqi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:845-854.

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2024Investment styles of islamic equity funds. (2024). Balli, Faruk ; Hasan, Md Iftekhar ; de Bruin, Anne. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:172-187.

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2024Epidemics, local institutional quality, and corporate cash holdings. (2024). Bo, YU ; Ho, Kung-Cheng ; Pan, Zikui ; Li, Xiaodan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:193-210.

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2024Stock returns and monetary policy stance. (2024). So, Inhwan ; Jang, Bosung. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:851-869.

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2024Does minority shareholder activism reduce stock idiosyncratic risk?. (2024). Qiu, Yuhang ; Lu, Jing. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002878.

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2024Banking FinTech and stock market volatility? The BIZUM case. (2024). Arenas, Laura ; Vizuete-Luciano, Emili ; Gil-Lafuente, Anna Maria. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002320.

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2024Diversification and idiosyncratic volatility puzzle: Evidence from ETFs. (2024). Li, Yongjia ; Hur, Jungshik ; Duanmu, Jun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002368.

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2024Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, HK ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514.

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2024Predicting consumption-wealth ratio changes and stock market returns. (2024). Wang, Jingya ; Taylor, Alex P. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002678.

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2025Do oil price shocks drive systematic risk premia in stock markets? A novel investment application. (2025). Demirer, Riza ; Polat, Onur ; Sokhanvar, Amin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003842.

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

Works by Martin Lettau:

Year  ↓Title  ↓Type  ↓Cited  ↓
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]		article412
2003Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption.(2003) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 412		paper
2018Exchange-Traded Funds 101 for Economists In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article49
2018Exchange Traded Funds 101 For Economists.(2018) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 49		paper
2018Exchange Traded Funds 101 For Economists.(2018) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 49		paper
2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk In: Journal of Finance.
[Full Text][Citation analysis]		article1052
2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk.(2001) In: Scholarly Articles.
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This paper has nother version. Agregated cites: 1052		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: 1052		paper
2001Consumption, Aggregate Wealth, and Expected Stock Returns In: Journal of Finance.
[Full Text][Citation analysis]		article997
1999Consumption, Aggregate Wealth and Expected Stock Returns.(1999) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 997		paper
1999Consumption, aggregate wealth and expected stock returns.(1999) In: Staff Reports.
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This paper has nother version. Agregated cites: 997		paper
2007Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium In: Journal of Finance.
[Full Text][Citation analysis]		article193
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: 193		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: 193		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: 193		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.
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This paper has nother version. Agregated cites: 16		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: 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.
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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]		paper66
2018Monetary Policy and Asset Valuation.(2018) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 66		paper
2016Monetary Policy and Asset Valuation.(2016) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 66		paper
2018Estimating Latent Asset-Pricing Factors In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper42
2020Estimating latent asset-pricing factors.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		article
2018Estimating Latent Asset-Pricing Factors.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		paper
2018Factors that Fit the Time Series and Cross-Section of Stock Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper58
2018Factors that Fit the Time Series and Cross-Section of Stock Returns.(2018) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 58		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: 58		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.
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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.
[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.
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This paper has nother version. Agregated cites: 24		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: 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]		paper70
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: 70		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.
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This paper has nother version. Agregated cites: 180		article
2003Expected Returns and Expected Dividend Growth.(2003) In: NBER Working Papers.
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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.
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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		article
2005Euler Equation Errors.(2005) In: 2005 Meeting Papers.
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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]		paper229
2005The declining equity premium: what role does macroeconomic risk play?.(2005) In: Proceedings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 229		article
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: 229		paper
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: 229		article
2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: 2004 Meeting Papers.
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This paper has nother version. Agregated cites: 229		paper
2013Conditional Risk Premia in Currency Markets and Other Asset Classes In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper190
2014Conditional risk premia in currency markets and other asset classes.(2014) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 190		article
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: 190		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]		article37
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]		article88
2009The Term Structures of Equity and Interest Rates.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 88		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]		paper549
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: 549		article
2013Shocks and Crashes In: NBER Chapters.
[Full Text][Citation analysis]		chapter38
2011Shocks and Crashes.(2011) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 38		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.
[Full Text][Citation analysis]		paper309
2008Reconciling the Return Predictability Evidence.(2008) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 309		article
2006Reconciling the Return Predictability Evidence.(2006) In: 2006 Meeting Papers.
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This paper has nother version. Agregated cites: 309		paper
2007Investor Information, Long-Run Risk, and the Term Structure of Equity In: NBER Working Papers.
[Full Text][Citation analysis]		paper78
2015Investor Information, Long-Run Risk, and the Term Structure of Equity.(2015) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 78		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]		paper0
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.
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This paper has nother version. Agregated cites: 185		paper
1995Can Habit Formation be Reconciled with Business Cycle Facts?.(1995) In: Other publications TiSEM.
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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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