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D-Index & Metrics

Economics and Finance

D-Index
48
Citations
24460
World Ranking
1473
National Ranking
890

Overview

Martin Lettau is affiliated with the University of California, Berkeley in the United States. Their research primarily spans the broad field of Economics, Econometrics, and Finance, with a focus on subfields such as Finance, Economics and Econometrics, Management Science and Operations Research, General Economics, Econometrics and Finance, and Accounting.

The scientist's work addresses several key topics including Financial Markets and Investment Strategies, Stock Market Forecasting Methods, Monetary Policy and Economic Impact, Complex Systems and Time Series Analysis, Housing Market and Economics, Energy Load and Power Forecasting, and Financial Risk and Volatility Modeling.

Martin Lettau has published notable papers, including:

  • Factors That Fit the Time Series and Cross-Section of Stock Returns (2020, Review of Financial Studies)
  • Estimating latent asset-pricing factors (2020, Journal of Econometrics)
  • Missing Financial Data (2022, SSRN Electronic Journal)
  • How the Wealth Was Won: Factor Shares as Market Fundamentals (2024, Journal of Political Economy)
  • Missing Financial Data (2024, Review of Financial Studies)

Frequent co-authors collaborating with Martin Lettau include Markus Pelger, Svetlana Bryzgalova, Sven Lerner, Sydney C. Ludvigson, and John Y. Campbell.

The scientist often publishes in venues such as SSRN Electronic Journal, Review of Financial Studies, Journal of Econometrics, Journal of Political Economy, and Critical Finance Review.

Best Publications

  • Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

    Burton Malkiel;John Campbell;Martin Lettau;Yexiao Xu

  • Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

    John Y. Campbell;Martin Lettau;Burton G. Malkiel;Yexiao Xu

  • Consumption, Aggregate Wealth, and Expected Stock Returns

    Martin Lettau;Sydney Ludvigson

  • Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying

    Martin Lettau;Sydney Ludvigson

  • Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption

    Martin Lettau;Sydney C. Ludvigson

  • Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varying

    Martin Lettau;Martin Lettau;Martin Lettau;Sydney C. Ludvigson;Sydney C. Ludvigson

  • Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

    Martin Lettau;Jessica A. Wachter

  • The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

    Martin Lettau;Sydney C. Ludvigson;Jessica A. Wachter

  • Reconciling the Return Predictability Evidence

    Martin Lettau;Stijn Van Nieuwerburgh

  • Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

    John Y. Campbell;John Y. Campbell;Martin Lettau;Martin Lettau;Martin Lettau;Burton G. Malkiel;Burton G. Malkiel;Yexiao Xu

  • Consumption, Aggregate Wealth and Expected Stock Returns

    Martin Lettau;Martin Lettau;Martin Lettau;Sydney C. Ludvigson;Sydney C. Ludvigson

  • Expected returns and expected dividend growth

    Martin Lettau;Sydney C. Ludvigson

  • Measuring and Modeling Variation in the Risk-Return Trade-off

    Martin Lettau;Sydney C. Ludvigson

  • Conditional Risk Premia in Currency Markets and Other Asset Classes

    Martin Lettau;Martin Lettau;Matteo Maggiori;Matteo Maggiori;Michael Weber

  • Measuring and Modelling Variation in the Risk-Return Trade-off

    Martin Lettau;Martin Lettau;Martin Lettau;Sydney C. Ludvigson;Sydney C. Ludvigson

  • The Term Structures of Equity and Interest Rates

    Martin Lettau;Jessica A. Wachter

  • Factors That Fit the Time Series and Cross-Section of Stock Returns

    Martin Lettau;Markus Pelger

  • Can Habit Formation Be Reconciled with Business Cycle Facts

    Martin Lettau;Harald Uhlig

  • Explaining the facts with adaptive agents: The case of mutual fund flows

    Martin Lettau

  • Monetary policy transmission through the consumption-wealth channel

    Sydney Ludvigson;Charles Steindel;Martin Lettau

  • The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

    Martin Lettau;Martin Lettau;Martin Lettau;Jessica A. Wachter;Jessica A. Wachter;Sydney C. Ludvigson;Sydney C. Ludvigson

  • Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying

    Martin Lettau;Sydney Ludvigson

Frequent Co-Authors

Sydney C. Ludvigson
Sydney C. Ludvigson New York University
Jessica A. Wachter
Jessica A. Wachter University of Pennsylvania
John Y. Campbell
John Y. Campbell Harvard University
Stijn Van Nieuwerburgh
Stijn Van Nieuwerburgh Columbia University
Harald Uhlig
Harald Uhlig University of Chicago
Burton G. Malkiel
Burton G. Malkiel Princeton University
Ananth Madhavan
Ananth Madhavan University of California, Berkeley
Tim Loughran
Tim Loughran University of Notre Dame
Narayan Y. Naik
Narayan Y. Naik London Business School

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