Martin Lettau's Working Papers

Note: Data on consumption, asset wealth and labor income can be downloaded here.

• “The Term Structures of Equity and Interest Rates,”
  with Jessica Wachter.
  
  
• “Investor Information, Long-Run Risk, and the Duration of Risky Cash-Flows,”
  with Massimiliano Croce and Sydney Ludvigson. 
  
  
• “Reconciling the Return Predictability Evidence,”
  Review of Financial Studies, forthcoming, with Stijn Van Nieuwerburgh.
  
  
• "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?"
  Review of Financial Studies, forthcoming, with Sydney Ludvigson and Jessica Wachter.
  
  
• "Measuring and Modeling Variation in the Risk-Return Tradeoff,"
  prepared for the Handbook of Financial Econometrics, edited by Yacine Ait-Shalia and Lars-Peter Hansen, with Sydney Ludvigson.

• "A Primer on the Economics and Time Series Econometrics of Wealth Effects: A Comment,"
  Federal Reserve Bank of New York Staff Report No. 131, May 2001, with Sydney Ludvigson and Nathan Barczi.

• "Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?"
  Federal Reserve Bank of New York Staff Report No. 130, May 2001. A shorter version of this paper is forthcoming in the Review of Economics and Statistics.

•  "Forecasting Stock Returns: New Out-of-Sample Evidence,"
  (with Sydney Ludvigson), results in this paper are now available in "Consumption, Aggregate Wealth, and Expected Stock Returns."