Martin Lettau’s Publications

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

• “Euler Equation Errors,” Review of Economic Dynamics, 12, 255-283, 2009, with Sydney Ludvigson.
  
  
• “Reconciling the Return Predictability Evidence,” Review of Financial Studies, 21(4), 1607-1652, 2008, with Stijn Van Nieuwerburgh.
  
  
• “The Declining Equity Premium: What Role Does Macroeconomic Risk Play?” Review of Financial Studies, 21(4), 1653-1687, 2008, with Sydney Ludvigson and Jessica Wachter [Technical Appendix].
  
  
• “Why is Long-horizon Equity Less Risky? A Duration-based Explanation of the Value Premium,” Journal of Finance, Vol. LXII(1), 55-92, February 2007, with Jessica Wachter.
  
  
• “Expected Returns and Expected Dividend Growth,” Journal of Financial Economics, 76, 583-626, 2005, with Sydney Ludvigson [Technical Appendix].
  
  
• “Tay is a good as cay: Reply,” Finance Research Letters, 2 (1), 15-22, March 2005, with Sydney Ludvigson.
  
  
• “Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption,” American Economic Review, 94 (1), 279-299, March 2004, with Sydney Ludvigson.
  
  
• “Inspecting the Mechanism: The Determination of Asset Prices in the RBC Model,” The Economic Journal, 113, 550–575, July 2003.
  
  
• “Robustness of Adaptive Expectations as an Equilibrium Selection Device,” Macroeconomic Dynamics, 7(1), 89-118, January 2003, with Timothy Van Zandt [Technical Appendix].
  
  
• “Time-Varying Risk-Premia and the Cost of Capital: An Alternative Implication of the Q -Theory of Investment," Journal of Monetary Economics 49, 31-66, 2002, with Sydney Ludvigson.
  
  
• “Monetary Policy Transmission Through the Consumption-Wealth Channel,” Economic Policy Review 8(1), 117-134, May 2002, with Sydney Ludvigson and Charles Steindel.
  
  
• “Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?” Review of Economics and Statistics, 84 (2), 376-380, May 2002. The working paper version is available here.
  
  
• “Sharpe Ratios and Preferences: An Analytical Approach,” Macroeconomic Dynamics, 6 (2), 242-265, April 2002, with Harald Uhlig.
  Winner of the Frank Ramsey Prize for the best paper in Macroeconomic Dynamics from 2001-2004.
  
  
• “Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying,” Journal of Political Economy, 109(6), 1238-1287, December 2001, with Sydney Ludvigson.
  
  
• “Consumption, Aggregate Wealth, and Expected Stock Returns,” Journal of Finance, LVI (3), 815--849, June 2001, with Sydney Ludvigson. Nominated for the Smith-Breeden Award for the best paper in The Journal of Finance.
  
  
• “Have Individual Stocks Become More Volatile?  An Empirical Exploration of Idiosyncratic Risk,” Journal of Finance, LVI (1), 1-43, February 2001, with John Campbell, Burton Malkiel and Yexiao Xu.
  Winner of the First Prize - Smith-Breeden Award for the best paper in The Journal of Finance.
  
  
• “Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market Restrictions,” Journal of Economic Behavior and Organization, 44 (2), 85-103, February 2001, with Willi Semmler and Gang Gong.
  
  
• “Can Habit Formation be Reconciled with Business Cycle Facts?” Review of Economic Dynamics, 3 (1), 79--99, February 2000, with Harald Uhlig.
  
  
• “Cross-variable Restrictions in Euler Equations and Risk Premia,” Applied Economics Letters, 2 (2), 99--102, February 2000.
  
  
• “Rules of Thumb versus Dynamic Programming,” American Economic Review, 89 (1), 148-174, March 1999, with Harald Uhlig [Technical Appendix].
  
  
• “Explaining the Facts with Adaptive Agents: The Case of Mutual Fund Flows,” Journal of Economic Dynamics and Control, 21, 1117-48, 1997.