Martin Lettau

Expertise and Research Interests

• Financial Economics
• Asset Pricing
• Investments
• Mutual Funds

Education

• Doctor of Philosophy (Ph.D.) Princeton University (1990 — 1994)
• B.Sc. equivalent Karlsruhe Institute of Technology (KIT) (1987 — 1990)

Companies

• Professor University of California, Berkeley, Haas School of Business (2008)
• Visiting Professor of Economics Columbia University in the City of New York (2007 — 2008)
• Assistant Professor of Finance NYU Stern School of Business (2001 — 2008)
• Economist/Senior Economist Federal Reserve Bank of New York (1997 — 2001)
• Assistant Professor Tilburg University (1994 — 1997)

Publications

• "Monetary Policy and Asset Valuation," Journal of Finance, forthcoming, with Francesco Bianchi and Sydney Ludvigson.
• "Factors that Fit the Time Series and Cross-Section of Stock Returns," The Review of Financial Studies, 33, 5, May 2020, 2274–2325, with Markus Pelger
• "Estimating Latent Asset-Pricing Factors," Journal of Econometrics, 218, 1, September 2020, 1-31, with Markus Pelger
• “Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing,” Journal of Finance, 2019, with Sydney Ludvigson and Sai Ma
• “ETF 101 for Economist,” Journal of Economic Perspectives, 2018, 32(1), 135-154, with Ananth Madhavan
• "Investor Information, Long-Run Risk, and the Term Structure of Equity," The Review of Financial Studies, 2015, 28 (3), 706-742, with Massimiliano Croce and Sydney Ludvigson.
• “Conditional Risk Premia in Currency Markets and Other Asset Classes,” Journal of Financial Economics, 2014, 197-225, with Matteo Maggiori and Michael Weber
• “Shocks and Crashes,” NBER Macroeconomics Annual 2013, 2014, 293--354, ed. by Jonathan Parker and Michael Woodford, MIT Press, Cambridge MA, with Sydney Ludvigson.
• “The Term Structures of Equity and Interest Rates,” Journal of Financial Economics, July 2011, 90-113, with Jessica Wachter.
• "Measuring and Modeling Variation in the Risk-Return Tradeoff," Handbook of Financial Econometrics, vol. 1, 2010, 617—690, edited by Yacine Ait-Shalia and Lars-Peter Hansen, with Sydney Ludvigson.
• “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
• “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
• “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
• “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.
• “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
• “Explaining the Facts with Adaptive Agents: The Case of Mutual Fund Flows,” Journal of Economic Dynamics and Control, 21, 1117-48, 1997.