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Conditional risk premia in currency markets and other asset classes

Journal of financial economics, 2014-11, Vol.114 (2), p.197-225

2014

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Reconciling the Return Predictability Evidence

The Review of financial studies, 2008-07, Vol.21 (4), p.1607-1652

2008

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The term structures of equity and interest rates

Journal of financial economics, 2011-07, Vol.101 (1), p.90-113

2011

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

The Journal of finance (New York), 2007-02, Vol.62 (1), p.55-92

2007

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Consumption, Aggregate Wealth, and Expected Stock Returns

The Journal of finance (New York), 2001-06, Vol.56 (3), p.815-849

2001

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

The Review of financial studies, 2020-05, Vol.33 (5), p.2274-2325

2020

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

The Journal of political economy, 2001-12, Vol.109 (6), p.1238-1287

2001

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Estimating latent asset-pricing factors

Journal of econometrics, 2020-09, Vol.218 (1), p.1-31

2020

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Investor Information, Long-Run Risk, and the Term Structure of Equity

The Review of financial studies, 2015-03, Vol.28 (3), p.706-742

2015

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Exchange-Traded Funds 101 for Economists

The Journal of economic perspectives, 2018-01, Vol.32 (1), p.135-154

2018

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

The Review of financial studies, 2008-07, Vol.21 (4), p.1653-1687

2008

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

The Journal of finance (New York), 2001-02, Vol.56 (1), p.1-43

2001

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Monetary Policy and Asset Valuation

The Journal of finance (New York), 2022-04, Vol.77 (2), p.967-1017

2022

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Missing Financial Data

The Review of financial studies, 2024-07

2024

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Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment

Journal of monetary economics, 2002, Vol.49 (1), p.31-66

2002

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Capital Share Risk in U.S. Asset Pricing

The Journal of finance (New York), 2019-08, Vol.74 (4), p.1753-1792

2019

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

The American economic review, 2004-03, Vol.94 (1), p.276-299

2004

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Expected returns and expected dividend growth

Journal of financial economics, 2005-06, Vol.76 (3), p.583-626

2005

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3D-PCA: Factor Models with Restrictions

SSRN Electronic Journal, 2024

Lettau, Martin

2024

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3D-PCA: Factor Models with Restrictions

SSRN Electronic Journal, 2024

Lettau, Martin

2024

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Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models

The Economic journal (London), 2003-07, Vol.113 (489), p.550-575

Lettau, Martin

2003

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Idiosyncratic Equity Risk Two Decades Later

Critical finance review, 2023-01, Vol.12 (1-4), p.203-223

2023

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High-Dimensional Factor Models and the Factor Zoo

SSRN Electronic Journal, 2023

Lettau, Martin

2023

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High-Dimensional Factor Models and the Factor Zoo

SSRN Electronic Journal, 2023

Lettau, Martin

2023

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High Dimensional Factor Models with an Application to Mutual Fund Characteristics

SSRN Electronic Journal

Lettau, Martin

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Conditional risk premia in currency markets and other asset classes

Reconciling the Return Predictability Evidence

The term structures of equity and interest rates

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

Consumption, Aggregate Wealth, and Expected Stock Returns

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

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

Estimating latent asset-pricing factors

Investor Information, Long-Run Risk, and the Term Structure of Equity

Exchange-Traded Funds 101 for Economists

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

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

Monetary Policy and Asset Valuation

Missing Financial Data

Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment

Capital Share Risk in U.S. Asset Pricing

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

Expected returns and expected dividend growth

3D-PCA: Factor Models with Restrictions

3D-PCA: Factor Models with Restrictions

Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle Models

Idiosyncratic Equity Risk Two Decades Later

High-Dimensional Factor Models and the Factor Zoo

High-Dimensional Factor Models and the Factor Zoo

High Dimensional Factor Models with an Application to Mutual Fund Characteristics

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