Martin Lettau

Kruttschnitt Chair of Financial Institutions

Haas School of Business, UC Berkeley

NBER and CEPR

New and Updated Papers


"High Dimensional Factor Models with an Application to Mutual Fund Characteristics"


"Idiosyncratic Equity Risk Two Decades Later"

With John Campbell, Burton Malkiel, and Yexiao Xu


"Sorting out Factor Models"

SoFie 2021 Presentation


"Monetary Policy and Asset Valuation"

The Journal of Finance, forthcoming, with Francesco Bianchi and Sydney Ludvigson


"Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?"

with Sydney Ludvigson and Paulo Manoel

WSJ 2019/02/04, Retirement Income Journal 2019/2/7


"How the Wealth Was Won: Factors Shares as Market Fundamentals"

with Dan Greenwald and Sydney Ludvigson


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

Review of Financial Studies, 2020, with Markus Pelger


"Estimating Latent Asset-Pricing Factors"

Journal of Econometrics, 2020, with Markus Pelger



Where are the Value Funds?

Book-to-Market Distribution of Active Mutual Funds

("Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?"

with Sydney Ludvigson and Paulo Manoel)


Contact Information:

Haas School of Business

545 Student Services Bldg., #1900

Berkeley, CA 94720-1900

lettau at berkeley.edu

martinlettau.org

scholar.google

Phone: (510) 643-6349, Fax: (510) 643-1420