Working Papers         Publications         Research Data         CV

New and Updated Papers 

"3D-PCA: Factor Models with Restrictions"

"High Dimensional Factor Models and the Factor Zoo"

"Missing Financial Data"

with Svetlana Bryzgalova, Sven Lerner, and Markus Pelger

"Idiosyncratic Equity Risk Two Decades Later"

Critical Finance Review, 2023(12), with John Campbell, Burton Malkiel, and Yexiao Xu

"Sorting out Factor Models"

SoFie 2021 Presentation

"Monetary Policy and Asset Valuation"  

The Journal of Finance, 2022(2), 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

IQAM Research Award, First Prize, 2022

Roger F. Murray Prize, Q-Group, 2019

"Estimating Latent Asset-Pricing Factors" 

Journal of Econometrics, 2020, with Markus Pelger

Dennis Aigner Prize, Journal of Econometrics 2019-2020

Contact Information:

Haas School of Business

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martinlettau.org

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