Martin Lettau - Working Papers
“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," with Markus Pelger
"Monetary Policy and Asset Valuation," with Francesco Bianchi and Sydney Ludvigson
“The Origins of Stock Market Fluctuations,” with Dan Greenwald and Sydney Ludvigson
"A Primer on the Economics and Time Series Econometrics of Wealth Effects: A Comment," Federal Reserve Bank of New York Staff Report No. 131, May 2001, with Sydney Ludvigson and Nathan Barczi.
"Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?" Federal Reserve Bank of New York Staff Report No. 130, May 2001. A shorter version of this paper is forthcoming in the Review of Economics and Statistics.