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The term structures of equity and interest rates
Lettau, Martin; Wachter, Jessica - In: Journal of financial economics 101 (2011) 1, pp. 90-113
Persistent link: https://www.econbiz.de/10009242970
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The term structures of equity and interest rates
Lettau, Martin; Wachter, Jessica - 2009
Persistent link: https://www.econbiz.de/10003804273
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Conditional risk premia in currency markets and other asset classes
Lettau, Martin; Maggiori, Matteo; Weber, Michael - 2013
Persistent link: https://www.econbiz.de/10009760737
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Conditional risk premia in currency markets and other asset classes
Lettau, Martin; Maggiori, Matteo; Weber, Michael - 2013
Persistent link: https://www.econbiz.de/10009727630
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Why is long-horizon equity less risky? : a duration-based explanation of the value premium
Lettau, Martin; Wachter, Jessica - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 55-92
Persistent link: https://www.econbiz.de/10003425750
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Estimating latent asset-pricing factors
Lettau, Martin; Pelger, Markus - In: Journal of econometrics 218 (2020) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10012482858
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Factors that fit the time series and cross-section of stock returns
Lettau, Martin; Pelger, Markus - In: The review of financial studies 33 (2020) 5, pp. 2274-2325
Persistent link: https://www.econbiz.de/10012244735
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Preferences, consumption smoothing, and risk premia
Lettau, Martin - 1997
Persistent link: https://www.econbiz.de/10013422350
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Investor Information, Long-Run Risk, and the Term Structure of Equity
Croce, Mariano (Max) Massimiliano - 2012
We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In...
Persistent link: https://www.econbiz.de/10012755422
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Investor Information, Long-Run Risk, and the Term Structure of Equity
Croce, Mariano M. - 2007
We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In...
Persistent link: https://www.econbiz.de/10012465744