Martin Lettau

About

Martin Lettau holds the Kruttschnitt Chair of Financial Institutions at the Haas School of Business, University of California, Berkeley. His professional activities include affiliations with the National Bureau of Economic Research (NBER) and the Centre for Economic Policy Research (CEPR). His research contributions focus on financial institutions and asset pricing, with work that includes the development of factor models and the analysis of market fundamentals. He has collaborated with other scholars on topics such as machine learning applications in corporate bond returns, high dimensional factor models, and the characteristics of mutual fund portfolios. His work has been published in leading journals such as the Journal of Political Economy. Professor Lettau is based at the Haas School of Business in Berkeley, California, where he can be contacted for academic and research inquiries.

Research topics

• Computer Science
• Mathematics
• Statistics
• Econometrics
• Financial economics
• Economics
• Engineering

Selected publications

• Estimating latent asset-pricing factors

  Journal of Econometrics · 2020 · 177 citations

  1st authorCorresponding
  PublisherDOI

• How the Wealth Was Won: Factor Shares as Market Fundamentals

  National Bureau of Economic Research · 2019-04-01 · 38 citations

  report

  We provide novel evidence on the driving forcesbehind the sharp increase in equity values over the post-war era. From the beginning of 1989 to the end of 2017, 23 trillion dollars of real equity wealth was created by the nonfinancial corporate sector. We estimate that 54% of this increase was attributable to a reallocation of rents to shareholders in a decelerating economy. Economic growth accounts for just 24%, followed by lower interest rates (11%) and a lower risk premium (11%). From 1952 to…

  PublisherDOI

• High-Dimensional Factor Models and the Factor Zoo

  National Bureau of Economic Research · 2023-09-01 · 8 citations

  reportOpen access1st authorCorresponding

  This paper proposes a new approach to the “factor zoo” conundrum. Instead of applying dimension-reduction methods to a large set of portfolio returns obtained from sorts on characteristics, I construct factors that summarize the information in characteristics across assets and then sort assets into portfolios according to these “characteristic factors”. I estimate the model on a data set of mutual fund characteristics. Since the data set is 3-dimensional (characteristics of funds over time), cha…

  PublisherDOI

• High-Dimensional Factor Models with an Application to Mutual Fund Characteristics

  National Bureau of Economic Research · 2022-03-01 · 5 citations

  reportOpen access1st authorCorresponding

  This paper considers extensions of 2-dimensional factor models to higher-dimension data that can be represented as tensors. I describe decompositions of tensors that generalize the standard matrix singular value decomposition and principal component analysis to higher dimensions. I estimate the model using a 3-dimensional data set consisting of 25 characteristics of 1,342 mutual funds observed over 34 quarters. The tensor factor model reduces the data dimensionality by 97% while capturing 93% of…

  PublisherOA PDFDOI

• Glass Box Machine Learning and Corporate Bond Returns

  Journal of Financial Economics · 2024-01-01 · 2 citations

  preprintOpen access
  PublisherOA PDFDOI

Frequent coauthors

• Sydney C. Ludvigson

  431 shared

• Francesco Bianchi

  Johns Hopkins University

  207 shared

• Jessica A. Wachter

  University of Pennsylvania

  144 shared

• Markus Pelger

  40 shared

• Daniel Greenwald

  New York University

  31 shared

• Stijn Van Nieuwerburgh

  Graduate School USA

  24 shared

• Burton G. Malkiel

  Princeton University

  22 shared

• Ananth Madhavan

  20 shared

Education

• Ph.D., Economics

  University of California, Berkeley

  2000

• M.A., Economics

  University of California, Berkeley

  1997

• B.A., Economics

  University of California, Berkeley

  1995

Awards & honors

• AQR Insight Award (2013)
• Earl F. Cheit Award for Excellence in Teaching, PhD Program…
• Steven F. Maier Prize for Excellence in Research, New York U…
• Frank Ramsey Prize for the best paper in Macroeconomic Dynam…
• First Prize – Smith-Breeden Award for the best paper in The…

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