The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
By Martin Lettau, Sydney C. Ludvigson, Jessica A. Wachter. 2008
440 citations recorded by the source corpus.
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9e4c3e141e9399566bee35d1629138d6bd5bf174
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- L. Kuehn
- Oliver Boguth
- John Y. Campbell
- Hui Chi Chen
- Scott Joslin
- J. Beeler
- Erik Hjalmarsson
- Sebastian Gryglewicz
In Economics and Econometrics
- J. Beeler
- Oliver Boguth
- John Y. Campbell
- L. Kuehn
- Hui Chi Chen
- Scott Joslin
- Carolin E. Pflueger
- David E. Rapach
In Finance
- J. Beeler
- L. Kuehn
- Oliver Boguth
- John Y. Campbell
- Hui Chi Chen
- Scott Joslin
- Ralph S. J. Koijen
- Hongjun Yan
Citations in the corpus
- Asset pricing tests with long run risks in consumption growth (2011, neutral): “[30] Lettau, M.”
- Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2009, neutral): “…the equilibrium pricing of volatility risk include Gabaix (2010) and Wachter (2010), both of whom analyze the implications of rare disasters, and Lettau et al. (2009) who emphasize the role of low frequency movements in macroeconomic uncertainty for explaining low frequency multi-year movements…”
- Predictability of Returns and Cash Flows (2011, neutral): “Lettau, Ludvigson, and Wachter (2008) argue that a persistent decline in the volatility of aggregate consumption growth leads to a decline in the equity premium.”
- The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment (2012, positive): “When ψ < 1, stock prices increase when volatility increases and the risk premium for volatility shocks is negative (Lettau et al., 2008).”
- Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? (2011, neutral): “…boom using a variety of economic variables, including uncertainty about firm profitability (Pástor and Veronesi, 2006), declining macroeconomic risk (Lettau et al., 2008), high and volatile revenue growth (Schwartz and Moon, 2000), learning (Pástor and Veronesi, 2009), and other fundamentals.”
- Consumption Volatility Risk (2012, positive): “We find that consumption volatility is a dominant contributor to risk premia in the cross-section.5 Lettau, Ludvigson, and Wachter (2008) estimate a Markov model with learning to show that the decline in consumption volatility–also referred to as the “Great Moderation”–can explain the high observed…”