Faculty

Institution

Unit

Venue

Martin Lettau

Professor | Kruttschnitt Family Chair in Financial Institutions | Distinguished Teaching Fellow

University of California, Berkeley

Affiliations

Haas School of Business

Martin Lettau is currently serving as a Haas School Of Business Professor | Kruttschnitt Family Chair in Financial Institutions | Distinguished Teaching Fellow at University of California, Berkeley.

Honors

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Experiences

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Education

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Martin Lettau

University of California, Berkeley

Professor | Kruttschnitt Family Chair in Financial Institutions | Distinguished Teaching Fellow

You can click a keyword to filter the displayed items

finance financial economics empirical finance economics asset pricing social sciences social science research macroeconomics stock returns econometrics monetary policy investment management equity international finance economic research behavioral finance applied mathematics economic modelling economic trends financial modeling volatility modeling idiosyncratic risk risk premia wealth effect asset values investor information long-run risk asset valuation capital share risk consumption-wealth channel monetary policy transmission market fundamentals high-dimensional factor models finance research shock waves crisis management financial stability international financial markets economic analysis economic literature trend prediction cross-sectional studies estimation theory financial econometrics cost of capital dynamic programming decision analysis dynamic economics dispersion economic fluctuation shock (economics) trend analysis foreign exchange markets business cycle analysis financial time series analysis 3d modeling principal component analysis computational models latent variable models source code analysis error analysis error correction code data coding mathematical economics data replication individual stocks empirical exploration aggregate wealth

Video Presentations

Notable Scholarly Works

Notable Federal Grants

Collaborators

ALPHAGLASS: Interpretable Characteristic-Based Portfolio Choice. SSRN Electronic Journal (2026)

quantitative analysis (finance)materialityinvestment management

Glass Box Machine Learning and Corporate Bond Returns. SSRN Electronic Journal (2025)

Sebastian BellAli KakhbodMartin LettauAbdolreza Nazemi

financemachine learningcorporate bond returns

3D-Pca: High-Dimensional Factor Models With Restrictions. National Bureau of Economic Research (2024)

Martin Lettau

computer science3d modelingprincipal component analysiscomputational modelsmachine learninglatent variable modelsfactor modelsstatistics

How the Wealth Was Won: Factor Shares as Market Fundamentals. Journal of Political Economy (2024)

Daniel GreenwaldMartin LettauSydney Ludvigson

financial economicsmarket fundamentalsfactor sharesempirical financefinance

Missing Financial Data. Review of Financial Studies (2024)

Svetlana BryzgalovaSven LernerMartin LettauMarkus Pelger

missing datafinancedata science

Replication Data for"Missing Financial Data". Harvard Dataverse (2024)

Svetlana BryzgalovaSven LernerMartin LettauMarkus Pelger

replication datadata replicationmissing datadata sciencereplicationfinancestatistics

High-Dimensional Factor Models and the Factor Zoo. National Bureau of Economic Research (2023)

Martin Lettau

high-dimensional factor modelsfactor zoohigh-dimensional statistics

Idiosyncratic Equity Risk Two Decades Later. Critical Finance Review (2023)

John Y. CampbellMartin LettauBurton MalkielYexiao Xu

financial economicsasset pricingempirical financeequityfinance

Internet Appendix for Missing Financial Data. SSRN Electronic Journal (2023)

Svetlana BryzgalovaSven LernerMartin LettauMarkus Pelger

social science researchsocial sciencesinternet appendixmissing datafinance

High-Dimensional Factor Models With an Application to Mutual Fund Characteristics. National Bureau of Economic Research (2022)

Martin Lettau

financial economicsmutual fund characteristicshigh-dimensional factor modelsempirical financefinance

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Martin Lettau

Professor | Kruttschnitt Family Chair in Financial Institutions | Distinguished Teaching Fellow

University of California, Berkeley

Affiliations

Haas School of Business

Martin Lettau is currently serving as a Haas School Of Business Professor | Kruttschnitt Family Chair in Financial Institutions | Distinguished Teaching Fellow at University of California, Berkeley.

Honors

Create free account to unlock more features

Experiences

Create free account to unlock more features

Education

Create free account to unlock more features

Martin Lettau

University of California, Berkeley

Professor | Kruttschnitt Family Chair in Financial Institutions | Distinguished Teaching Fellow

You can click a keyword to filter the displayed items

Video Presentations

Notable Scholarly Works

Notable Federal Grants

Collaborators

ALPHAGLASS: Interpretable Characteristic-Based Portfolio Choice. SSRN Electronic Journal (2026)

quantitative analysis (finance)materialityinvestment management

Glass Box Machine Learning and Corporate Bond Returns. SSRN Electronic Journal (2025)

Sebastian BellAli KakhbodMartin LettauAbdolreza Nazemi

financemachine learningcorporate bond returns

3D-Pca: High-Dimensional Factor Models With Restrictions. National Bureau of Economic Research (2024)

Martin Lettau

computer science3d modelingprincipal component analysiscomputational modelsmachine learninglatent variable modelsfactor modelsstatistics

How the Wealth Was Won: Factor Shares as Market Fundamentals. Journal of Political Economy (2024)

Daniel GreenwaldMartin LettauSydney Ludvigson

financial economicsmarket fundamentalsfactor sharesempirical financefinance

Missing Financial Data. Review of Financial Studies (2024)

Svetlana BryzgalovaSven LernerMartin LettauMarkus Pelger

missing datafinancedata science

Replication Data for"Missing Financial Data". Harvard Dataverse (2024)

Svetlana BryzgalovaSven LernerMartin LettauMarkus Pelger

replication datadata replicationmissing datadata sciencereplicationfinancestatistics

High-Dimensional Factor Models and the Factor Zoo. National Bureau of Economic Research (2023)

Martin Lettau

high-dimensional factor modelsfactor zoohigh-dimensional statistics

Idiosyncratic Equity Risk Two Decades Later. Critical Finance Review (2023)

John Y. CampbellMartin LettauBurton MalkielYexiao Xu

financial economicsasset pricingempirical financeequityfinance

Internet Appendix for Missing Financial Data. SSRN Electronic Journal (2023)

Svetlana BryzgalovaSven LernerMartin LettauMarkus Pelger

social science researchsocial sciencesinternet appendixmissing datafinance

High-Dimensional Factor Models With an Application to Mutual Fund Characteristics. National Bureau of Economic Research (2022)

Martin Lettau

financial economicsmutual fund characteristicshigh-dimensional factor modelsempirical financefinance

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