Andrea Beltratti

Bocconi University - Department of Finance

Via Roentgen 1

Milano, MI 20136

Italy

SCHOLARLY PAPERS

38

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189

Scholarly Papers (38)

Why Did Some Banks Perform Better during the Credit Crisis? A Cross-Country Study of the Impact of Governance and Regulation

Charles A Dice Center Working Paper No. 2009-12 , Fisher College of Business Working Paper No. 2009-03-012
Number of pages: 38 Posted: 17 Jul 2009 Last Revised: 27 Sep 2010
Andrea Beltratti and René M. Stulz
Bocconi University - Department of Finance and Ohio State University (OSU) - Department of Finance
Downloads 7,117 (602)
Citation 43

Abstract:

Banking Financial Institutions, Corporate Finance, Capital Structure and Payout Policies, Coporate Finanace, Governance, Corporate Control and Corganization, Risk Management, International Finance, Monetary Economics, Corporate law, law and Finance, Regulation of financial institutions

Why Did Some Banks Perform Better During the Credit Crisis? A Cross-Country Study of the Impact of Governance and Regulation

NBER Working Paper No. w15180
Number of pages: 34 Posted: 04 Aug 2009
Andrea Beltratti and René M. Stulz
Bocconi University - Department of Finance and Ohio State University (OSU) - Department of Finance
Downloads 113 (206,844)
Citation 43

Abstract:

2.

The Credit Crisis Around the Globe: Why Did Some Banks Perform Better?

Charles A. Dice Center Working Paper No. 2010-5, Fisher College of Business Working Paper No. 2010-03-005
Number of pages: 43 Posted: 16 Mar 2010 Last Revised: 14 Feb 2011
Andrea Beltratti and René M. Stulz
Bocconi University - Department of Finance and Ohio State University (OSU) - Department of Finance
Downloads 1,520 (7,308)
Citation 47

Abstract:

3.

The Equity Premium is No Puzzle

Stanford University Dept. of Economics WP# 96-004
Number of pages: 55 Posted: 18 Dec 1996
Mordecai Kurz and Andrea Beltratti
Stanford University - Department of Economics and Bocconi University - Department of Finance
Downloads 1,437 (9,447)
Citation 14

Abstract:

4.
Downloads 754 ( 26,337)
Citation 5

Sustainable Use of Renewable Resources

Number of pages: 32 Posted: 01 Nov 1996
Geoffrey M. Heal, Graciela Chichilnisky and Andrea Beltratti
Columbia Business School - Finance and Economics, Columbia University and Bocconi University - Department of Finance
Downloads 754 (25,924)
Citation 5

Abstract:

Sustainable Use of Renewable Resources

Sustainability: Dynamics and Uncertainty
Posted: 19 Nov 1996
Andrea Beltratti, Graciela Chichilnisky and Geoffrey M. Heal
Bocconi University - Department of Finance, Columbia University and Columbia Business School - Finance and Economics

Abstract:

5.

The Nontradable Share Reform in the Chinese Stock Market

FEEM Working Paper No. 131.06
Number of pages: 24 Posted: 15 Nov 2006
Bernardo Bortolotti and Andrea Beltratti
Bocconi University and Bocconi University - Department of Finance
Downloads 640 (30,180)
Citation 11

Abstract:

Chinese Equity Market, Financial Market Development, Split-Share Structure

6.

Socially Responsible Investment in General Equilibrium

FEEM Working Paper No. 93.2003
Number of pages: 32 Posted: 03 Dec 2003
Andrea Beltratti
Bocconi University - Department of Finance
Downloads 386 (55,939)
Citation 3

Abstract:

General equilibrium, Redistributive effects, Public goods

7.

Is M&A Different During a Crisis? Evidence from the European Banking Sector

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 34 Posted: 03 Oct 2011 Last Revised: 04 Jan 2012
Andrea Beltratti and Giovanna Paladino
Bocconi University - Department of Finance and IntesaSanpaolo
Downloads 289 (65,262)

Abstract:

8.

Asset Float and Stock Prices: Evidence from the Chinese Stock Market

Number of pages: 48 Posted: 22 Mar 2007
Andrea Beltratti and Marianna Caccavaio
Bocconi University - Department of Finance and Università Bocconi
Downloads 240 (101,236)
Citation 3

Abstract:

Speculation, Chinese Stock Market, Nontradeable shares, Event study, Asset float

9.

Why Do Banks Optimize Risk Weights? The Relevance of the Cost of Equity Capital

Number of pages: 40 Posted: 21 Apr 2013
Andrea Beltratti and Giovanna Paladino
Bocconi University - Department of Finance and IntesaSanpaolo
Downloads 208 (92,685)

Abstract:

Basel Accord, risk-weighted assets, internal rating models, panel OLS, dynamic system GMM

10.

Stock Prices in a Speculative Market: The Chinese Split-Share Reform

Paolo Baffi Centre Research Paper No. 2009-39
Number of pages: 49 Posted: 12 Mar 2009
Andrea Beltratti, Bernardo Bortolotti and Marianna Caccavaio
Bocconi University - Department of Finance, Bocconi University and Università Bocconi
Downloads 193 (124,531)
Citation 7

Abstract:

Speculation, Chinese Stock Market, Market segmentation, Event study, Market Efficiency

11.

The Stock Market Reaction to the 2005 Non-Tradable Share Reform in China

ECB Working Paper No. 1339
Number of pages: 41 Posted: 20 May 2011
Andrea Beltratti, Bernardo Bortolotti and Marianna Caccavaio
Bocconi University - Department of Finance, Bocconi University and Università Bocconi
Downloads 140 (150,270)

Abstract:

Ownership structure, Chinese stock market, financial reform, corporate governance, privatization, neglected stocks

The Role of Prepayment Penalties in Mortgage Loans

Number of pages: 40 Posted: 15 Mar 2015 Last Revised: 07 Apr 2017
Andrea Beltratti, Matteo Benetton and Alessandro Gavazza
Bocconi University - Department of Finance, London School of Economics & Political Science (LSE), Students and London School of Economics & Political Science (LSE) - Department of Economics
Downloads 86 (249,995)

Abstract:

Mortgages, Prepayment Penalties, Household Finance

The Role of Prepayment Penalties in Mortgage Loans

CEPR Discussion Paper No. DP10504
Number of pages: 37 Posted: 24 Mar 2015
Andrea Beltratti, Matteo Benetton and Alessandro Gavazza
Bocconi University - Department of Finance, London School of Economics & Political Science (LSE), Students and London School of Economics & Political Science (LSE) - Department of Economics
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Abstract:

mortgages, prepayment penalties

13.

Stock Prices in a Speculative Market: The Chinese Split-Share Reform

FEEM Working Paper No. 15.2009
Number of pages: 51 Posted: 04 May 2009
Andrea Beltratti, Bernardo Bortolotti and Marianna Caccavaio
Bocconi University - Department of Finance, Bocconi University and Università Bocconi
Downloads 85 (240,841)
Citation 7

Abstract:

Speculation, Chinese Stock Market, Market segmentation, Event study, Market

Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models?

NBER Working Paper No. w3464
Number of pages: 34 Posted: 13 Nov 2007
Robert J. Shiller and Andrea Beltratti
Yale University - Cowles Foundation and Bocconi University - Department of Finance
Downloads 54 (324,469)
Citation 37

Abstract:

15.

Bank Sovereign Bond Holdings, Sovereign Shock Spillovers, and Moral Hazard During the European Crisis

Fisher College of Business Working Paper No. 2015-03-06, Charles A. Dice Center Working Paper No. 2015-06
Number of pages: 44 Posted: 28 Apr 2015 Last Revised: 06 May 2015
Andrea Beltratti and René M. Stulz
Bocconi University - Department of Finance and Ohio State University (OSU) - Department of Finance
Downloads 63 (186,185)

Abstract:

Corporate Finance

16.

Sustainable Growth and the Green Golden Rule

NBER Working Paper No. w4430
Number of pages: 37 Posted: 25 Jul 2007 Last Revised: 11 Jun 2014
Andrea Beltratti, Graciela Chichilnisky and Geoffrey M. Heal
Bocconi University - Department of Finance, Columbia University and Columbia Business School - Finance and Economics
Downloads 38 (349,543)
Citation 8

Abstract:

17.

Scenario Modeling of Selective Hedging Strategies

Journal of Economic Dynamics and Control, Vol. 28, No. 5, 2004
Number of pages: 20 Posted: 19 Nov 2013 Last Revised: 21 Nov 2013
Andrea Beltratti and Stavros A. Zenios
Bocconi University - Department of Finance and University of Cyprus
Downloads 37 (343,169)

Abstract:

Scenario, Currency hedging, Transaction costs, Optimization, International asset management

18.

Stock Market Efficiency in China: Evidence from the Split-Share Reform

Bank of Italy Temi di Discussione (Working Paper) No. 969
Number of pages: 43 Posted: 18 Nov 2014
Andrea Beltratti, Bernardo Bortolotti and Marianna Caccavaio
Bocconi University - Department of Finance, Bocconi University and Bank of Italy
Downloads 35 (267,269)

Abstract:

Chinese stock market, market efficiency, event study, bootstrap

19.

Does Expected Supply Affect the Price of Emission Permits? Evidence from Phase I in the European System

IEFE Working Paper No. 23
Number of pages: 27 Posted: 14 Oct 2009
Andrea Beltratti, Paolo Colla and Anna Creti
Bocconi University - Department of Finance, Bocconi University - Department of Finance and Université Paris Ouest - Nanterre, La Défense - EconomiX
Downloads 31 (392,369)

Abstract:

emission allowances, futures

20.

Actual and Warranted Relations between Asset Prices

NBER Working Paper No. w3640
Number of pages: 27 Posted: 28 Dec 2006
Andrea Beltratti and Robert J. Shiller
Bocconi University - Department of Finance and Yale University - Cowles Foundation
Downloads 24 (405,015)
Citation 3

Abstract:

21.

The Cross-section of Risk Premia in the Italian Stock Market

Economic Notes, Vol. 31, pp. 389-416, 2002
Number of pages: 28 Posted: 24 Feb 2003
Andrea Beltratti and Massimo di Tria
Bocconi University - Department of Finance and Bocconi University
Downloads 20 (449,464)
Citation 2
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Abstract:

22.

How Important Was Contagion Through Banks During the European Sovereign Crisis?

Fisher College of Business Working Paper No. 2017-03-015, Charles A. Dice Center Working Paper No. 2017-15
Number of pages: 40 Posted: 10 Jun 2017
Andrea Beltratti and René M. Stulz
Bocconi University - Department of Finance and Ohio State University (OSU) - Department of Finance
Downloads 0 (319,689)

Abstract:

contagion, banks, systemic risk, sovereign debt, Eurozone crisis, GIIPS

23.

Basel II and Regulatory Arbitrage. Evidence from Financial Crises

Journal of Empirical Finance, Forthcoming http://dx.doi.org/10.1016/j.jempfin.2016.02.006
Posted: 07 Mar 2016
Andrea Beltratti and Giovanna Paladino
Bocconi University - Department of Finance and IntesaSanpaolo

Abstract:

Basel Accord, risk-weighted assets, internal rating models, panel data, dynamic system GMM

24.

Bank Leverage and Profitability: Evidence from a Sample of International Banks

Review of Financial Economics, Vol. 27, pp. 46-57, November 2015
Posted: 29 Nov 2015 Last Revised: 09 Dec 2015
Andrea Beltratti and Giovanna Paladino
Bocconi University - Department of Finance and IntesaSanpaolo

Abstract:

Implied cost of capital; residual income capital structure; Dynamic system GMM; Banking Industry

25.

Aggregate Hedge Funds Flows and Returns

Applied Financial Economics, Vol. 18, 2008
Posted: 29 Apr 2009
Andrea Beltratti and Claudio Morana
Bocconi University - Department of Finance and Università di Milano Bicocca

Abstract:

Hedge funds, performance, asset pricing models, unobserved components models

26.

International House Prices and Macroeconomic Fluctuations

Journal of Banking and Finance, Vol. 34, 2009
Posted: 18 Sep 2008 Last Revised: 09 Jun 2013
Andrea Beltratti and Claudio Morana
Bocconi University - Department of Finance and Università di Milano Bicocca

Abstract:

G-7, house prices, international business cycle, factor vector autoregressive models, common factors

27.

Estimating Long Memory in the Mark-Dollar Exchange Rate With High Frequency Data

Applied Financial Economics Letters, pp. 361-364, 2006
Posted: 27 Mar 2007
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

FIGARCH, IGARCH, Volatility, high frequency data, long memory

28.

Net Inflows and Time-Varying Alphas: The Case of Hedge Funds

Quantitative and Qualitative Analysis in Social Sciences, Vol. 2, No. 3, pp. 67-94, 2008
Posted: 03 Oct 2006 Last Revised: 09 Jun 2013
Andrea Beltratti and Claudio Morana
Bocconi University - Department of Finance and Università di Milano Bicocca

Abstract:

Hedge funds, performance, asset pricing models, unobserved components models

29.

Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios

Applied Financial Economics, Vol. 16, pp. 1-15, 2006
Posted: 07 Jun 2006
Andrea Beltratti and Claudio Morana
Bocconi University - Department of Finance and Università di Milano Bicocca

Abstract:

risk factors, structural change, long memory, fractional cointegration, portfolio allocation

30.

Comovements in International Stock Markets

Journal of International Financial Markets Institutions and Money, Vol. 18, pp. 31-45, 2008
Posted: 12 Apr 2006 Last Revised: 09 Jun 2013
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

realized volatility, realized correlation, stock markets, financial integration, economic integration

31.

Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility

Journal of Econometrics, Vol. 131, No. 2, pp. 151-177, April 2006
Posted: 09 Mar 2006
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

Stock market volatility, macroeconomic volatility, long memory, fractional cointegration, structural change

32.

Statistical Benefits of Value-At-Risk with Long Memory

Journal of Risk, Vol. 7, No. 4, Summer 2005
Posted: 08 Nov 2005
Andrea Beltratti and Claudio Morana
Bocconi University - Department of Finance and Università di Milano Bicocca

Abstract:

long memory models , value-at-risk, VAR, GARCH, ARFIMA, high-frequency data, multi-step point forecasting, ARFIMA-FIGARCH model

33.

Deterministic and Stochastic Methods for Estimation of Intra-Day Seasonal Components with High Frequency Data

Economic Notes, Vol. 30, No. 2, pp. 349-62, 2001
Posted: 01 Nov 2005
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

high frequency data, seasonality, unobserved components models

34.

Computing Value at Risk with High Frequency Data

Journal of Empirical Finance, Vol. 6, pp. 431-55, 1999
Posted: 01 Nov 2005
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

value at risk, GARCH, IGARCH, high frequency data

35.

Does the Stock Market Affect Income Distribution? Some Empirical Evidence for the Us

Applied Economics Letters, Vol. 14, pp. 99-104, 2007
Posted: 01 Nov 2005
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

Common trends model, economic growth, stock market, income distribution

36.

Interventions and Exchange Rates: An Analysis with High Frequency Data

Journal of International Financial Markets, Institutions and Money, Vol. 10, pp. 49-62, 2000
Posted: 01 Nov 2005
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

high frequency data, realised volatility, exchange rates interventions

37.

The Effects of the Introduction of the Euro on the Volatility of European Stock Markets

Journal of Banking and Finance, Vol. 26, No. 10, pp. 2047-64, 2002
Posted: 01 Nov 2005
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

present discounted value model, Markov switching model, stock markets, euro

38.

Structural Change and Long Range Dependence in Volatility of Exchange Rates: Either, Neither or Both?

Journal of Empirical Finance, Vol. 11, pp. 629-58, 2004
Posted: 22 Oct 2005
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

Long memory, structural change, forecasting

Other Papers (1)

Total Downloads: 0    Citations: 0
1.

Ricerca E Didattica: Valutazione Ed Incentivi

Rivista Italiana degli Economisti, Vol. 2, August 2008
Posted: 29 Jan 2010
Andrea Beltratti
Bocconi University - Department of Finance

Abstract: