Andrea Tamoni

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 11,187

SSRN RANKINGS

Top 11,187

in Total Papers Downloads

3,535

CITATIONS
Rank 18,717

SSRN RANKINGS

Top 18,717

in Total Papers Citations

17

Scholarly Papers (16)

1.

Horizon-Specific Macroeconomic Risks and the Cross-Section of Expected Returns

Number of pages: 62 Posted: 30 Oct 2014 Last Revised: 23 Sep 2017
Martijn Boons and Andrea Tamoni
New University of Lisbon - Nova School of Business and Economics and London School of Economics & Political Science (LSE)
Downloads 504 (45,569)

Abstract:

Cross-sectional tests, firm-level stock returns, long horizons, macroeconomic risks, consumption, linear multifactor models

2.

The Scale of Predictability

Number of pages: 41 Posted: 05 Dec 2012 Last Revised: 11 Oct 2017
Johns Hopkins University - Carey Business School, University of Montreal - Department of Economics, London School of Economics & Political Science (LSE) and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 359 (35,572)

Abstract:

long run, predictability, aggregation, risk-return trade-off

Implications of Return Predictability across Horizons for Asset Pricing Models

Number of pages: 59 Posted: 04 Dec 2012 Last Revised: 11 Apr 2017
Carlo A. Favero, Fulvio Ortu, Andrea Tamoni and Haoxi Yang
Bocconi University - Department of Finance, Bocconi University - Department of Finance, London School of Economics & Political Science (LSE) and Nankai University
Downloads 306 (82,013)

Abstract:

return predictability, predictors-based bound, asset pricing models

Implications of Return Predictability Across Horizons for Asset Pricing Models

CEPR Discussion Paper No. DP11645
Number of pages: 64 Posted: 22 Nov 2016
Carlo A. Favero, Fulvio Ortu, Andrea Tamoni and Haoxi Yang
Bocconi University - Department of Finance, Bocconi University - Department of Finance, London School of Economics & Political Science (LSE) and Nankai University
Downloads 0
  • Add to Cart

Abstract:

asset pricing models, predictors-based bound, return predictability

4.

Long Run Risk and the Persistence of Consumption Shocks

Number of pages: 62 Posted: 22 Nov 2010 Last Revised: 01 Jun 2013
Fulvio Ortu, Andrea Tamoni and Claudio Tebaldi
Bocconi University - Department of Finance, London School of Economics & Political Science (LSE) and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 243 (93,431)
Citation 2

Abstract:

Long-run risk, Persistence heterogeneity, Temporal aggregation, Consumption predictability

5.

The Horizon of Systematic Risk: A New Beta Representation

Number of pages: 56 Posted: 10 Oct 2013 Last Revised: 03 Aug 2017
Federico M. Bandi and Andrea Tamoni
Johns Hopkins University - Carey Business School and London School of Economics & Political Science (LSE)
Downloads 223 (51,877)

Abstract:

frequency-specific betas, C-CAPM, business-cycle consumption

6.

Long-Run Factors and Fluctuations in Dividend/Price

EFA 2009 Bergen Meetings Paper
Number of pages: 58 Posted: 14 Feb 2009 Last Revised: 11 Mar 2014
Bocconi University - Department of Finance, University of Warwick and London School of Economics & Political Science (LSE)
Downloads 212 (116,009)

Abstract:

error correction, long run predictability, equity premium, demographics

7.

Long Run and the Temporal Aggregation of Risks

Number of pages: 63 Posted: 18 Mar 2010 Last Revised: 23 Nov 2010
Fulvio Ortu, Andrea Tamoni and Claudio Tebaldi
Bocconi University - Department of Finance, London School of Economics & Political Science (LSE) and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 104 (210,119)

Abstract:

Persistence heterogeneity, Temporal aggregation, Permanent-transitory decomposition, Term-structure of risks, Long-run risks

8.

A Persistence-Based Wold-Type Decomposition for Stationary Time Series

Number of pages: 84 Posted: 15 Dec 2011 Last Revised: 17 Oct 2017
Bocconi University - Department of Finance, Bocconi University, London School of Economics & Political Science (LSE) and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 93 (134,590)

Abstract:

Wold decomposition, Abstract Wold Theorem, persistence heterogeneity, impulse response functions, forecasting

9.

Demographics and the Term Structure of Stock Market Risk

Number of pages: 28 Posted: 22 Feb 2010 Last Revised: 20 May 2010
Andrea Tamoni and Carlo A. Favero
London School of Economics & Political Science (LSE) and Bocconi University - Department of Finance
Downloads 70 (262,978)
Citation 2

Abstract:

Dynamic Dividend Growth Model, Long Run Returns Predictability, Demographics

10.

News Shocks and Asset Prices

Number of pages: 33 Posted: 14 Dec 2013 Last Revised: 10 Mar 2015
Aytek Malkhozov and Andrea Tamoni
Board of Governors of the Federal Reserve System and London School of Economics & Political Science (LSE)
Downloads 46 (264,883)
Citation 1

Abstract:

Anticipated shocks, sources of aggregate fluctuations, Bayesian estimation, DSGE model.

11.

Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns

CEPR Discussion Paper No. DP7734
Number of pages: 50 Posted: 17 Mar 2010
Bocconi University - Department of Finance, University of Warwick and London School of Economics & Political Science (LSE)
Downloads 3 (537,420)
Citation 8
  • Add to Cart

Abstract:

demographics, dynamic dividend growth model, long run returns predictability

12.

Value Timing: Risk and Return Across Asset Classes

Number of pages: 54 Posted: 17 Oct 2017
Fahiz M. Baba Yara, Martijn Boons and Andrea Tamoni
New University of Lisbon - Nova School of Business and Economics, New University of Lisbon - Nova School of Business and Economics and London School of Economics & Political Science (LSE)
Downloads 0 (426,256)

Abstract:

Value Premium, Value Spread Predictability, Stocks, Bonds, Currencies, Commodities

13.

The Multi-Horizon Dynamics of Risk and Returns

Number of pages: 63 Posted: 07 Apr 2017
Andrea Tamoni
London School of Economics & Political Science (LSE)
Downloads 0 (358,295)
Citation 4

Abstract:

Risk-Return; Stock return predictability; Macroeconomic Uncertainty; Multi-scale time series models

14.

Risk Aversion and the Response of the Macroeconomy to Uncertainty Shocks

Georgia Tech Scheller College of Business Research Paper No. 17-13
Number of pages: 53 Posted: 22 Mar 2017 Last Revised: 20 Sep 2017
Lorenzo Bretscher, Alex C. Hsu and Andrea Tamoni
London School of Economics & Political Science (LSE), Georgia Institute of Technology - Scheller College of Business and London School of Economics & Political Science (LSE)
Downloads 0 (295,709)

Abstract:

Dynamic economies, Uncertainty, Epstein-Zin Preferences

15.

Level and Volatility Shocks to Fiscal Policy: Term Structure Implications

Number of pages: 66 Posted: 15 Sep 2016 Last Revised: 19 Dec 2016
Lorenzo Bretscher, Alex C. Hsu and Andrea Tamoni
London School of Economics & Political Science (LSE), Georgia Institute of Technology - Scheller College of Business and London School of Economics & Political Science (LSE)
Downloads 0 (181,810)

Abstract:

Term structure, Uncertainty, Fiscal Policy, Monetary Policy, DSGE Estimation

16.

The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling

Number of pages: 78 Posted: 03 Nov 2015 Last Revised: 10 Jul 2016
Daniele Bianchi and Andrea Tamoni
University of Warwick, Warwick Business School and London School of Economics & Political Science (LSE)
Downloads 0 (54,084)

Abstract:

Expected Returns, Long-Horizon Predictability, Multi-Scale, Bayesian Methods