Andrea Tamoni

Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

1 Washington Park

Newark, NJ 07102

United States

  • Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

SCHOLARLY PAPERS

30

DOWNLOADS
Rank 3,541

SSRN RANKINGS

Top 3,541

in Total Papers Downloads

13,424

SSRN CITATIONS
Rank 7,789

SSRN RANKINGS

Top 7,789

in Total Papers Citations

97

CROSSREF CITATIONS

73

Scholarly Papers (30)

Actions:
Email selected abstracts
1.

Bond Risk Premia with Machine Learning

WBS Finance Group Research Paper No. 252
Number of pages: 86 Posted: 26 Aug 2018 Last Revised: 08 Apr 2020
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 2,829 (5,418)
Citation 20

Abstract:

Loading...

Machine Learning, Ensembled Networks, Forecasting, Bond Return Predictability, Empirical Asset Pricing

2.

Value Return Predictability Across Asset Classes and Commonalities in Risk Premia

Number of pages: 82 Posted: 17 Oct 2017 Last Revised: 21 Nov 2019
Fahiz Baba Yara, Martijn Boons and Andrea Tamoni
Indiana University - Kelley School of Business, Tilburg University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,185 (21,635)
Citation 4

Abstract:

Loading...

Value Premium, Value Spread, Global Asset Pricing, Return Predictability, Alternative Assets, Common and Asset-Class-Specific Value

3.

Spectral Factor Models

Johns Hopkins Carey Business School Research Paper No. 18-17
Number of pages: 52 Posted: 13 Nov 2018 Last Revised: 14 Aug 2020
Federico M. Bandi, Shomesh Chaudhuri, Andrew W. Lo and Andrea Tamoni
Johns Hopkins University - Carey Business School, Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 954 (29,618)
Citation 6

Abstract:

Loading...

systematic risk, factor models, investment horizon, cross-sectional pricing

4.

The Scale of Predictability

Number of pages: 67 Posted: 05 Dec 2012 Last Revised: 17 Jul 2018
Federico M. Bandi, Benoit Perron, Andrea Tamoni and Claudio Tebaldi
Johns Hopkins University - Carey Business School, University of Montreal - Department of Economics, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 809 (37,217)
Citation 22

Abstract:

Loading...

predictability, frequency, aggregation, risk-return trade-off

5.

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
Tilburg University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 711 (44,428)
Citation 13

Abstract:

Loading...

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

6.

Business-cycle consumption risk and asset prices

Number of pages: 42 Posted: 10 Oct 2013 Last Revised: 22 Jul 2020
Federico M. Bandi and Andrea Tamoni
Johns Hopkins University - Carey Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 622 (53,017)
Citation 1

Abstract:

Loading...

C-CAPM, business-cycle consumption, aggregation

7.

Fiscal Policy Driven Bond Risk Premia

Number of pages: 100 Posted: 15 Sep 2016 Last Revised: 10 Apr 2019
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 564 (59,942)
Citation 7

Abstract:

Loading...

Bond Risk Premia, Fiscal Policy, Uncertainty

8.

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
School of Economics and Finance, Queen Mary University of London and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 529 (64,927)
Citation 2

Abstract:

Loading...

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

9.

COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission

Georgia Tech Scheller College of Business Research Paper No. 3588418, Swiss Finance Institute Research Paper No. 21-05
Number of pages: 58 Posted: 30 Apr 2020 Last Revised: 26 Jan 2021
Lorenzo Bretscher, Alex Hsu, Peter Simasek and Andrea Tamoni
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 507 (68,463)
Citation 16

Abstract:

Loading...

COVID-19, Equity Returns, Labor Supply, Uncertainty, Earnings Forecast

10.

Smart Beta Made Smart: Synthetic Risk Factors for Institutional and Retail Investors

Swedish House of Finance Research Paper No. 20-21
Number of pages: 69 Posted: 24 Sep 2020 Last Revised: 08 Mar 2021
Andreas Johansson, Riccardo Sabbatucci and Andrea Tamoni
Stockholm School of Economics, Stockholm School of Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 470 (75,194)

Abstract:

Loading...

Smart beta, factor investing, tradable risk premia, daily flows to smart beta strategies

11.

Implications of Return Predictability for Consumption Dynamics and Asset Pricing

Downloads 398 ( 91,405)
Citation 7

Implications of Return Predictability for Consumption Dynamics and Asset Pricing

Number of pages: 53 Posted: 04 Dec 2012 Last Revised: 23 Jun 2018
Carlo A. Favero, Fulvio Ortu, Andrea Tamoni and Haoxi Yang
Bocconi University - Department of Finance, Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Nankai University
Downloads 398 (90,613)
Citation 7

Abstract:

Loading...

stochastic discount factor, predictors-based bounds, long run

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, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Nankai University
Downloads 0
  • Add to Cart

Abstract:

Loading...

asset pricing models, predictors-based bound, return predictability

12.

Mind the (Convergence) Gap: Bond Predictability Strikes Back!

Swiss Finance Institute Research Paper No. 19-52, Forthcoming, Management Science
Number of pages: 54 Posted: 17 Mar 2012 Last Revised: 05 Mar 2021
Andrea Berardi, Michael Markovich, Alberto Plazzi and Andrea Tamoni
Ca Foscari University of Venice - Dipartimento di Economia, QIO Quantitative Investment Office, Swiss Finance Institute and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 347 (106,837)
Citation 2

Abstract:

Loading...

Bond Risk Premia, Forward Rates, Monetary Policy, Natural Rate of Interest, Bond Predictability

13.

Factor Models with Drifting Prices

Downloads 328 (114,181)
Citation 2

Factor Models with Drifting Prices

Number of pages: 87 Posted: 12 Jul 2019 Last Revised: 12 May 2021
Carlo A. Favero, Alessandro Melone and Andrea Tamoni
Bocconi University - Department of Finance, Vienna Graduate School of Finance (VGSF) and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 328 (113,468)
Citation 3

Abstract:

Loading...

Factor Models, Long-Horizon Returns, Mispricing, Predictability, Diagnostic Expectations.

14.

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

Number of pages: 50 Posted: 15 Dec 2011 Last Revised: 31 Jul 2019
Fulvio Ortu, Federico Severino, Andrea Tamoni and Claudio Tebaldi
Bocconi University - Department of Finance, Université Laval, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 327 (114,181)
Citation 4

Abstract:

Loading...

Wold decomposition, temporal aggregation, persistence heterogeneity, forecasting

15.

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, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 324 (115,327)
Citation 18

Abstract:

Loading...

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

16.

The Real Response to Uncertainty Shocks: the Risk Premium Channel

Georgia Tech Scheller College of Business Research Paper No. 17-13
Number of pages: 62 Posted: 22 Mar 2017 Last Revised: 30 Apr 2020
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 309 (121,271)
Citation 5

Abstract:

Loading...

Risk Aversion, Uncertainty, Conditional IRF, Dynamic Economies

17.

New and Old Sorts: Implications for Asset Pricing

Number of pages: 81 Posted: 06 Mar 2020 Last Revised: 01 Jul 2021
Fahiz Baba Yara, Martijn Boons and Andrea Tamoni
Indiana University - Kelley School of Business, Tilburg University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 305 (122,998)
Citation 3

Abstract:

Loading...

Characteristics, Persistence, Cross-Sectional Return Predictability, Test Assets, Factor Models

18.

What Matters When? Time-Varying Sparsity in Expected Returns

WBS Finance Group Research Paper
Number of pages: 64 Posted: 20 Aug 2019 Last Revised: 07 May 2020
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 286 (131,614)
Citation 2

Abstract:

Loading...

Sparsity, Returns Predictability, Cross Section of Returns, Anomalies, Asset Pricing

19.

Dynamic Asset (Mis)Pricing: Build-up vs. Resolution Anomalies

Downloads 276 (137,164)

Dynamic Asset (Mis)Pricing: Build-up vs. Resolution Anomalies

Number of pages: 69 Posted: 18 Feb 2021 Last Revised: 25 Jun 2021
Jules H. van Binsbergen, Martijn Boons, Christian C. Opp and Andrea Tamoni
University of Pennsylvania - The Wharton School, Tilburg University, University of Rochester - Simon Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 276 (136,480)

Abstract:

Loading...

Dynamic Price Wedges, Build-up, Resolution, Alphas, Persistence

Dynamic Asset (Mis)Pricing: Build-Up vs. Resolution Anomalies

CEPR Discussion Paper No. DP16353
Number of pages: 72 Posted: 14 Jul 2021
Jules H. van Binsbergen, Martijn Boons, Christian Opp and Andrea Tamoni
University of Pennsylvania - The Wharton School, Tilburg University, University of Rochester and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 0
  • Add to Cart

Abstract:

Loading...

20.

Expectations and Aggregate Risk

Number of pages: 66 Posted: 14 Dec 2013 Last Revised: 30 Apr 2020
Lorenzo Bretscher, Aytek Malkhozov and Andrea Tamoni
London Business School - Department of Finance, Board of Governors of the Federal Reserve System and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 259 (145,771)
Citation 4

Abstract:

Loading...

News Shocks, Consumption-CAPM, Cross Section of Returns, Market-to-Book Decomposition

21.

Long-Run Factors and Fluctuations in Dividend/Price

EFA 2009 Bergen Meetings Paper, WBS Finance Group Research Paper No. 110
Number of pages: 58 Posted: 14 Feb 2009 Last Revised: 23 Dec 2019
Carlo A. Favero, Arie Eskenazi Gozluklu and Andrea Tamoni
Bocconi University - Department of Finance, University of Warwick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 248 (152,150)

Abstract:

Loading...

error correction, long run predictability, equity premium, demographics

22.

Uncertainty trends

Number of pages: 67 Posted: 14 Oct 2018 Last Revised: 14 Nov 2020
Federico M. Bandi, Lorenzo Bretscher and Andrea Tamoni
Johns Hopkins University - Carey Business School, London Business School - Department of Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 142 (250,122)

Abstract:

Loading...

uncertainty trends, valuation ratios, endogenous growth, price rigidities, financial uncertainty

23.

Implementing Stochastic Volatility in DSGE Models: A Comment

Georgia Tech Scheller College of Business Research Paper No. 17-40
Number of pages: 22 Posted: 21 Oct 2017 Last Revised: 01 Jul 2018
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 140 (252,914)

Abstract:

Loading...

Dynamic equilibrium economies, Stochastic volatility, Perturbation, Matlab code

24.

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, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 127 (272,461)
Citation 1

Abstract:

Loading...

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

25.

Monetary Policy and Bond Prices with Drifting Equilibrium Rates

Number of pages: 49 Posted: 15 Oct 2020 Last Revised: 30 Apr 2021
Carlo A. Favero, Alessandro Melone and Andrea Tamoni
Bocconi University - Department of Finance, Vienna Graduate School of Finance (VGSF) and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 121 (284,241)
Citation 1

Abstract:

Loading...

Monetary Policy Rule, Secular Trends, Term Structure, Diagnostic Expectations, Bond Return Predictability

26.

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
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - Department of Finance
Downloads 95 (332,939)

Abstract:

Loading...

Dynamic Dividend Growth Model, Long Run Returns Predictability, Demographics

27.

The Multi-Horizon Dynamics of Risk and Returns

Number of pages: 63 Posted: 07 Apr 2017
Andrea Tamoni
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 81 (367,292)
Citation 5

Abstract:

Loading...

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

28.

Sparse Predictive Regressions: Statistical Performance and Economic Significance

Number of pages: 30 Posted: 29 Oct 2019 Last Revised: 31 Oct 2019
Daniele Bianchi and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 76 (380,969)
Citation 3

Abstract:

Loading...

Return Predictability, Empirical Asset Pricing, Machine Learning, Bayesian Methods, Penalized Regressions.

29.

When It Rains It Pours: Cascading Uncertainty Shocks

Number of pages: 100 Posted: 30 Jul 2019 Last Revised: 20 Jun 2021
Anthony M. Diercks, Alex Hsu and Andrea Tamoni
Board of Governors of the Federal Reserve System, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 52 (461,028)
Citation 2

Abstract:

Loading...

Dynamic Equilibrium Economies; Stochastic Volatility; Perturbation.

30.

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
Carlo A. Favero, Arie Eskenazi Gozluklu and Andrea Tamoni
Bocconi University - Department of Finance, University of Warwick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 3 (756,868)
Citation 8
  • Add to Cart

Abstract:

Loading...

demographics, dynamic dividend growth model, long run returns predictability

Other Papers (1)

Total Downloads: 34
Actions:
Email selected abstracts
1.

When it Rains it Pours: Cascading Uncertainty Shocks

FEDS Working Paper No. 2020-64
Number of pages: 65 Posted: 25 Aug 2020 Last Revised: 23 Jun 2021
Anthony M. Diercks, Alex Hsu and Andrea Tamoni
Board of Governors of the Federal Reserve System, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 34

Abstract:

Loading...