Andrea Tamoni

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

1 Washington Park

Newark, NJ 07102

United States

SCHOLARLY PAPERS

29

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10,484

SSRN CITATIONS
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Top 9,548

in Total Papers Citations

58

CROSSREF CITATIONS

64

Scholarly Papers (29)

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 Warwick - Finance Group and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,994 (8,471)
Citation 12

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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
New University of Lisbon - Nova School of Business and Economics, New University of Lisbon - Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 956 (26,222)
Citation 2

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

3.

The Scale of Predictability

Number of pages: 67 Posted: 05 Dec 2012 Last Revised: 17 Jul 2018
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 785 (34,626)
Citation 21

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

4.

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
Johns Hopkins University - Carey Business School, Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 717 (39,307)
Citation 5

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

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
New University of Lisbon - Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 683 (41,912)
Citation 12

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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 582 (51,668)
Citation 1

Abstract:

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C-CAPM, business-cycle consumption, aggregation

7.

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 509 (61,133)
Citation 2

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

8.

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 467 (68,031)
Citation 5

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Bond Risk Premia, Fiscal Policy, Uncertainty

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 389 (83,722)
Citation 4

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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
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asset pricing models, predictors-based bound, return predictability

10.

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

Number of pages: 50 Posted: 15 Dec 2011 Last Revised: 31 Jul 2019
Bocconi University - Department of Finance, Université Lavalaffiliation not provided to SSRN, 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 321 (105,218)

Abstract:

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Wold decomposition, temporal aggregation, persistence heterogeneity, forecasting

11.

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 318 (106,322)
Citation 9

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

12.

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

Georgia Tech Scheller College of Business Research Paper No. 3588418
Number of pages: 56 Posted: 30 Apr 2020 Last Revised: 17 Aug 2020
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 300 (113,609)
Citation 12

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

13.

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

Swiss Finance Institute Research Paper No. 19-52, Forthcoming in Management Science
Number of pages: 54 Posted: 17 Mar 2012 Last Revised: 17 Aug 2020
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 299 (113,609)
Citation 1

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

14.

Smart Beta Made Smart

Swedish House of Finance Research Paper No. 20-21
Number of pages: 46 Posted: 24 Sep 2020 Last Revised: 28 Sep 2020
Stockholm School of Economics, Stockholm School of Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 275 (124,571)

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

15.

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 267 (128,017)
Citation 5

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Risk Aversion, Uncertainty, Conditional IRF, Dynamic Economies

16.

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 242 (141,443)
Citation 4

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

17.

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
Bocconi University - Department of Finance, University of Warwick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 240 (142,501)

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error correction, long run predictability, equity premium, demographics

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 Warwick - Finance Group and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 215 (158,286)
Citation 3

Abstract:

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

19.
Downloads 196 (172,688)
Citation 1

Factor Models with Drifting Prices

Number of pages: 53 Posted: 12 Jul 2019 Last Revised: 12 Jun 2020
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 196 (172,536)
Citation 2

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Long-Horizon Returns, Predictability, Mispricing, Factor Models, Equilibrium Correction Term.

20.

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 127 (249,735)

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Dynamic equilibrium economies, Stochastic volatility, Perturbation, Matlab code

21.

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 125 (251,290)
Citation 1

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

22.

New and Old Sorts: Implications for Asset Pricing

Number of pages: 76 Posted: 06 Mar 2020 Last Revised: 21 Apr 2020
Fahiz 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 Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 106 (282,939)

Abstract:

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Characteristic-Based Return Predictability, Horizon, Pricing Errors, Tests of Asset Pricing Models, Factors

23.

Uncertainty trends, valuation ratios and predictability

Number of pages: 65 Posted: 14 Oct 2018 Last Revised: 17 Sep 2020
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 96 (302,296)

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

24.

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 91 (312,794)

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Dynamic Dividend Growth Model, Long Run Returns Predictability, Demographics

25.

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 75 (351,307)
Citation 5

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

26.

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 49 (433,490)
Citation 1

Abstract:

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

27.
Downloads 45 (449,006)
Citation 1

When It Rains It Pours: Cascading Uncertainty Shocks

Number of pages: 61 Posted: 30 Jul 2019 Last Revised: 31 Aug 2020
Anthony M. Diercks, Alex Hsu and Andrea Tamoni
Board of Governors of the Federal Reserve System: Monetary and Financial Market Analysis, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 32 (519,772)
Citation 1

Abstract:

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Dynamic Equilibrium Economies; Stochastic Volatility; Perturbation.

When it Rains it Pours: Cascading Uncertainty Shocks

FEDS Working Paper No. 2020-064
Number of pages: 65 Posted: 25 Aug 2020
Anthony M. Diercks, Alex Hsu and Andrea Tamoni
Board of Governors of the Federal Reserve System: Monetary and Financial Market Analysis, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 13 (648,899)

Abstract:

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Dynamic Equilibrium Economies, Stochastic Volatility, Perturbation

28.

Monetary Policy and Bond Prices with Drifting Equilibrium Rates

Number of pages: 37 Posted: 15 Oct 2020 Last Revised: 17 Oct 2020
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 12 (645,845)

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Monetary Policy Rule, Sovereign Bond Yields, Term Structure, Drifting Equilibrium Rate Drivers, Return Predictability

29.

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 Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 3 (698,175)
Citation 4
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demographics, dynamic dividend growth model, long run returns predictability