Andrea Tamoni

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

15

DOWNLOADS
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3,265

CITATIONS
Rank 16,850

SSRN RANKINGS

Top 16,850

in Total Papers Citations

20

Scholarly Papers (15)

1.

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

Number of pages: 70 Posted: 30 Oct 2014 Last Revised: 14 Apr 2016
Martijn Boons and Andrea Tamoni
New University of Lisbon - Nova School of Business and Economics and London School of Economics & Political Science (LSE)
Downloads 471 (47,690)

Abstract:

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

2.

The Scale of Predictability

Number of pages: 80 Posted: 05 Dec 2012 Last Revised: 06 Oct 2016
Johns Hopkins University - Carey Business School, University of Montreal - Department of Economics, London School of Economics & Political Science (LSE) and Bocconi University, IGIER and CAREFIN
Downloads 359 (37,519)
Citation 4

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 298 (81,360)

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

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, IGIER and CAREFIN
Downloads 243 (90,325)
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: 80 Posted: 10 Oct 2013 Last Revised: 15 Jan 2017
Federico M. Bandi and Andrea Tamoni
Johns Hopkins University - Carey Business School and London School of Economics & Political Science (LSE)
Downloads 223 (57,037)

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 (113,438)

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, IGIER and CAREFIN
Downloads 104 (204,327)

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: 76 Posted: 15 Dec 2011 Last Revised: 10 Apr 2017
Bocconi University - Department of Finance, Bocconi University, London School of Economics & Political Science (LSE) and Bocconi University, IGIER and CAREFIN
Downloads 93 (145,348)

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 (260,089)
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 (272,666)
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 (521,471)
Citation 8

Abstract:

demographics, dynamic dividend growth model, long run returns predictability

12.

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 (374,425)
Citation 4

Abstract:

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

13.

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: 38 Posted: 22 Mar 2017 Last Revised: 12 Apr 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 (340,378)

Abstract:

Dynamic economies, Uncertainty

14.

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 (201,668)

Abstract:

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

15.

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 (56,201)

Abstract:

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