Roberto Marfè

University of Turin - Collegio Carlo Alberto

Junior Chair

Piazza Arbarello 8

Torino, Torino 10122

Italy

  • University of Turin - Collegio Carlo Alberto

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 23,040

SSRN RANKINGS

Top 23,040

in Total Papers Downloads

3,903

SSRN CITATIONS
Rank 16,682

SSRN RANKINGS

Top 16,682

in Total Papers Citations

52

CROSSREF CITATIONS

26

Scholarly Papers (19)

Actions:
Email selected abstracts
1.

Measuring Macroeconomic Tail Risk

Number of pages: 96 Posted: 02 May 2016 Last Revised: 06 Feb 2023
Roberto Marfè and Julien Pénasse
University of Turin - Collegio Carlo Alberto and University of Luxembourg
Downloads 562 (85,354)
Citation 5

Abstract:

Loading...

Rare disasters, equity premium, return predictability

2.

Survey Expectations and the Equilibrium Risk-Return Trade Off

Downloads 415 (122,991)
Citation 2

Survey Expectations and the Equilibrium Risk-Return Trade Off

Number of pages: 45 Posted: 17 Dec 2011 Last Revised: 04 Aug 2018
Matthijs Breugem and Roberto Marfè
University of Turin - Collegio Carlo Alberto and University of Turin - Collegio Carlo Alberto
Downloads 298 (175,396)
Citation 2

Abstract:

Loading...

risk-return trade off, survey expectations, pro-cyclical optimism, asset pricing puzzles, heterogeneous preferences

Survey Expectations and the Equilibrium Risk-Return Trade Off

Number of pages: 45 Posted: 15 Mar 2012 Last Revised: 04 Aug 2018
Matthijs Breugem and Roberto Marfè
University of Turin - Collegio Carlo Alberto and University of Turin - Collegio Carlo Alberto
Downloads 117 (405,914)
Citation 2

Abstract:

Loading...

risk-return trade off, survey expectations, general equilibrium, optimism, asset pricing puzzles, heterogeneous preferences, external habit, forecast errors, closed-form expression

3.

Labor Rigidity and the Dynamics of the Value Premium

Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 57 Posted: 27 May 2015 Last Revised: 29 Nov 2017
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 347 (150,172)
Citation 4

Abstract:

Loading...

value premium, labor rigidity, term-structure, predictability, duration

4.

Dynamic Equity Slope

Downloads 334 (156,433)

Dynamic Equity Slope

Number of pages: 82 Posted: 19 Aug 2020 Last Revised: 22 Jul 2022
Matthijs Breugem, Stefano Colonnello, Roberto Marfè and Francesca Zucchi
University of Turin - Collegio Carlo Alberto, Ca Foscari University of Venice, University of Turin - Collegio Carlo Alberto and European Central Bank
Downloads 228 (229,886)

Abstract:

Loading...

term structure of equity, price dynamics, general equilibrium, expected growth volatility

Dynamic Equity Slope

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21/WP/2020, Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 85 Posted: 12 Jan 2021 Last Revised: 17 Apr 2023
Matthijs Breugem, Stefano Colonnello, Roberto Marfè and Francesca Zucchi
University of Turin - Collegio Carlo Alberto, Ca Foscari University of Venice, University of Turin - Collegio Carlo Alberto and European Central Bank
Downloads 106 (436,625)

Abstract:

Loading...

Term Structure of Equity, Dynamics, General Equilibrium, Expected Growth Volatility

5.

Consumption Risk, Preference Heterogeneity and Asset Prices

Number of pages: 55 Posted: 28 Mar 2011 Last Revised: 16 Oct 2014
Giuliano Curatola and Roberto Marfè
University of Siena - Department of Economics and Statistics and University of Turin - Collegio Carlo Alberto
Downloads 265 (199,077)
Citation 2

Abstract:

Loading...

equilibrium asset pricing, heterogeneous preferences, external habit, portfolio strategies, closed form expression

6.

Pandemic Tail Risk

Number of pages: 44 Posted: 03 Dec 2020 Last Revised: 19 Jan 2023
Matthijs Breugem, Raffaele Corvino, Roberto Marfè and Lorenzo Schoenleber
University of Turin - Collegio Carlo Alberto, University of Torino & CERP, University of Turin - Collegio Carlo Alberto and University of Turin - Collegio Carlo Alberto
Downloads 263 (200,558)
Citation 3

Abstract:

Loading...

COVID-19, tail risk, economic sectors, resilience

7.

Asset Prices and the Heterogeneous Impact of News

Downloads 254 (207,633)
Citation 1

Asset Prices and the Heterogeneous Impact of News

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 58 Posted: 14 Feb 2011 Last Revised: 17 Oct 2011
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 176 (291,484)
Citation 1

Abstract:

Loading...

Heterogeneous preferences, general equilibrium, closed-form expression, equity premium, countercyclical Sharpe ratio

Asset Prices and the Heterogeneous Impact of News

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 58 Posted: 12 Oct 2011
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 78 (533,875)
Citation 1

Abstract:

Loading...

Heterogeneous preferences, countercyclical Sharpe ratio, equity premium, volatility feedback, closed-form expression

8.

Corporate Policies and the Term Structure of Risk

Number of pages: 66 Posted: 26 Jun 2020 Last Revised: 29 Aug 2023
Matthijs Breugem, Roberto Marfè and Francesca Zucchi
University of Turin - Collegio Carlo Alberto, University of Turin - Collegio Carlo Alberto and European Central Bank
Downloads 243 (216,775)

Abstract:

Loading...

Horizon of corporate policies; Term structure of risk; Temporary vs.\ permanent shocks

9.

The Term Structures of Value and Growth Risk Premia

Number of pages: 44 Posted: 02 Jun 2020 Last Revised: 09 Jan 2023
Michael Hasler, Mariana Khapko and Roberto Marfè
University of Neuchatel, University of Toronto - Finance Area and University of Turin - Collegio Carlo Alberto
Downloads 185 (279,162)
Citation 1

Abstract:

Loading...

Asset Pricing, Information Acquisition, Term Structures, Risk Premia, Value and Growth Firms

10.

Housing Yields

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 74 Posted: 22 Mar 2021 Last Revised: 23 Dec 2022
Stefano Colonnello, Roberto Marfè and Qizhou Xiong
Ca Foscari University of Venice, University of Turin - Collegio Carlo Alberto and Said Business School, University of Oxford
Downloads 180 (285,946)
Citation 2

Abstract:

Loading...

Housing, Rent-to-Price Ratio, Asset Pricing, Agglomeration Economies

11.

A Multivariate Pure-Jump Model with Multi-Factorial Dependence Structure

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 29 Posted: 14 Feb 2011 Last Revised: 02 Jan 2012
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 161 (314,770)
Citation 3

Abstract:

Loading...

Lévy processes, multivariate subordinators, dependence, correlation, multivariate asset pricing, multi-factorial modelling, variance gamma

12.

Labor Rigidity, Inflation Risk and Bond Returns

Downloads 150 (333,976)
Citation 2

Labor Rigidity, Inflation Risk and Bond Returns

Number of pages: 40 Posted: 17 Oct 2015
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 112 (419,333)
Citation 2

Abstract:

Loading...

labor rigidity, inflation, term-structure, interest rates, equilibrium asset pricing

Labor Rigidity, Inflation Risk and Bond Returns

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 40 Posted: 04 Jun 2016
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 38 (756,531)
Citation 1

Abstract:

Loading...

labor rigidity, inflation, term-structure, interest rates, equilibrium asset pricing

13.

Should Investors Learn About the Timing of Equity Risk?

Journal of Financial Economics (JFE), 2020
Number of pages: 68 Posted: 02 Jun 2020
Michael Hasler, Mariana Khapko and Roberto Marfè
University of Neuchatel, University of Toronto - Finance Area and University of Turin - Collegio Carlo Alberto
Downloads 137 (358,843)
Citation 5

Abstract:

Loading...

portfolio choice, learning, short-term risks, long-term risks

14.

Income Insurance and the Equilibrium Term-Structure of Equity

Journal of Finance, Forthcoming
Number of pages: 83 Posted: 15 Jun 2016
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 127 (380,120)
Citation 7

Abstract:

Loading...

term structure of equity, income insurance, dividend strips, risk sharing, equilibrium asset pricing

15.

Time-Change Risks and the Aggregate Stock Market Behavior

Number of pages: 58 Posted: 16 Jan 2011
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 123 (389,527)

Abstract:

Loading...

Asset pricing, Consumption CAPM, Time-change, Asset pricing puzzles, Uncertainty

16.

Disaster Recovery and the Term Structure of Dividend Strips

Journal of Financial Economics (JFE), 2020
Number of pages: 60 Posted: 02 Jun 2020
Michael Hasler and Roberto Marfè
University of Neuchatel and University of Turin - Collegio Carlo Alberto
Downloads 86 (497,993)
Citation 14

Abstract:

Loading...

Recovery, Rare disasters, Term structures of equity, Dividend strips, Asset pricing puzzles

17.

Labor Relations, Endogenous Dividends and the Equilibrium Term Structure of Equity

Number of pages: 48 Posted: 05 Oct 2013 Last Revised: 06 Oct 2013
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 71 (560,836)
Citation 3

Abstract:

Loading...

term structure of equity, dividend strips, distributional risk, income insurance, equilibrium, asset pricing

18.

Multivariate Lévy Processes with Dependent Jump Intensity

Quantitative Finance, Forthcoming
Posted: 20 Jul 2011
Roberto Marfè
University of Turin - Collegio Carlo Alberto

Abstract:

Loading...

Lévy processes, multivariate subordinators, dependence, correlation, multivariate asset pricing, non-Gaussian distributions

19.

A Generalized Variance Gamma Process for Financial Applications

Quantitative Finance, Forthcoming
Posted: 14 Feb 2011
Roberto Marfè
University of Turin - Collegio Carlo Alberto

Abstract:

Loading...

Lévy processes, Multivariate subordinators, Dependence, Correlation, Multivariate asset pricing, Variance gamma

Other Papers (1)

Total Downloads: 28
Actions:
Email selected abstracts
1.

Housing Yields

Number of pages: 67 Posted: 24 Nov 2021
Stefano Colonnello, Roberto Marfè and Qizhou Xiong
Ca Foscari University of Venice, University of Turin - Collegio Carlo Alberto and Said Business School, University of Oxford
Downloads 28

Abstract:

Loading...

Housing, Rent-to-Price Ratio, Geographic Heterogeneity