Roberto Marfè

University of Turin - Collegio Carlo Alberto

Junior Chair

Piazza Arbarello 8

Torino, Torino 10122

Italy

SCHOLARLY PAPERS

19

DOWNLOADS
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Top 23,248

in Total Papers Downloads

3,076

SSRN CITATIONS
Rank 18,662

SSRN RANKINGS

Top 18,662

in Total Papers Citations

27

CROSSREF CITATIONS

29

Scholarly Papers (19)

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 274 (154,240)
Citation 2

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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 106 (348,004)
Citation 2

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

2.

Measuring Macroeconomic Tail Risk

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 88 Posted: 02 May 2016 Last Revised: 29 Apr 2022
Roberto Marfè and Julien Pénasse
University of Turin - Collegio Carlo Alberto and University of Luxembourg
Downloads 366 (114,062)
Citation 5

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Rare disasters, equity premium, return predictability

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 330 (127,812)
Citation 4

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

4.

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 245 (173,128)
Citation 2

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

5.
Downloads 223 (189,331)
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 162 (251,755)
Citation 1

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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 61 (482,275)
Citation 1

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

6.
Downloads 208 (202,143)
Citation 1

Dynamic Equity Slope

Number of pages: 60 Posted: 19 Aug 2020 Last Revised: 30 Oct 2020
University of Turin - Collegio Carlo Alberto, Ca Foscari University of Venice, University of Turin - Collegio Carlo Alberto and Federal Reserve Board
Downloads 167 (245,237)
Citation 1

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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: 62 Posted: 12 Jan 2021 Last Revised: 18 Oct 2021
University of Turin - Collegio Carlo Alberto, Ca Foscari University of Venice, University of Turin - Collegio Carlo Alberto and Federal Reserve Board
Downloads 41 (574,336)

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

7.

Corporate Policies and the Term Structure of Risk

Number of pages: 65 Posted: 26 Jun 2020 Last Revised: 16 Apr 2021
Matthijs Breugem, Roberto Marfè and Francesca Zucchi
University of Turin - Collegio Carlo Alberto, University of Turin - Collegio Carlo Alberto and Federal Reserve Board
Downloads 200 (209,542)
Citation 2

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Pricing of aggregate risks, Horizon of corporate policies, Temporary vs. permanent shocks

8.

Pandemic Tail Risk

Number of pages: 41 Posted: 03 Dec 2020 Last Revised: 11 Feb 2022
University of Turin - Collegio Carlo Alberto, University of Torino & CERP, University of Turin - Collegio Carlo Alberto and Collegio Carlo Alberto
Downloads 170 (242,457)

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COVID-19, tail risk, economic sectors, resilience

9.

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 144 (276,570)
Citation 3

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

10.

The Term Structures of Value and Growth Risk Premia

Number of pages: 50 Posted: 02 Jun 2020 Last Revised: 14 Jan 2021
Michael Hasler, Mariana Khapko and Roberto Marfè
University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance, University of Toronto - Finance Area and University of Turin - Collegio Carlo Alberto
Downloads 138 (285,756)
Citation 1

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

11.
Downloads 123 (311,606)
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 96 (371,592)
Citation 2

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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 27 (661,532)

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

12.

Housing Yields

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 67 Posted: 22 Mar 2021 Last Revised: 07 Dec 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 119 (319,174)

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

13.

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 107 (343,476)

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

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 105 (347,876)
Citation 7

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

15.

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 Texas at Dallas, Naveen Jindal School of Management, Department of Finance, University of Toronto - Finance Area and University of Turin - Collegio Carlo Alberto
Downloads 103 (352,310)
Citation 1

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

16.

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 60 (479,130)
Citation 3

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

17.

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 Texas at Dallas, Naveen Jindal School of Management, Department of Finance and University of Turin - Collegio Carlo Alberto
Downloads 55 (498,669)
Citation 14

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

18.

Multivariate Lévy Processes with Dependent Jump Intensity

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

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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

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

Other Papers (1)

Total Downloads: 7
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 7

Abstract:

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Housing, Rent-to-Price Ratio, Geographic Heterogeneity