Roberto Marfè

University of Turin - Collegio Carlo Alberto

Junior Chair

Piazza Arbarello 8

Torino, Torino 10122

Italy

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 27,036

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Top 27,036

in Total Papers Downloads

1,870

SSRN CITATIONS
Rank 25,967

SSRN RANKINGS

Top 25,967

in Total Papers Citations

5

CROSSREF CITATIONS

25

Scholarly Papers (15)

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 255 (128,111)
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 97 (291,019)
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.

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 305 (106,512)
Citation 4

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

3.

The Time-Varying Risk of Macroeconomic Disasters

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 52 Posted: 02 May 2016 Last Revised: 06 Jun 2017
Roberto Marfè and Julien Penasse
University of Turin - Collegio Carlo Alberto and University of Luxembourg
Downloads 252 (130,786)
Citation 6

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Rare disasters, equity premium, return predictability, state-space model

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 228 (143,720)
Citation 2

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

5.
Downloads 217 (150,716)
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 159 (199,589)
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 58 (392,494)
Citation 1

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

6.

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 141 (219,990)
Citation 1

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

7.
Downloads 110 (265,141)
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 90 (305,419)
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 20 (575,217)

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

8.

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 103 (277,600)

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

9.

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 99 (285,143)
Citation 1

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

10.

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 56 (393,465)
Citation 3

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

11.

Should investors learn about the timing of equity risk?

Journal of Financial Economics (JFE)
Number of pages: 68
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 4

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

12.

Corporate Policies and the Term Structure of Risk

Number of pages: 53
Matthijs Breugem, Roberto Marfè and Francesca Zucchi
University of Turin - Collegio Carlo Alberto, University of Turin - Collegio Carlo Alberto and Federal Reserve Board
Downloads 2

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Temporary vs. permanent shocks, Term structure of risk prices, Corporate horizon

13.

Disaster recovery and the term structure of dividend strips

Journal of Financial Economics (JFE)
Number of pages: 60
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 1

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

14.

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

15.

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