Andrea Tarelli

Catholic University of Milan

Largo Gemelli, 1

Milan, 20123

Italy

http://sites.google.com/view/andreatarelli

SCHOLARLY PAPERS

7

DOWNLOADS

3,607

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (7)

1.

Chasing the ESG Factor

Number of pages: 77 Posted: 08 Jul 2021 Last Revised: 04 Nov 2021
Abraham Lioui and Andrea Tarelli
EDHEC Business School and Scientific Beta Research Chair and Catholic University of Milan
Downloads 1,330 (19,004)

Abstract:

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ESG, Factor investing, Cross-sectional asset pricing, Sentiment

2.

Sustainable Investing with ESG Rating Uncertainty

Number of pages: 65 Posted: 14 Oct 2020 Last Revised: 28 Jul 2021
Doron Avramov, Si Cheng, Abraham Lioui and Andrea Tarelli
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance, EDHEC Business School and Scientific Beta Research Chair and Catholic University of Milan
Downloads 1,146 (23,762)
Citation 2

Abstract:

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ESG, Rating Uncertainty, Portfolio Choice, Capital Asset Pricing Model

3.

Factor Investing for the Long Run

Number of pages: 85 Posted: 05 Mar 2020
Abraham Lioui and Andrea Tarelli
EDHEC Business School and Scientific Beta Research Chair and Catholic University of Milan
Downloads 297 (131,504)

Abstract:

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Factor investing, Market anomalies, Dynamic asset allocation, Portfolio choice, Return predictability, Stochastic volatility

4.

Structural Recovery of Face Value at Default

Number of pages: 30 Posted: 14 Dec 2005 Last Revised: 08 Feb 2019
Rajiv Guha, Alessandro Sbuelz and Andrea Tarelli
Alpamayo Capital Management Limited, Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and Catholic University of Milan
Downloads 258 (151,931)
Citation 4

Abstract:

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Bond risk management, Duration, Structural endogenous default risk, Recovery forms

5.

Dynamic ESG Equilibrium

Number of pages: 67 Posted: 05 Oct 2021 Last Revised: 20 Oct 2021
Doron Avramov, Abraham Lioui, Yang Liu and Andrea Tarelli
Interdisciplinary Center (IDC) Herzliyah, EDHEC Business School and Scientific Beta Research Chair, The University of Hong Kong - Faculty of Business and Economics and Catholic University of Milan
Downloads 245 (159,875)

Abstract:

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ESG, Dynamic equilibrium, Asset pricing, Preference shock

6.

Bail-In vs Bail-Out: Bank Resolution and Liability Structure

Number of pages: 56 Posted: 17 Feb 2019 Last Revised: 30 Sep 2019
Luca Leanza, Alessandro Sbuelz and Andrea Tarelli
Catholic University of Milan, Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and Catholic University of Milan
Downloads 218 (178,837)
Citation 2

Abstract:

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Bank Capital Structure, Endogenous Default, Bail-In, Bail-Out

7.

Money Illusion and TIPS Demand

Number of pages: 137 Posted: 07 May 2018 Last Revised: 11 Nov 2021
Abraham Lioui and Andrea Tarelli
EDHEC Business School and Scientific Beta Research Chair and Catholic University of Milan
Downloads 113 (307,318)

Abstract:

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Money Illusion, Term Structure of Interest Rates, TIPS, Portfolio Choice