Matthijs Breugem

University of Turin - Collegio Carlo Alberto

via Real Collegio 30

Moncalieri, Torino 10024

Italy

SCHOLARLY PAPERS

6

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7

Scholarly Papers (6)

Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency

INSEAD Working Paper No. 2017/21/FIN
Number of pages: 56 Posted: 01 Feb 2017 Last Revised: 19 Oct 2018
Matthijs Breugem and Adrian Buss
University of Turin - Collegio Carlo Alberto and INSEAD - Finance
Downloads 342 (87,439)

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benchmarking, institutional investors, informational efficiency, asset allocation, asset pricing

Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency

NBER Working Paper No. w23561
Number of pages: 49 Posted: 10 Jul 2017
Matthijs Breugem and Adrian Buss
University of Turin - Collegio Carlo Alberto and INSEAD - Finance
Downloads 14 (584,755)

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Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency

CEPR Discussion Paper No. DP12900
Number of pages: 52 Posted: 24 May 2018
Matthijs Breugem and Adrian Buss
University of Turin - Collegio Carlo Alberto and INSEAD - Finance
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asset allocation, Asset Pricing, benchmarking, Informational efficiency, institutional investors

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 252 (121,812)
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 (274,834)
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

3.

Dynamic Portfolio Choice with Information Acquisition

Number of pages: 34 Posted: 20 Jan 2014
Matthijs Breugem and Marija Djordjevic
University of Turin - Collegio Carlo Alberto and Independent
Downloads 87 (292,630)

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Portfolio Choice, Information Acquisition

4.

The Information Rat Race

Number of pages: 57 Posted: 17 Aug 2014 Last Revised: 02 Mar 2015
Matthijs Breugem
University of Turin - Collegio Carlo Alberto
Downloads 83 (301,233)

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information acquisition, dynamic equilibrium, portfolio choice, transaction tax, delegated portfolio management

5.

A Test of the International CAPM Using Optimal Instruments

Number of pages: 27 Posted: 11 Mar 2013 Last Revised: 12 Oct 2014
Matthijs Breugem
University of Turin - Collegio Carlo Alberto
Downloads 80 (307,876)

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Exchange Rate Risk, Instrumental Variables, International Asset Pricing, GMM

6.

Incomplete Market Equilibria Solved on the GPU

Number of pages: 36 Posted: 22 May 2013
Matthijs Breugem
University of Turin - Collegio Carlo Alberto
Downloads 35 (448,961)

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Fixed Transaction Costs, Incomplete Markets, Dynamic Portfolio Choice, GPU