Matthijs Breugem

University of Turin - Collegio Carlo Alberto

Piazza Albarello 8

Torino, Torino 10122

Italy

SCHOLARLY PAPERS

10

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in Total Papers Downloads

1,592

SSRN CITATIONS
Rank 21,208

SSRN RANKINGS

Top 21,208

in Total Papers Citations

37

CROSSREF CITATIONS

10

Scholarly Papers (10)

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 Frankfurt School of Finance & Management
Downloads 439 (91,782)
Citation 2

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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 Last Revised: 19 May 2022
Matthijs Breugem and Adrian Buss
University of Turin - Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 20 (716,847)

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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 Frankfurt School of Finance & Management
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Citation 8
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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 274 (154,200)
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 (347,909)
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.
Downloads 208 (202,075)
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 (245,176)
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 (574,180)

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

4.

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 (209,484)
Citation 2

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

5.

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 169 (242,380)

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COVID-19, tail risk, economic sectors, resilience

What Do Interest Rates Reveal About the Stock Market? A Noisy Rational Expectations Model of Stock and Bond Markets

Number of pages: 51 Posted: 18 Feb 2021
Matthijs Breugem, Adrian Buss and Joel Peress
University of Turin - Collegio Carlo Alberto, Frankfurt School of Finance & Management and INSEAD - Finance
Downloads 88 (392,541)

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(endogenous) interest rates, informational efficiency, capital allocation efficiency, rational expectations, unconventional monetary policy

What Do Interest Rates Reveal About the Stock Market? A Noisy Rational Expectations Model of Stock and Bond Markets

CEPR Discussion Paper No. DP15766
Number of pages: 54 Posted: 11 Feb 2021
Matthijs Breugem, Adrian Buss and Joel Peress
University of Turin - Collegio Carlo Alberto, Frankfurt School of Finance & Management and INSEAD - Finance
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7.

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 88 (388,985)

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

8.

Dynamic Portfolio Choice with Information Acquisition

Posted: 20 Jan 2014
Matthijs Breugem and Marija Djordjevic
University of Turin - Collegio Carlo Alberto and Independent

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Portfolio Choice, Information Acquisition

9.

Incomplete Market Equilibria Solved on the GPU

Posted: 22 May 2013
Matthijs Breugem
University of Turin - Collegio Carlo Alberto

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

10.

A Test of the International CAPM Using Optimal Instruments

Posted: 11 Mar 2013 Last Revised: 15 May 2020
Matthijs Breugem
University of Turin - Collegio Carlo Alberto

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