Lorenzo Bretscher

Swiss Finance Institute - HEC Lausanne

Chavannes-près-Renens, Vaud

Switzerland

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

17

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Top 13,926

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89

CROSSREF CITATIONS

20

Scholarly Papers (17)

1.

Institutional Corporate Bond Pricing

Swiss Finance Institute Research Paper No. 21-07
Number of pages: 93 Posted: 15 Jan 2021 Last Revised: 18 May 2024
Lorenzo Bretscher, Lukas Schmid, Ishita Sen and Varun Sharma
Swiss Finance Institute - HEC Lausanne, University of Southern California - Marshall School of Business, Harvard University - Harvard Business School and Kelley School of Business, Indiana University
Downloads 2,323 (12,219)

Abstract:

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Corporate Bond Pricing, Intermediary Asset Pricing, Demand Systems, Insurance Companies, Mutual Funds, Bond Market Fragility, ZLB, Interest Rate Liftoff, Fed Corporate Credit Facility.

2.

Interest Rate Risk Management in Uncertain Times

Number of pages: 58 Posted: 18 Jan 2016 Last Revised: 05 Dec 2017
Lorenzo Bretscher, Lukas Schmid and Andrea Vedolin
Swiss Finance Institute - HEC Lausanne, University of Southern California - Marshall School of Business and Boston University - Department of Finance & Economics
Downloads 939 (47,532)
Citation 15

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interest rate uncertainty, volatility, risk management, interest rate swaps, financial frictions, corporate investment, leverage, credit risk

3.

Fiscal Policy Driven Bond Risk Premia

Number of pages: 100 Posted: 15 Sep 2016 Last Revised: 10 Apr 2019
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 818 (57,403)
Citation 7

Abstract:

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Bond Risk Premia, Fiscal Policy, Uncertainty

4.

Marking to Market Corporate Debt

Swiss Finance Institute Research Paper No. 21-06, USC Marshall School of Business Research Paper Sponsored by iORB, No. Forthcoming
Number of pages: 92 Posted: 25 Sep 2020 Last Revised: 27 Jul 2022
Lorenzo Bretscher, Peter Feldhütter, Andrew Kane and Lukas Schmid
Swiss Finance Institute - HEC Lausanne, Copenhagen Business School, Duke University, Fuqua School of Business and University of Southern California - Marshall School of Business
Downloads 714 (68,745)
Citation 1

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Corporate Debt Valuations, Tobin's Q, Leverage Premium

5.

COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission

Georgia Tech Scheller College of Business Research Paper No. 3588418, Swiss Finance Institute Research Paper No. 21-05
Number of pages: 58 Posted: 30 Apr 2020 Last Revised: 24 Aug 2023
Lorenzo Bretscher, Alex Hsu, Peter Simasek and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, Georgia Institute of Technology - Scheller College of Business, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 675 (73,909)
Citation 16

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COVID-19, Equity Returns, Labor Supply, Uncertainty, Earnings Forecast

6.

The Real Response to Uncertainty Shocks: the Risk Premium Channel

Georgia Tech Scheller College of Business Research Paper No. 17-13
Number of pages: 73 Posted: 22 Mar 2017 Last Revised: 22 Aug 2023
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 617 (82,661)
Citation 15

Abstract:

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Risk Aversion, Uncertainty, Conditional IRF, Dynamic Economies

7.

Investor Betas

Number of pages: 58 Posted: 28 Jan 2021 Last Revised: 11 Feb 2023
Lorenzo Bretscher, Ryan Lewis and Shrihari Santosh
Swiss Finance Institute - HEC Lausanne, University of Colorado, Boulder and University of Colorado at Boulder - Department of Finance
Downloads 597 (86,230)

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CAPM, risk, return, idiosyncratic, portfolio, active investor

8.

Passive Demand and Active Supply: Evidence from Maturity-Mandated Corporate Bond Funds

Swiss Finance Institute Research Paper No. 23-42
Number of pages: 75 Posted: 14 Mar 2023 Last Revised: 19 Sep 2023
Lorenzo Bretscher, Lukas Schmid and Tiange Ye
Swiss Finance Institute - HEC Lausanne, University of Southern California - Marshall School of Business and University of Southern California - Marshall School of Business
Downloads 587 (88,114)
Citation 2

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demand shifts, passive funds, corporate bonds, demand elasticity, ETFs, mutual funds

9.

Expectations and Aggregate Risk

Journal of Monetary Economics, Vol. 123, 2021, Swiss Finance Institute Research Paper No. 21-68
Number of pages: 55 Posted: 14 Dec 2013 Last Revised: 24 Aug 2023
Lorenzo Bretscher, Aytek Malkhozov and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, Queen Mary University of London - School of Economics and Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 446 (123,151)
Citation 4

Abstract:

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News Shocks, Consumption-CAPM, Cross Section of Returns, Market-to-Book Decomposition

10.

Return predictability with endogenous growth

Number of pages: 69 Posted: 14 Oct 2018 Last Revised: 23 Nov 2022
Federico M. Bandi, Lorenzo Bretscher and Andrea Tamoni
Johns Hopkins University - Carey Business School, Swiss Finance Institute - HEC Lausanne and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 410 (136,110)

Abstract:

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uncertainty trends, valuation ratios, endogenous growth, price rigidities, financial uncertainty

11.

From Local to Global: Offshoring and Asset Prices

Number of pages: 58 Posted: 10 Nov 2018 Last Revised: 22 Aug 2023
Lorenzo Bretscher
Swiss Finance Institute - HEC Lausanne
Downloads 392 (142,864)
Citation 1

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Asset Prices, Import Competition, Offshoring

12.

Return Heterogeneity in Retirement Accounts

Swedish House of Finance Research Paper No. 22-04
Number of pages: 48 Posted: 20 Dec 2021 Last Revised: 14 May 2024
Swiss Finance Institute - HEC Lausanne, London Business School, Stockholm School of Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 356 (159,003)

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Roth IRA; Traditional IRA; Return Heterogeneity; Wealth Inequality; Retirement Accounts

13.

Ricardian Business Cycles

Swiss Finance Institute Research Paper No. 23-43
Number of pages: 62 Posted: 22 Nov 2022 Last Revised: 22 Aug 2023
Swiss Finance Institute - HEC Lausanne, University of Pennsylvania - Department of Economics and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 282 (203,351)

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International Trade, Business Cycles, General Equilibrium, Comparative Advantage, Deep Learning

14.

Implementing Stochastic Volatility in DSGE Models: A Comment

Georgia Tech Scheller College of Business Research Paper No. 17-40
Number of pages: 22 Posted: 21 Oct 2017 Last Revised: 01 Jul 2018
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 193 (292,498)

Abstract:

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Dynamic equilibrium economies, Stochastic volatility, Perturbation, Matlab code

15.

State Fiscal Policy and Municipal Credit Risk Premia

Number of pages: 40 Posted: 12 Jul 2022
Lorenzo Bretscher, Howard Kung and Ashish Sahay
Swiss Finance Institute - HEC Lausanne, London Business School and London Business School
Downloads 140 (384,272)

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Fiscal Policy, Municipal Bonds, Credit Spreads

16.

A New Test for an Old Puzzle

Number of pages: 42 Posted: 10 Jan 2024
Lorenzo Bretscher, Peter Feldhütter, Andrew Kane and Lukas Schmid
Swiss Finance Institute - HEC Lausanne, Copenhagen Business School, Fuqua School of Business, Duke University and University of Southern California - Marshall School of Business
Downloads 108 (467,521)

Abstract:

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credit spread puzzle, credit risk, corporate debt, bond pricing, loan pricing

17.

Limits to Arbitrage and Mispricing in TIPS

Posted: 29 Dec 2014
Lorenzo Bretscher
Swiss Finance Institute - HEC Lausanne

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TIPS, Mispricing, Limits to Arbitrage, Flight-to-Liquidity