Lorenzo Bretscher

Swiss Finance Institute - HEC Lausanne

Chavannes-près-Renens, Vaud

Switzerland

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 13,461

SSRN RANKINGS

Top 13,461

in Total Papers Downloads

5,311

SSRN CITATIONS
Rank 24,323

SSRN RANKINGS

Top 24,323

in Total Papers Citations

21

CROSSREF CITATIONS

18

Scholarly Papers (13)

1.

Institutional Corporate Bond Pricing

Swiss Finance Institute Research Paper No. 21-07
Number of pages: 75 Posted: 15 Jan 2021 Last Revised: 09 Feb 2022
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 Schoolaffiliation not provided to SSRN and Nanyang Business School
Downloads 1,128 (27,466)

Abstract:

Loading...

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 834 (42,076)
Citation 4

Abstract:

Loading...

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 635 (60,257)
Citation 7

Abstract:

Loading...

Bond Risk Premia, Fiscal Policy, Uncertainty

4.

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: 26 Jan 2021
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 609 (63,551)
Citation 16

Abstract:

Loading...

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

5.

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, Students and University of Southern California - Marshall School of Business
Downloads 450 (92,166)
Citation 1

Abstract:

Loading...

Corporate Debt Valuations, Tobin's Q, Leverage Premium

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: 62 Posted: 22 Mar 2017 Last Revised: 30 Apr 2020
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 427 (97,972)
Citation 5

Abstract:

Loading...

Risk Aversion, Uncertainty, Conditional IRF, Dynamic Economies

7.

Expectations and Aggregate Risk

Journal of Monetary Economics, Vol. 123, 2021, Swiss Finance Institute Research Paper No. 21-68
Number of pages: 68 Posted: 14 Dec 2013 Last Revised: 16 Oct 2021
Lorenzo Bretscher, Aytek Malkhozov and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, Board of Governors of the Federal Reserve System and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 371 (115,105)
Citation 4

Abstract:

Loading...

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

8.

From Local to Global: Offshoring and Asset Prices

Number of pages: 98 Posted: 10 Nov 2018 Last Revised: 24 Mar 2020
Lorenzo Bretscher
Swiss Finance Institute - HEC Lausanne
Downloads 287 (151,343)
Citation 1

Abstract:

Loading...

Asset Prices, Import Competition, Offshoring

9.

Uncertainty trends

Number of pages: 65 Posted: 14 Oct 2018 Last Revised: 02 Sep 2021
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 198 (216,423)

Abstract:

Loading...

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

10.

Return Heterogeneity in Retirement Accounts

Swedish House of Finance Research Paper No. 22-04
Number of pages: 44 Posted: 20 Dec 2021 Last Revised: 19 Aug 2022
Lorenzo Bretscher, Riccardo Sabbatucci and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, Stockholm School of Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 183 (231,887)

Abstract:

Loading...

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

11.

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 161 (258,507)

Abstract:

Loading...

Dynamic equilibrium economies, Stochastic volatility, Perturbation, Matlab code

12.

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 28 (652,710)

Abstract:

Loading...

Fiscal Policy, Municipal Bonds, Credit Spreads

13.

Limits to Arbitrage and Mispricing in TIPS

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

Abstract:

Loading...

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