Lorenzo Bretscher

London Business School - Department of Finance

Sussex Place

Regent's Park

London NW1 4SA

United Kingdom

SCHOLARLY PAPERS

10

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2,403

SSRN CITATIONS
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Top 28,265

in Total Papers Citations

14

CROSSREF CITATIONS

15

Scholarly Papers (10)

1.

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
London Business School - Department of Finance, University of Southern California - Marshall School of Business and Boston University - Department of Finance & Economics
Downloads 741 (37,439)
Citation 4

Abstract:

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

2.

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
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 465 (68,560)
Citation 5

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Bond Risk Premia, Fiscal Policy, Uncertainty

3.

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

Georgia Tech Scheller College of Business Research Paper No. 3588418
Number of pages: 56 Posted: 30 Apr 2020 Last Revised: 17 Aug 2020
Lorenzo Bretscher, Alex Hsu, Peter Simasek and Andrea Tamoni
London Business School - Department of Finance, 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 296 (115,187)
Citation 12

Abstract:

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

4.

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
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 267 (128,445)
Citation 5

Abstract:

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Risk Aversion, Uncertainty, Conditional IRF, Dynamic Economies

5.

Expectations and Aggregate Risk

Number of pages: 66 Posted: 14 Dec 2013 Last Revised: 30 Apr 2020
Lorenzo Bretscher, Aytek Malkhozov and Andrea Tamoni
London Business School - Department of Finance, Board of Governors of the Federal Reserve System and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 242 (141,355)
Citation 4

Abstract:

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

6.

From Local to Global: Offshoring and Asset Prices

Number of pages: 98 Posted: 10 Nov 2018 Last Revised: 24 Mar 2020
Lorenzo Bretscher
London Business School - Department of Finance
Downloads 140 (229,916)
Citation 1

Abstract:

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Asset Prices, Import Competition, Offshoring

7.

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
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 126 (249,597)

Abstract:

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Dynamic equilibrium economies, Stochastic volatility, Perturbation, Matlab code

8.

Uncertainty trends, valuation ratios and predictability

Number of pages: 65 Posted: 14 Oct 2018 Last Revised: 17 Sep 2020
Federico M. Bandi, Lorenzo Bretscher and Andrea Tamoni
Johns Hopkins University - Carey Business School, London Business School - Department of Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 96 (302,085)

Abstract:

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

9.

Marking to Market Corporate Debt

Number of pages: 68 Posted: 25 Sep 2020 Last Revised: 08 Oct 2020
London Business School - Department of Finance, Copenhagen Business School, Duke University, Fuqua School of Business, Students and University of Southern California - Marshall School of Business
Downloads 30 (522,292)

Abstract:

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Corporate Debt Valuations, Tobin's Q, Leverage Premium

10.

Limits to Arbitrage and Mispricing in TIPS

Posted: 29 Dec 2014
Lorenzo Bretscher
London Business School - Department of Finance

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