Lorenzo Bretscher

London Business School - Department of Finance

Sussex Place

Regent's Park

London NW1 4SA

United Kingdom

SCHOLARLY PAPERS

11

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Top 17,670

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3,483

SSRN CITATIONS
Rank 25,204

SSRN RANKINGS

Top 25,204

in Total Papers Citations

20

CROSSREF CITATIONS

18

Scholarly Papers (11)

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 787 (38,728)
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 565 (59,865)
Citation 7

Abstract:

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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, 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
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 507 (68,532)
Citation 16

Abstract:

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

4.

Institutional Corporate Bond Demand

Swiss Finance Institute Research Paper No. 21-07
Number of pages: 47 Posted: 15 Jan 2021 Last Revised: 26 Jan 2021
Lorenzo Bretscher, Lukas Schmid, Ishita Sen and Varun Sharma
London Business School - Department of Finance, University of Southern California - Marshall School of Business, Harvard University - Harvard Business School and London Business School
Downloads 340 (109,428)

Abstract:

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Corporate Bonds, Demand Systems, Insurance Companies, Mutual Funds, Liquidity

5.

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 310 (120,934)
Citation 5

Abstract:

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Risk Aversion, Uncertainty, Conditional IRF, Dynamic Economies

6.

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 259 (145,889)
Citation 4

Abstract:

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

7.

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: 87 Posted: 25 Sep 2020 Last Revised: 17 Mar 2021
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 234 (161,044)
Citation 1

Abstract:

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Corporate Debt Valuations, Tobin's Q, Leverage Premium

8.

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 197 (189,349)
Citation 1

Abstract:

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Asset Prices, Import Competition, Offshoring

9.

Uncertainty trends

Number of pages: 67 Posted: 14 Oct 2018 Last Revised: 14 Nov 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 143 (248,861)

Abstract:

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

10.

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 141 (251,684)

Abstract:

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Dynamic equilibrium economies, Stochastic volatility, Perturbation, Matlab code

11.

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