Manuela Pedio

Bocconi University - CAREFIN - Centre for Applied Research in Finance

Via Sarfatti, 25

Milan, 20136

Italy

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 29,278

in Total Papers Downloads

1,635

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (12)

1.

Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis

BAFFI CAREFIN Centre Research Paper No. 2016-37
Number of pages: 39 Posted: 15 Oct 2016 Last Revised: 14 May 2018
Independent, Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Euromobiliare Asset Management SGR
Downloads 418 (71,902)
Citation 1

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predictability, Markov switching, economic value, optimal portfolio choice

2.

Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors

BAFFI CAREFIN Centre Research Paper No. 2018-86
Number of pages: 37 Posted: 03 Aug 2018 Last Revised: 14 Nov 2018
Massimo Guidolin and Manuela Pedio
Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 209 (151,277)

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stepwise regression, commodity returns, predictability, portfolio back-testing

3.

How Smart Is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs

BAFFI CAREFIN Centre Research Paper No. 2019-117
Number of pages: 41 Posted: 24 Sep 2019
Massimo Guidolin and Manuela Pedio
Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 161 (191,061)

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REITs, real estate factors, factor investing, smart beta strategies

4.

Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas?

BAFFI CAREFIN Centre Research Paper No. 2018-84
Number of pages: 39 Posted: 03 Aug 2018
Stockholm School of Economics, Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 152 (200,659)

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monetary policy announcements, hedge fund alpha, abnormal returns, financial

5.

Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations between Commodity, Stock, and Bond Returns?

BAFFI CAREFIN Centre Research Paper No. 2016-19
Number of pages: 37 Posted: 06 May 2016 Last Revised: 19 Dec 2016
Marta Giampietro, Massimo Guidolin and Manuela Pedio
Bocconi University - Baffi Carefin Centre, Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 144 (209,862)
Citation 2

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6.

How Good Can Heuristic-Based Forecasts Be? A Comparative Performance of Econometric and Heuristic Models for UK and US Asset Returns

Number of pages: 92 Posted: 22 Jul 2014 Last Revised: 26 Jun 2017
Massimo Guidolin, Alexei G. Orlov and Manuela Pedio
Bocconi University - Department of Finance, Securities and Exchange Commission and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 142 (212,213)

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predictive regressions, forecasting, behavioral finance, heuristics, investor attention, information demand, Google search volume index, web-search-based forecasts

7.

Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model

BAFFI CAREFIN Centre Research Paper No. 2016-23
Number of pages: 63 Posted: 24 Jun 2016
Massimo Guidolin, Alexei G. Orlov and Manuela Pedio
Bocconi University - Department of Finance, Securities and Exchange Commission and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 141 (213,398)
Citation 1

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Unconventional monetary policy, corporate bonds, term structure of Treasury yields, vector autoregression, Markov switching.

8.

Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models

BAFFI CAREFIN Centre Research Paper No. 2019-106
Number of pages: 67 Posted: 10 Jan 2019 Last Revised: 23 Jan 2019
Massimo Guidolin and Manuela Pedio
Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 111 (255,797)

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Term structure of interest rates, Dynamic Nelson-Siegel factors, regime switching, butterfly strategies, unconventional monetary policy.

9.

A Markov Switching Cointegration Analysis of the CDS‐Bond Basis Puzzle

BAFFI CAREFIN Centre Research Paper No. 2019-121
Number of pages: 45 Posted: 30 Oct 2019
Massimo Guidolin, Francesco Melloni and Manuela Pedio
Bocconi University - Department of Finance, Bocconi University and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 60 (369,803)

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credit risk, credit default swap, bond spreads, Markov switching, vector error correction models, price discovery

10.

The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis

BAFFI CAREFIN Centre Research Paper No. 2019-122
Number of pages: 45 Posted: 31 Oct 2019
Massimo Guidolin, Manuela Pedio and Milena T. Petrova
Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Bocconi University
Downloads 44 (424,184)

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public real estate, REITs, private real estate, predictability, mean-variance portfolios

11.

Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity‐Based Identification in a Model with Regimes

BAFFI CAREFIN Centre Research Paper No. 2019-118
Number of pages: 45 Posted: 24 Sep 2019
Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Bocconi University - Baffi Carefin Centre
Downloads 33 (470,140)

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unconventional monetary policy; transmission channels; heteroskedasticity; vector autoregressions; identification; corporate bond yields

12.

Time‐Varying Price Discovery in Sovereign Credit Markets

BAFFI CAREFIN Centre Research Paper No. 2019-120
Number of pages: 24 Posted: 30 Oct 2019
Massimo Guidolin, Manuela Pedio and Alessandra Tosi
Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Bocconi University
Downloads 20 (540,972)

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Treasury bond spreads, credit default swaps, sovereign credit risk, vector error correction models, price discovery