Alessandro Beber

Cass Business School

Prof.

London, EC2Y 8HB

Great Britain

Centre for Economic Policy Research (CEPR)

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

SCHOLARLY PAPERS

17

DOWNLOADS
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CITATIONS
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in Total Papers Citations

188

Scholarly Papers (17)

1.
Downloads 2,094 ( 5,107)
Citation 3

Distilling the Macroeconomic News Flow

Number of pages: 48 Posted: 20 Feb 2013 Last Revised: 21 Mar 2014
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 2,079 (5,070)
Citation 3

Abstract:

macroeconomic news, nowcasting, disagreement

Distilling the Macroeconomic News Flow

NBER Working Paper No. w19650
Number of pages: 47 Posted: 16 Nov 2013
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 8 (527,639)
Citation 3

Abstract:

Distilling the Macroeconomic News Flow

CEPR Discussion Paper No. DP9360
Number of pages: 46 Posted: 26 Feb 2013
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 7 (533,045)
Citation 3

Abstract:

disagreement., macroeconomic news, nowcasting

Short-Selling Bans Around the World: Evidence from the 2007-09 Crisis

Journal of Finance, Forthcoming
Number of pages: 64 Posted: 10 Nov 2009 Last Revised: 22 Aug 2011
Alessandro Beber and Marco Pagano
Cass Business School and University of Naples Federico II - Department of Economics and Statistics
Downloads 1,872 (6,042)
Citation 42

Abstract:

Short-Selling Bans Around the World: Evidence from the 2007-09 Crisis

CEPR Discussion Paper No. DP7557
Number of pages: 41 Posted: 11 Jan 2010
Alessandro Beber and Marco Pagano
Cass Business School and University of Naples Federico II - Department of Economics and Statistics
Downloads 10 (516,858)
Citation 42

Abstract:

ban, crisis, liquidity, price discovery, short selling

Realized and Anticipated Macroeconomic Conditions Forecast Stock Returns

Number of pages: 48 Posted: 05 Mar 2013 Last Revised: 21 Nov 2014
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 1,848 (6,187)

Abstract:

stock market predictability, state of the economy, macroeconomic uncertainty

Economic Cycles and Expected Stock Returns

CEPR Discussion Paper No. DP9528
Number of pages: 50 Posted: 02 Jul 2013
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 11 (511,375)

Abstract:

macroeconomic uncertainty, state of the economy, stock market predictability

What Does Equity Sector Orderflow Tell Us About the Economy?

Number of pages: 44 Posted: 21 Jun 2008
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Syracuse University - Whitman School
Downloads 544 (39,760)
Citation 6

Abstract:

orderflow, macroeconomy, sector rotation, style investing, asset allocation

What Does Equity Sector Orderflow Tell Us About the Economy?

AFA 2010 Atlanta Meetings Paper
Number of pages: 61 Posted: 23 Mar 2009 Last Revised: 05 Nov 2010
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Syracuse University - Whitman School
Downloads 378 (62,688)
Citation 6

Abstract:

What Does Equity Sector Orderflow Tell Us about the Economy?

EFA 2009 Bergen Meetings Paper
Number of pages: 51 Posted: 17 Feb 2009
Alessandro Beber, Kenneth A. Kavajecz and Michael W. Brandt
Cass Business School, Syracuse University - Whitman School and Duke University - Fuqua School of Business
Downloads 111 (206,754)
Citation 6

Abstract:

What Does Equity Sector Orderflow Tell Us About the Economy?

NBER Working Paper No. w16534
Number of pages: 62 Posted: 22 Nov 2010
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Syracuse University - Whitman School
Downloads 32 (396,703)
Citation 6

Abstract:

Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals

Number of pages: 39 Posted: 20 Jun 2013 Last Revised: 23 Nov 2014
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 678 (29,587)
Citation 1

Abstract:

sovereign yield spread, real-time economic growth

Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals

CEPR Discussion Paper No. DP9538
Number of pages: 47 Posted: 09 Jul 2013
Alessandro Beber, Michael W. Brandt and Maurizio Luisi
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 6 (538,034)
Citation 1

Abstract:

real-time economic growth, sovereign yield spread

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

Number of pages: 37 Posted: 17 Mar 2006
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Syracuse University - Whitman School
Downloads 456 (49,846)
Citation 63

Abstract:

flight-to-quality, flight-to-liquidity, net order flow

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

NBER Working Paper No. w12376
Number of pages: 38 Posted: 26 Jul 2006
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Syracuse University - Whitman School
Downloads 40 (365,226)
Citation 63

Abstract:

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

The Review of Financial Studies, Vol. 22, Issue 3, pp. 925-957, 2009
Posted: 17 Mar 2009
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Syracuse University - Whitman School

Abstract:

G10, G12

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Number of pages: 69 Posted: 25 Nov 2011 Last Revised: 15 Oct 2012
Alessandro Beber, Joost Driessen and Patrick Tuijp
Cass Business School, Tilburg University - Department of Finance and University of Amsterdam - Finance Group
Downloads 400 (58,598)
Citation 5

Abstract:

liquidity premium, liquidity risk, investment horizon, holding period

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Netspar Discussion Paper No. 11/2011-120
Number of pages: 69 Posted: 25 May 2012 Last Revised: 07 Nov 2012
Alessandro Beber, Joost Driessen and Patrick Tuijp
Cass Business School, Tilburg University - Department of Finance and University of Amsterdam - Finance Group
Downloads 61 (301,035)
Citation 5

Abstract:

Pricing Liquidity Risk with Heterogeneous Investment Horizons

CEPR Discussion Paper No. DP8710
Number of pages: 49 Posted: 22 Dec 2011
Alessandro Beber, Joost Driessen and Patrick Tuijp
Cass Business School, Tilburg University - Department of Finance and University of Amsterdam - Finance Group
Downloads 9 (522,309)
Citation 5

Abstract:

investment horizon, liquidity risk

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich Meetings Paper
Number of pages: 36 Posted: 14 Mar 2006
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business
Downloads 375 (63,267)
Citation 15

Abstract:

Macroeconomic uncertainty, implied volatility

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

NBER Working Paper No. w12270
Number of pages: 37 Posted: 08 Jun 2006
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business
Downloads 33 (392,475)
Citation 15

Abstract:

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

Review of Finance, Vol. 13, No. 1, pp. 1-45, 2009
Posted: 17 Jan 2009
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business

Abstract:

9.

Order Submission Strategies and Information: Empirical Evidence from the NYSE

EFA 2003 Annual Conference Paper No. 875, FAME Research Paper No. 146
Number of pages: 57 Posted: 06 Aug 2003
Alessandro Beber and Cecilia Caglio
Cass Business School and Board of Governors of the Federal Reserve System
Downloads 376 (58,258)
Citation 12

Abstract:

Order Aggressiveness, Informed Trading, Order Flow

Switching Risk Off: FX Correlations and Risk Premia

Number of pages: 69 Posted: 12 Oct 2014
Alessandro Beber, Michael W. Brandt and Jason Cen
Cass Business School, Duke University - Fuqua School of Business and City University London - Sir John Cass Business School
Downloads 346 (69,587)

Abstract:

Risk-Off, Correlation, Currency Risk Premia

Switching Risk Off: FX Correlations and Risk Premia

CEPR Discussion Paper No. DP10214
Number of pages: 72 Posted: 21 Oct 2014
Alessandro Beber, Michael W. Brandt and Jason Cen
Cass Business School, Duke University - Fuqua School of Business and City University London - Sir John Cass Business School
Downloads 0

Abstract:

currency risk premia, FX correlation, risk-off

11.

Who Times the Foreign Exchange Market? Corporate Speculation and CEO Characteristics

AFA 2006 Boston Meetings Paper
Number of pages: 49 Posted: 24 Mar 2005 Last Revised: 19 Jun 2012
Alessandro Beber and Daniela Fabbri
Cass Business School and City University London - Sir John Cass Business School
Downloads 318 (73,945)
Citation 5

Abstract:

behavioral corporate finance, CEO characteristics, speculation, corporate risk management

12.

Differences in Beliefs and Currency Risk Premia

Number of pages: 48 Posted: 27 Feb 2007 Last Revised: 15 Dec 2009
Alessandro Beber, Francis Breedon and Andrea Buraschi
Cass Business School, University of London, Queen Mary - School of Economics and Finance and The University of Chicago
Downloads 244 (95,754)
Citation 12

Abstract:

Option pricing, difference in beliefs, incomplete markets, foreign exchange

The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market

EFA 2003 Annual Conference Paper No. 614, Rodney L. White Center for Financial Research Working Paper No. 10-03
Number of pages: 43 Posted: 24 Jul 2003
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business
Downloads 160 (153,918)
Citation 22

Abstract:

The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market

NBER Working Paper No. w9914
Number of pages: 42 Posted: 29 Aug 2003
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business
Downloads 27 (420,103)
Citation 22

Abstract:

14.
Downloads 153 (159,800)

Short-Selling Bans and Bank Stability

Number of pages: 37 Posted: 04 Jan 2016 Last Revised: 25 Jan 2016
Alessandro Beber, Daniela Fabbri and Marco Pagano
Cass Business School, City University London - Sir John Cass Business School and University of Naples Federico II - Department of Economics and Statistics
Downloads 150 (162,775)

Abstract:

short selling, ban, financial crisis, bank stability, systemic risk

Short-Selling Bans and Bank Stability

CEPR Discussion Paper No. DP11090
Number of pages: 39 Posted: 17 Feb 2016
Alessandro Beber, Daniela Fabbri and Marco Pagano
Cass Business School, City University London - Sir John Cass Business School and University of Naples Federico II - Department of Economics and Statistics
Downloads 3 (553,541)

Abstract:

ban, bank stability, financial crisis, short-selling, systemic risk

15.

Default Risk Premium in Credit and Equity Market: A New Approach for Structural Model Estimation

Number of pages: 43 Posted: 30 May 2015 Last Revised: 09 Dec 2015
Alessandro Beber, Raffaele Corvino and Gianluca Fusai
Cass Business School, City University London - Sir John Cass Business School and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 80 (152,143)

Abstract:

Structural Estimation, Kalman Filter, Default Risk, Distress Puzzle

16.

Expectations, Fundamentals, and Asset Returns: Evidence from the Commodity Markets

Number of pages: 72 Posted: 25 Jun 2016 Last Revised: 18 Oct 2016
Alessandro Beber and Jacopo Piana
Cass Business School and Cass Business School
Downloads 0 (187,062)

Abstract:

Survey expectations, commodity markets, return predictability, futures, options implied volatility

17.

When it Cannot Get Better or Worse: The Asymmetric Impact of Good and Bad News On Bond Returns in Expansions and Recessions

Review of Finance, Vol. 14, Issue 1, pp. 119-155, 2010
Posted: 25 Jan 2010
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business

Abstract:

E43, E44, G12