Alessandro Beber

Cass Business School

Prof.

London, EC2Y 8HB

Great Britain

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

17

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Top 3,118

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12,630

SSRN CITATIONS
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SSRN RANKINGS

Top 1,554

in Total Papers Citations

263

CROSSREF CITATIONS

453

Scholarly Papers (17)

1.
Downloads 2,479 ( 5,539)
Citation 11

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 Square Macro
Downloads 2,449 (5,539)
Citation 1

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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 Square Macro
Downloads 23 (556,597)

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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 Square Macro
Downloads 7 (671,676)
Citation 4
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disagreement., macroeconomic news, nowcasting

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 Square Macro
Downloads 2,172 (6,791)
Citation 2

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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 Square Macro
Downloads 11 (641,889)
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macroeconomic uncertainty, state of the economy, stock market predictability

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 2,113 (7,121)
Citation 4

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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 (649,264)
Citation 22
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ban, crisis, liquidity, price discovery, short selling

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 Phoenix Rising Advisory
Downloads 572 (50,042)
Citation 1

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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 Phoenix Rising Advisory
Downloads 387 (80,957)
Citation 7

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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, Phoenix Rising Advisory and Duke University - Fuqua School of Business
Downloads 120 (251,059)
Citation 2

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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 Phoenix Rising Advisory
Downloads 40 (463,717)

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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 Square Macro
Downloads 703 (37,972)
Citation 1

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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 Square Macro
Downloads 6 (679,317)
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real-time economic growth, sovereign yield spread

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 101 Posted: 25 Nov 2011 Last Revised: 31 Mar 2020
Cass Business School, Tilburg University - Tilburg University School of Economics and Management, City University London - Faculty of Finance and University of Amsterdam - Finance Group
Downloads 537 (54,209)
Citation 13

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liquidity premium, liquidity risk, investment horizon, holding period

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, Netspar Discussion Paper No. 11/2011-120
Number of pages: 101 Posted: 25 May 2012 Last Revised: 31 Mar 2020
Cass Business School, Tilburg University - Tilburg University School of Economics and Management, City University London - Faculty of Finance and University of Amsterdam - Finance Group
Downloads 108 (271,089)
Citation 17

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liquidity premium, liquidity risk, investment horizon, holding period

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 - Tilburg University School of Economics and Management and University of Amsterdam - Finance Group
Downloads 9 (656,682)
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investment horizon, liquidity risk

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 Phoenix Rising Advisory
Downloads 473 (63,686)
Citation 59

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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 Last Revised: 28 Sep 2006
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Phoenix Rising Advisory
Downloads 46 (438,095)
Citation 5

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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 Phoenix Rising Advisory

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G10, G12

8.

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 439 (70,407)
Citation 3

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Order Aggressiveness, Informed Trading, Order Flow

9.
Downloads 422 ( 73,854)
Citation 1

Short-Selling Bans and Bank Stability

Number of pages: 43 Posted: 04 Jan 2016 Last Revised: 16 Dec 2017
Cass Business School, City University London - Sir John Cass Business School, University of Naples Federico II - Department of Economics and Statistics and University of Naples Federico II - Department of Economics and Statistics
Downloads 419 (73,790)
Citation 1

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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 (703,677)
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ban, bank stability, financial crisis, short-selling, systemic 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 385 (81,426)

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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 Last Revised: 13 Jul 2010
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business
Downloads 34 (491,867)
Citation 2

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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

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11.
Downloads 391 ( 80,715)
Citation 2

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 University of Exeter Business School
Downloads 391 (80,012)
Citation 3

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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 University of Exeter Business School
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currency risk premia, FX correlation, risk-off

12.

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 351 (91,491)
Citation 10

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

13.

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 Imperial College Business School
Downloads 294 (111,201)
Citation 6

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

14.

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 City University London - Faculty of Finance
Downloads 195 (167,180)
Citation 1

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

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 165 (193,933)

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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 Last Revised: 04 Nov 2010
Alessandro Beber and Michael W. Brandt
Cass Business School and Duke University - Fuqua School of Business
Downloads 29 (518,913)
Citation 6

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Mutual Fund Performance: Using Bespoke Benchmarks to Disentangle Mandates, Constraints and Skill

Number of pages: 47 Posted: 31 Jul 2018 Last Revised: 09 Feb 2019
Cass Business School, Duke University - Fuqua School of Business, University of Exeter Business School and Phoenix Rising Advisory
Downloads 127 (240,493)
Citation 1

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mutual funds, performance evaluation, benchmarks, constraints, active manager skill

Mutual Fund Performance: Using Bespoke Benchmarks to Disentangle Mandates, Constraints and Skill

Number of pages: 23 Posted: 22 Jul 2013
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and Phoenix Rising Advisory
Downloads 12 (634,407)

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portfolio choice, investment decisions

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

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E43, E44, G12