Fabio Moneta

Telfer School of Management, University of Ottawa

136 Jean-Jacques Lussier Street

Ottawa, Ontario K1N 6N5

Canada

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 12,404

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4,927

SSRN CITATIONS
Rank 12,532

SSRN RANKINGS

Top 12,532

in Total Papers Citations

30

CROSSREF CITATIONS

67

Scholarly Papers (12)

1.

Does the Yield Spread Predict Recessions in the Euro Area?

International Finance, Vol. 8, No. 2, pp. 263-301, Summer 2005, ECB Working Paper No. 294
Number of pages: 59 Posted: 16 Apr 2004
Fabio Moneta
Telfer School of Management, University of Ottawa
Downloads 824 (36,826)
Citation 7

Abstract:

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Probit model, forecasting, recessions, yield curve

2.

Measuring Bond Mutual Fund Performance with Portfolio Characteristics

EFA 2008 Athens Meetings Paper, Journal of Empirical Finance, Volume 33, September 2015, Pages 223–242
Number of pages: 44 Posted: 22 Mar 2008 Last Revised: 23 Dec 2015
Fabio Moneta
Telfer School of Management, University of Ottawa
Downloads 782 (39,569)
Citation 4

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Bond mutual funds, Performance evaluation, Portfolio holdings

3.

When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly?

Management Science Vol. 65, No. 10, October 2019, pp. 4555–4574
Number of pages: 58 Posted: 15 Sep 2015 Last Revised: 20 Nov 2019
Paul Calluzzo, Fabio Moneta and Selim Topaloglu
Queen's University - Smith School of Business, Telfer School of Management, University of Ottawa and Queen's University - Smith School of Business
Downloads 732 (43,333)
Citation 9

Abstract:

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Anomalies, publication impact, arbitrage, institutions, hedge funds

4.

Holding Horizon: A New Measure of Active Investment Management

American Finance Association Meetings 2015 Paper, Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 92 Posted: 31 Oct 2014 Last Revised: 17 May 2021
Chunhua Lan, Fabio Moneta and Russ Wermers
University of New Brunswick - Fredericton, Telfer School of Management, University of Ottawa and University of Maryland - Robert H. Smith School of Business
Downloads 565 (60,643)
Citation 5

Abstract:

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mutual funds, performance evaluation, investment horizons, selection skills

5.

Economic Risk Premia in the Fixed Income Markets: The Intra-Day Evidence

AFA 2012 Chicago Meetings Paper, Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 62 Posted: 16 Mar 2011 Last Revised: 10 Jun 2017
Pierluigi Balduzzi and Fabio Moneta
Boston College - Carroll School of Management and Telfer School of Management, University of Ottawa
Downloads 460 (78,177)
Citation 11

Abstract:

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macroeconomic announcements, mimicking portfolios, economic risk premia

6.

Complex Instrument Allowance at Mutual Funds

Number of pages: 63 Posted: 22 Mar 2017 Last Revised: 23 Jul 2021
Paul Calluzzo, Fabio Moneta and Selim Topaloglu
Queen's University - Smith School of Business, Telfer School of Management, University of Ottawa and Queen's University - Smith School of Business
Downloads 438 (82,860)
Citation 2

Abstract:

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mutual funds, complex instruments, leverage, derivatives, illiquid assets, borrowing, margin, short selling, options, futures, restricted securities, performance, risk

7.

Beta and Firm Age

Journal of Empirical Finance, Vol. 58, 2020
Number of pages: 73 Posted: 14 Aug 2016 Last Revised: 15 Dec 2020
Ludwig B. Chincarini, Daehwan Kim and Fabio Moneta
University of San Francisco School of Management, Konkuk University and Telfer School of Management, University of Ottawa
Downloads 406 (90,567)
Citation 2

Abstract:

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time-varying beta, cost of capital, CAPM, firm age, estimation risk, familiarity

8.

Understanding the Impact of the External Dimension on the Euro Area: Trade, Capital Flows and Other International Macroeconomic Linkages

ECB Occasional Paper No. 12
Number of pages: 74 Posted: 24 Jul 2007
Robert Anderton, Filippo di Mauro and Fabio Moneta
European Central Bank (ECB), European Central Bank (ECB) and Telfer School of Management, University of Ottawa
Downloads 206 (183,774)

Abstract:

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9.

U.S. Treasury Market: The High-Frequency Evidence

Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. 2015 John Wiley Sons, Inc.
Number of pages: 69 Posted: 25 Feb 2016
Pierluigi Balduzzi and Fabio Moneta
Boston College - Carroll School of Management and Telfer School of Management, University of Ottawa
Downloads 180 (207,500)

Abstract:

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high-frequency data, economic news, volatility, jumps, high-frequency trading

10.

Business Cycle Synchronisation in East Asia

ECB Working Paper No. 671
Number of pages: 54 Posted: 29 Aug 2006
Fabio Moneta and Rasmus Rueffer
Telfer School of Management, University of Ottawa and European Central Bank (ECB)
Downloads 149 (243,548)
Citation 1

Abstract:

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business cycles synchronisation, East Asia, dynamic factor model

11.

The Challenges of Oil Investing: Contango and the Financialization of Commodities

Number of pages: 56 Posted: 23 May 2021
Ludwig B. Chincarini and Fabio Moneta
University of San Francisco School of Management and Telfer School of Management, University of Ottawa
Downloads 120 (287,552)

Abstract:

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oil investing, crowding, futures investing, tracking error, commodities, exchange-traded funds

12.

Long-Term Foreign Exchange Risk Premia and Inflation Risk

Number of pages: 59 Posted: 07 Oct 2020
Fabio Moneta and Daehwan Kim
Telfer School of Management, University of Ottawa and Konkuk University
Downloads 65 (419,559)

Abstract:

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Foreign exchange risk premia, real interest rates, inflation risk, affine term structure model, inflation volatility