Cesare Robotti

Warwick Business School

West Midlands, CV4 7AL

United Kingdom

SCHOLARLY PAPERS

16

DOWNLOADS
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4,314

SSRN CITATIONS
Rank 7,062

SSRN RANKINGS

Top 7,062

in Total Papers Citations

95

CROSSREF CITATIONS

55

Scholarly Papers (16)

1.

Playing the Field: Geomagnetic Storms and the Stock Market

Federal Reserve Bank of Atlanta Working Paper No. 2003-5b
Number of pages: 53 Posted: 10 Mar 2003
Cesare Robotti and Anya Krivelyova
Warwick Business School and Boston College - Department of Economics
Downloads 1,083 (20,039)
Citation 8

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Stock returns, geomagnetic storms, seasonal affective disorders, misattribution of mood, behavioral finance

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Journal of Finance, Forthcoming
Number of pages: 101 Posted: 22 Apr 2012 Last Revised: 05 Jul 2014
Raymond Kan, Cesare Robotti and Jay A. Shanken
University of Toronto - Rotman School of Management, Warwick Business School and Emory University - Goizueta Business School
Downloads 479 (60,253)
Citation 33

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Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

NBER Working Paper No. w15047
Number of pages: 62 Posted: 08 Jun 2009 Last Revised: 14 Aug 2010
Raymond Kan, Cesare Robotti and Jay A. Shanken
University of Toronto - Rotman School of Management, Warwick Business School and Emory University - Goizueta Business School
Downloads 35 (471,976)

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Asset Pricing Models and Economic Risk Premia: A Decomposition

Number of pages: 53 Posted: 14 Feb 2008
Pierluigi Balduzzi and Cesare Robotti
Boston College - Carroll School of Management and Warwick Business School
Downloads 169 (183,437)
Citation 2

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economic factors, risk premia, pricing kernel, maximum-correlation portfolio

Asset Pricing Models and Economic Risk Premia: A Decomposition

Journal of Empirical Finance, Forthcoming
Number of pages: 43 Posted: 06 Mar 2008 Last Revised: 10 Sep 2009
Pierluigi Balduzzi and Cesare Robotti
Boston College - Carroll School of Management and Warwick Business School
Downloads 130 (228,399)

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economic factors, risk premia, pricing kernel, maximum-correlation portfolio

Asset-Pricing Models and Economic Risk Premia: A Decomposition

FRB of Atlanta Working Paper No. 2005-13
Number of pages: 55 Posted: 17 Aug 2005
Cesare Robotti and Pierluigi Balduzzi
Warwick Business School and Boston College - Carroll School of Management
Downloads 108 (262,074)
Citation 1

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economic risk premia, non-traded factors, maximum-correlation portfolios

Asset-Pricing Models and Economic Risk Premia: A Decomposition

Number of pages: 55 Posted: 14 Apr 2006
Pierluigi Balduzzi and Cesare Robotti
Boston College - Carroll School of Management and Warwick Business School
Downloads 60 (374,961)
Citation 1

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economic risk premia, non-traded factors, maximum-correlation portfolios

Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 54 Posted: 08 Dec 2007
Pierluigi Balduzzi and Cesare Robotti
Boston College - Carroll School of Management and Warwick Business School
Downloads 242 (130,784)

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Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models

FRB of Atlanta Working Paper No. 2005-4
Number of pages: 56 Posted: 15 Jun 2005
Cesare Robotti and Pierluigi Balduzzi
Warwick Business School and Boston College - Carroll School of Management
Downloads 162 (190,253)
Citation 7

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mimicking portfolios, economic risk premia, multi-beta models

5.

The Price of Inflation and Foreign Exchange Risk in International Equity Markets

EFA 2002 Berlin Meetings Presented Paper; FRB of Atlanta Working Paper No. 2001-26
Number of pages: 52 Posted: 08 Dec 2001
Cesare Robotti
Warwick Business School
Downloads 362 (85,019)
Citation 3

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international intertemporal capital asset pricing model, purchasing power parity, hedging demands

6.

Dynamic Strategies, Asset Pricing Models, and the Out-of-Sample Performance of the Tangency Portfolio

FRB of Atlanta Working Paper No. 2003-6
Number of pages: 57 Posted: 04 Mar 2002
Cesare Robotti
Warwick Business School
Downloads 343 (90,429)

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asset allocation, conditioning information, dynamic strategies, tangency portfolio

7.

The Exact Distribution of the Hansen-Jagannathan Bound

Number of pages: 62 Posted: 21 Dec 2007 Last Revised: 01 Apr 2015
Raymond Kan and Cesare Robotti
University of Toronto - Rotman School of Management and Warwick Business School
Downloads 271 (116,828)
Citation 3

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Hansen-Jagannathan Bound, No Arbitrage, Positivity, Exact Distribution

8.

Specification Tests of Asset Pricing Models Using Excess Returns

FRB of Atlanta Working Paper No. 2006-10, EFA 2007 Ljubljana Meetings Paper, Journal of Empirical Finance, Forthcoming
Number of pages: 47 Posted: 01 Aug 2006 Last Revised: 06 Jul 2014
Cesare Robotti and Raymond Kan
Warwick Business School and University of Toronto - Rotman School of Management
Downloads 222 (142,827)
Citation 4

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Hansen-Jagannathan distance, excess returns, stochastic discount factors

Model Comparison Using the Hansen-Jagannathan Distance

Review of Financial Studies, Forthcoming , FRB of Atlanta Working Paper No. 2007-4
Number of pages: 51 Posted: 31 Jan 2007 Last Revised: 06 Jul 2014
Raymond Kan and Cesare Robotti
University of Toronto - Rotman School of Management and Warwick Business School
Downloads 169 (183,437)
Citation 2

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Hansen-Jagannathan Distance, Asset-pricing Models, Model Misspecification, Risk Premia

Model Comparison Using the Hansen-Jagannathan Distance

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3449-3490, 2009
Posted: 08 Sep 2009
Raymond Kan and Cesare Robotti
University of Toronto - Rotman School of Management and Warwick Business School

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G12

10.

On the Estimation of Asset Pricing Models Using Univariate Betas

Number of pages: 12 Posted: 22 Jan 2009 Last Revised: 25 Jul 2010
Raymond Kan and Cesare Robotti
University of Toronto - Rotman School of Management and Warwick Business School
Downloads 104 (267,699)

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Asset Pricing Models, Cross-Sectional Regressions, Simple Regression Betas, Model Misspecification

11.

On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint

Number of pages: 53 Posted: 13 Jan 2010 Last Revised: 05 Jul 2014
Nikolay Gospodinov, Cesare Robotti and Raymond Kan
Federal Reserve Bank of Atlanta, Warwick Business School and University of Toronto - Rotman School of Management
Downloads 98 (278,649)
Citation 10

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Hansen-Jagannthan distrance, no-arbitrage constraint, model comparison

12.

Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models

Federal Reserve Bank of Atlanta Working Paper No. 2011-08
Number of pages: 48 Posted: 02 Apr 2011 Last Revised: 04 Jul 2014
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 75 (328,512)
Citation 3

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asset pricing models, Hansen-Jagannathan distance, model selection, model misspecification

13.

Robust Inference in Linear Asset Pricing Models

Rotman School of Management Working Paper No. 2179620
Number of pages: 90 Posted: 23 Nov 2012 Last Revised: 07 Jun 2016
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 72 (336,067)

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Asset Pricing Models, Model Misspecification, Weak Identification, Useless Factor

14.

Further Results on the Limiting Distribution of GMM Sample Moment Conditions

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 31 Posted: 15 Jul 2010 Last Revised: 05 Jul 2014
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 59 (372,857)
Citation 3

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GMM

15.

A Note on the Estimation of Asset Pricing Models Using Simple Regression Betas

FRB Atlanta Working Paper No. 2009-12, Rotman School of Management Working Paper No. 2482325
Number of pages: 25 Posted: 18 Mar 2015
Raymond Kan and Cesare Robotti
University of Toronto - Rotman School of Management and Warwick Business School
Downloads 51 (398,979)
Citation 1

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two-pass cross-sectional regressions, risk premia, model misspecification, simple regression betas, multivariate betas

16.

Analytical Solution for the Constrained Hansen-Jagannathan Distance Under Multivariate Ellipticity

FRB Atlanta Working Paper No. 2012-18, Rotman School of Management Working Paper No. 2479458
Number of pages: 34 Posted: 22 Mar 2015
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Warwick Business School
Downloads 20 (540,972)
Citation 1

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Hansen-Jagannathan distance, no-arbitrage, model ranking, multivariate elliptical distributions