Cesare Robotti

Imperial College Business School

Professor

South Kensington Campus

Exhibition Road

London SW7 2AZ, Greater London SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 9,221

SSRN RANKINGS

Top 9,221

in Total Papers Downloads

3,894

CITATIONS
Rank 5,447

SSRN RANKINGS

Top 5,447

in Total Papers Citations

94

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
Imperial College Business School and Boston College - Department of Economics
Downloads 946 (16,666)
Citation 9

Abstract:

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, Imperial College Business School and Emory University - Goizueta Business School
Downloads 416 (53,235)
Citation 13

Abstract:

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

NBER Working Paper No. w15047
Number of pages: 62 Posted: 08 Jun 2009
Raymond Kan, Cesare Robotti and Jay A. Shanken
University of Toronto - Rotman School of Management, Imperial College Business School and Emory University - Goizueta Business School
Downloads 25 (411,897)
Citation 13

Abstract:

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 Imperial College Business School
Downloads 148 (157,360)
Citation 6

Abstract:

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 Imperial College Business School
Downloads 118 (188,659)
Citation 6

Abstract:

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
Imperial College Business School and Boston College - Carroll School of Management
Downloads 98 (215,942)
Citation 6

Abstract:

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 Imperial College Business School
Downloads 56 (300,365)
Citation 6

Abstract:

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 Imperial College Business School
Downloads 214 (111,931)
Citation 12

Abstract:

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
Imperial College Business School and Boston College - Carroll School of Management
Downloads 152 (153,705)
Citation 12

Abstract:

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
Imperial College Business School
Downloads 349 (64,882)
Citation 2

Abstract:

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
Imperial College Business School
Downloads 320 (70,436)

Abstract:

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 Imperial College Business School
Downloads 238 (95,521)
Citation 3

Abstract:

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
Imperial College Business School and University of Toronto - Rotman School of Management
Downloads 200 (115,560)
Citation 19

Abstract:

Hansen-Jagannathan distance, excess returns, stochastic discount factors

9.
Downloads 140 (164,519)
Citation 15

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 Imperial College Business School
Downloads 140 (164,939)
Citation 15

Abstract:

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 Imperial College Business School

Abstract:

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 Imperial College Business School
Downloads 93 (219,229)
Citation 3

Abstract:

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, Imperial College Business School and University of Toronto - Rotman School of Management
Downloads 84 (237,014)
Citation 4

Abstract:

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 Imperial College Business School
Downloads 55 (272,526)
Citation 1

Abstract:

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 Imperial College Business School
Downloads 52 (291,121)
Citation 1

Abstract:

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 Imperial College Business School
Downloads 46 (312,150)
Citation 2

Abstract:

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 Imperial College Business School
Downloads 29 (355,545)
Citation 3

Abstract:

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 Imperial College Business School
Downloads 7 (460,592)

Abstract:

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