Marcelo Bianconi

Tufts University - Department of Economics

Professor

Medford, MA 02155

United States

http://www.tufts.edu/~mbiancon

SCHOLARLY PAPERS

25

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Top 17,174

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2,751

CITATIONS
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SSRN RANKINGS

Top 16,782

in Total Papers Citations

29

Scholarly Papers (25)

1.

Risk Factors and Value at Risk in Publicly Traded Companies of the Nonrenewable Energy Sector

Energy Economics, Vol. 45, 2014
Number of pages: 47 Posted: 15 Jan 2013 Last Revised: 01 May 2015
Marcelo Bianconi and Joe Akira Yoshino
Tufts University - Department of Economics and University of Sao Paulo (USP) - Department of Economics
Downloads 415 (68,710)
Citation 9

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return on stocks, price of risk, value at risk, oil and gas industry, dynamic conditional correlation (DCC)

2.

Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies

Number of pages: 58 Posted: 02 May 2012 Last Revised: 11 Sep 2014
Marcelo Bianconi and Joe Akira Yoshino
Tufts University - Department of Economics and University of Sao Paulo (USP) - Department of Economics
Downloads 269 (111,864)

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asset pricing, multifactor model, CAPM, emerging markets

3.

BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets

Emerging Markets Review, Vol. 14, 2013
Number of pages: 54 Posted: 20 Jan 2012 Last Revised: 01 May 2015
Tufts University - Department of Economics, University of Sao Paulo (USP) - Department of Economics and Insper
Downloads 244 (123,683)

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BRIC, stock-bond returns, conditional volatility, dynamic conditional correlation, financial crisis

4.

Cross-Listing Premium in the US and the UK Destination

Number of pages: 50 Posted: 11 Jan 2008
Marcelo Bianconi and Liang Tan
Tufts University - Department of Economics and affiliation not provided to SSRN
Downloads 211 (142,626)
Citation 6

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cross-listing premium, treatment effects

5.

Firm Value, the Sarbanes-Oxley Act and Cross-Listing in the US, Germany and Hong Kong Destinations

Number of pages: 38 Posted: 15 Apr 2009 Last Revised: 14 Feb 2011
Marcelo Bianconi, Richard Chen and Joe Akira Yoshino
Tufts University - Department of Economics, United States Agency for International Development (USAID) and University of Sao Paulo (USP) - Department of Economics
Downloads 202 (148,558)
Citation 2

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Cross-listing, Sarbanes-Oxley, dynamic panel data, treatment effects

6.

Implied Volatility and the Risk-Free Rate of Return in Options Markets

North American Journal of Economics and Finance, 31, 2015
Number of pages: 40 Posted: 29 Jan 2014 Last Revised: 01 May 2015
Marcelo Bianconi, Scott MacLachlan and Marco Sammon
Tufts University - Department of Economics, Tufts University and Kellogg School of Management - Department of Finance
Downloads 163 (180,048)

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re-pricing options, forecasting volatility, seemingly unrelated regression, implied volatility

7.

Determinants of Systemic Risk and Information Dissemination

International Review of Economics & Finance, Forthcoming
Number of pages: 51 Posted: 16 Dec 2013 Last Revised: 12 Mar 2015
Marcelo Bianconi, Xiaxin Hua and Chih Ming Tan
Tufts University - Department of Economics, Clark University - Department of Economics and University of North Dakota - College of Business & Public Administration - Department of Economics
Downloads 158 (184,901)
Citation 1

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conditional value-at-risk, VIX, externality, consumer sentiment

8.

Firm Value, Investment and Monetary Policy

Number of pages: 34 Posted: 04 Apr 2010 Last Revised: 14 Feb 2011
Marcelo Bianconi and Joe Akira Yoshino
Tufts University - Department of Economics and University of Sao Paulo (USP) - Department of Economics
Downloads 150 (193,113)
Citation 4

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firm value, nominal risk, cross-listing

9.

Firm Market Performance and Volatility in a National Real Estate Sector

Number of pages: 48 Posted: 16 Oct 2010
Marcelo Bianconi and Joe Akira Yoshino
Tufts University - Department of Economics and University of Sao Paulo (USP) - Department of Economics
Downloads 141 (203,026)
Citation 3

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Risk-Return Tradeoff, National Real Estate Market, Momentum, Reversal

10.

Worldwide Commodities Sector Market-to-Book and Return on Equity Valuation

Number of pages: 54 Posted: 23 Oct 2012
Marcelo Bianconi and Joe Akira Yoshino
Tufts University - Department of Economics and University of Sao Paulo (USP) - Department of Economics
Downloads 119 (231,632)

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market-to-book ratio and return on equity, quantile regression

11.

Evaluating the Instantaneous and Medium-Run Impact of Mergers and Acquisitions on Firm Values

Number of pages: 46 Posted: 20 Apr 2017
Marcelo Bianconi and Chih Ming Tan
Tufts University - Department of Economics and University of North Dakota - College of Business & Public Administration - Department of Economics
Downloads 116 (236,140)

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EV/EBITDA, treatment effect, DID estimation, propensity score matchings

12.

Pricing Dollar Strength Risk

Number of pages: 67 Posted: 27 Sep 2016 Last Revised: 15 Aug 2017
Marcelo Bianconi and Marco Sammon
Tufts University - Department of Economics and Kellogg School of Management - Department of Finance
Downloads 100 (261,867)

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factor models, global risk, momentum, exposure

13.

House Price Indexes and Cyclical Behavior

Number of pages: 24 Posted: 23 Feb 2011
Marcelo Bianconi and Joe Akira Yoshino
Tufts University - Department of Economics and University of Sao Paulo (USP) - Department of Economics
Downloads 86 (288,453)
Citation 1

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House Price Index, Real and Nominal Shocks

14.

The Stochastic Structure of a Price Index and Inflation

Number of pages: 65 Posted: 02 May 2011
Marcelo Bianconi and Joe Akira Yoshino
Tufts University - Department of Economics and University of Sao Paulo (USP) - Department of Economics
Downloads 73 (317,850)

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Price dispersion, inflation dispersion, aggregate shocks

15.

Higher Moment Exchange Rate Exposure of S&P500 Firms

Number of pages: 36 Posted: 19 Aug 2014
Marcelo Bianconi and Zhe Cai
Tufts University - Department of Economics and Tufts University
Downloads 70 (325,255)

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U.S. large-cap, FX risk, skewness, kurtosis, panel data

16.

Equity Prices and Cartel Activity

Number of pages: 31 Posted: 12 Oct 2015 Last Revised: 16 May 2017
Dan Richards, Heng Yuan and Marcelo Bianconi
Tufts University - Department of Economics, Tufts University and Tufts University - Department of Economics
Downloads 68 (330,373)
Citation 1

Abstract:

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Event Study, Equity Prices, Cartels

17.

Trade Policy Uncertainty and Stock Returns

Number of pages: 41 Posted: 14 Mar 2019 Last Revised: 25 Mar 2019
Marcelo Bianconi, Federico Esposito and Marco Sammon
Tufts University - Department of Economics, Tufts University - Department of Economics and Kellogg School of Management - Department of Finance
Downloads 59 (358,154)

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trade policy, uncertainty, stock returns, risk premium

Intertemporal Budget Policies and Macroeconomic Adjustment in Indebted Open Economies

Review of International Economics, 22(1), 116-130, February 2014
Number of pages: 35 Posted: 08 Jun 2011 Last Revised: 30 Apr 2015
Marcelo Bianconi and Walter H. Fisher
Tufts University - Department of Economics and Institute for Advanced Studies (IHS) - Department of Economics & Finance
Downloads 40 (427,870)
Citation 1

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government budget constraint, nominal assets, capital income tax

Intertemporal Budget Policies and Macroeconomic Adjustment in Indebted Open Economies

Review of International Economics, Vol. 22, Issue 1, pp. 116-130, 2014
Number of pages: 15 Posted: 15 Jan 2014
Marcelo Bianconi and Walter H. Fisher
Tufts University - Department of Economics and Institute for Advanced Studies (IHS)
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19.

Determinants of Debt and Economic Regulation: An Analysis of Brazilian Regulated Infrastructure Firms

Number of pages: 23 Posted: 17 Aug 2017
University of Sao Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP), Tufts University - Department of Economics, University of Sao Paulo (USP), Faculty of Economics, Administration and Accounting (FEA), Students and University of Sao Paulo (USP) - Department of Economics
Downloads 25 (487,052)

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Capital Structure; Debt; Leverage; Economics of Regulation; Infrastructure

20.

Transfer Programs Under Alternative Insurance Schemes and Liquidity Constraints

Journal of International Trade and Economic Development, Forthcoming
Number of pages: 25 Posted: 19 Jan 2005 Last Revised: 14 Apr 2009
Marcelo Bianconi
Tufts University - Department of Economics
Downloads 24 (492,509)

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Transfers, insurance, liquidity constraint, intertemporal substitution, risk aversion

21.

The International Transmission of Tax Policies in a Dynamic World Economy

NBER Working Paper No. w4086
Number of pages: 41 Posted: 07 Aug 2007 Last Revised: 12 Sep 2010
Stephen J. Turnovsky and Marcelo Bianconi
University of Washington - Institute for Economic Research and Tufts University - Department of Economics
Downloads 18 (526,804)
Citation 2

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Heterogeneity, Adverse Selection and Valuation with Endogenous Labor Supply

Posted: 19 Jan 2005
Marcelo Bianconi
Tufts University - Department of Economics

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Private information, adverse selection, lottery, unemployment insurance, incomplete

Heterogeneity, Adverse Selection and Valuation With Endogenous Labor Supply

International Review of Economics and Finance, Forthcoming
Posted: 16 May 2007
Marcelo Bianconi
Tufts University - Department of Economics

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Private information, adverse selection, lottery, unemployment insurance, incomplete

23.

The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply

Macroeconomic Dynamics, Forthcoming
Posted: 19 Jan 2005
Stephen J. Turnovsky and Marcelo Bianconi
University of Washington - Institute for Economic Research and Tufts University - Department of Economics

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Stochastic growth, labor supply, costs of business cycles, asset prices

24.

Aggregate and Idiosyncratic Risk and the Behavior of Individual Preferences Under Moral Hazard

Posted: 19 Jan 2005
Marcelo Bianconi
Tufts University - Department of Economics

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Moral hazard, disutility of effort, incomplete contract, meanvariance

25.

Intertemporal Budget Policies and Macroeconomic Adjustment in a Small Open Economy

Journal of International Money and Finance, Forthcoming
Posted: 19 Jan 2005
Walter H. Fisher and Marcelo Bianconi
Institute for Advanced Studies (IHS) - Department of Economics & Finance and Tufts University - Department of Economics

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Government budget, taxation, nominal assets, growth