Andrea Tamoni

Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

1 Washington Park

Newark, NJ 07102

United States

SCHOLARLY PAPERS

30

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12,442

SSRN CITATIONS
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Top 7,847

in Total Papers Citations

91

CROSSREF CITATIONS

72

Scholarly Papers (30)

1.

Bond Risk Premia with Machine Learning

WBS Finance Group Research Paper No. 252
Number of pages: 86 Posted: 26 Aug 2018 Last Revised: 08 Apr 2020
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 2,557 (6,086)
Citation 18

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Machine Learning, Ensembled Networks, Forecasting, Bond Return Predictability, Empirical Asset Pricing

2.

Value Return Predictability Across Asset Classes and Commonalities in Risk Premia

Number of pages: 82 Posted: 17 Oct 2017 Last Revised: 21 Nov 2019
Fahiz Baba Yara, Martijn Boons and Andrea Tamoni
New University of Lisbon - Nova School of Business and Economics, New University of Lisbon - Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,074 (23,934)
Citation 4

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Value Premium, Value Spread, Global Asset Pricing, Return Predictability, Alternative Assets, Common and Asset-Class-Specific Value

3.

Spectral Factor Models

Johns Hopkins Carey Business School Research Paper No. 18-17
Number of pages: 52 Posted: 13 Nov 2018 Last Revised: 14 Aug 2020
Johns Hopkins University - Carey Business School, Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 869 (32,533)
Citation 5

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systematic risk, factor models, investment horizon, cross-sectional pricing

4.

The Scale of Predictability

Number of pages: 67 Posted: 05 Dec 2012 Last Revised: 17 Jul 2018
Johns Hopkins University - Carey Business School, University of Montreal - Department of Economics, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 801 (36,276)
Citation 23

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predictability, frequency, aggregation, risk-return trade-off

5.

Horizon-Specific Macroeconomic Risks and the Cross-Section of Expected Returns

Number of pages: 62 Posted: 30 Oct 2014 Last Revised: 23 Sep 2017
Martijn Boons and Andrea Tamoni
New University of Lisbon - Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 702 (43,453)
Citation 13

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Cross-sectional tests, firm-level stock returns, long horizons, macroeconomic risks, consumption, linear multifactor models

6.

Business-cycle consumption risk and asset prices

Number of pages: 42 Posted: 10 Oct 2013 Last Revised: 22 Jul 2020
Federico M. Bandi and Andrea Tamoni
Johns Hopkins University - Carey Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 608 (52,586)
Citation 1

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C-CAPM, business-cycle consumption, aggregation

7.

Fiscal Policy Driven Bond Risk Premia

Number of pages: 100 Posted: 15 Sep 2016 Last Revised: 10 Apr 2019
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 534 (61,855)
Citation 6

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Bond Risk Premia, Fiscal Policy, Uncertainty

8.

The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling

Number of pages: 78 Posted: 03 Nov 2015 Last Revised: 10 Jul 2016
Daniele Bianchi and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 523 (63,539)
Citation 2

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Expected Returns, Long-Horizon Predictability, Multi-Scale, Bayesian Methods

9.

COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission

Georgia Tech Scheller College of Business Research Paper No. 3588418, Swiss Finance Institute Research Paper No. 21-05
Number of pages: 58 Posted: 30 Apr 2020 Last Revised: 26 Jan 2021
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 462 (74,252)
Citation 15

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COVID-19, Equity Returns, Labor Supply, Uncertainty, Earnings Forecast

10.

Smart Beta Made Smart: Synthetic Risk Factors for Institutional and Retail Investors

Swedish House of Finance Research Paper No. 20-21
Number of pages: 69 Posted: 24 Sep 2020 Last Revised: 08 Mar 2021
Stockholm School of Economics, Stockholm School of Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 410 (85,333)
Citation 1

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Smart beta, factor investing, tradable risk premia, daily flows to smart beta strategies

Implications of Return Predictability for Consumption Dynamics and Asset Pricing

Number of pages: 53 Posted: 04 Dec 2012 Last Revised: 23 Jun 2018
Carlo A. Favero, Fulvio Ortu, Andrea Tamoni and Haoxi Yang
Bocconi University - Department of Finance, Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Nankai University
Downloads 396 (88,072)
Citation 5

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stochastic discount factor, predictors-based bounds, long run

Implications of Return Predictability Across Horizons for Asset Pricing Models

CEPR Discussion Paper No. DP11645
Number of pages: 64 Posted: 22 Nov 2016
Carlo A. Favero, Fulvio Ortu, Andrea Tamoni and Haoxi Yang
Bocconi University - Department of Finance, Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Nankai University
Downloads 0
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asset pricing models, predictors-based bound, return predictability

12.

Mind the (Convergence) Gap: Bond Predictability Strikes Back!

Swiss Finance Institute Research Paper No. 19-52, Forthcoming, Management Science
Number of pages: 54 Posted: 17 Mar 2012 Last Revised: 05 Mar 2021
Ca Foscari University of Venice - Dipartimento di Economia, QIO Quantitative Investment Office, Swiss Finance Institute and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 342 (105,002)
Citation 2

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Bond Risk Premia, Forward Rates, Monetary Policy, Natural Rate of Interest, Bond Predictability

13.

A Persistence-Based Wold-Type Decomposition for Stationary Time Series

Number of pages: 50 Posted: 15 Dec 2011 Last Revised: 31 Jul 2019
Bocconi University - Department of Finance, Université Laval, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 325 (111,138)
Citation 3

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Wold decomposition, temporal aggregation, persistence heterogeneity, forecasting

14.

Long Run Risk and the Persistence of Consumption Shocks

Number of pages: 62 Posted: 22 Nov 2010 Last Revised: 01 Jun 2013
Fulvio Ortu, Andrea Tamoni and Claudio Tebaldi
Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 323 (111,884)
Citation 16

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Long-run risk, Persistence heterogeneity, Temporal aggregation, Consumption predictability

15.

The Real Response to Uncertainty Shocks: the Risk Premium Channel

Georgia Tech Scheller College of Business Research Paper No. 17-13
Number of pages: 62 Posted: 22 Mar 2017 Last Revised: 30 Apr 2020
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 291 (125,010)
Citation 6

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Risk Aversion, Uncertainty, Conditional IRF, Dynamic Economies

16.
Downloads 279 (130,690)
Citation 2

Factor Models with Drifting Prices

Number of pages: 84 Posted: 12 Jul 2019 Last Revised: 21 Mar 2021
Carlo A. Favero, Alessandro Melone and Andrea Tamoni
Bocconi University - Department of Finance, Vienna Graduate School of Finance (VGSF) and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 279 (130,021)
Citation 3

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Factor Models, Long-Horizon Returns, Mispricing, Predictability, Diagnostic Expectations.

17.

What Matters When? Time-Varying Sparsity in Expected Returns

WBS Finance Group Research Paper
Number of pages: 64 Posted: 20 Aug 2019 Last Revised: 07 May 2020
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 267 (136,840)
Citation 3

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Sparsity, Returns Predictability, Cross Section of Returns, Anomalies, Asset Pricing

18.

Expectations and Aggregate Risk

Number of pages: 66 Posted: 14 Dec 2013 Last Revised: 30 Apr 2020
Lorenzo Bretscher, Aytek Malkhozov and Andrea Tamoni
London Business School - Department of Finance, Board of Governors of the Federal Reserve System and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 252 (145,016)
Citation 4

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News Shocks, Consumption-CAPM, Cross Section of Returns, Market-to-Book Decomposition

19.

Long-Run Factors and Fluctuations in Dividend/Price

EFA 2009 Bergen Meetings Paper, WBS Finance Group Research Paper No. 110
Number of pages: 58 Posted: 14 Feb 2009 Last Revised: 23 Dec 2019
Bocconi University - Department of Finance, University of Warwick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 246 (148,499)

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error correction, long run predictability, equity premium, demographics

20.

New and Old Sorts: Implications for Asset Pricing

Number of pages: 80 Posted: 06 Mar 2020 Last Revised: 12 Mar 2021
Fahiz Baba Yara, Martijn Boons and Andrea Tamoni
New University of Lisbon - Nova School of Business and Economics, New University of Lisbon - Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 245 (149,074)
Citation 1

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Characteristic-Based Return Predictability, Horizon, Pricing Errors, Tests of Asset Pricing Models, Factors

21.

Dynamic Asset (Mis)Pricing: Build-up vs. Resolution Anomalies

Number of pages: 63 Posted: 18 Feb 2021
University of Pennsylvania - The Wharton School, New University of Lisbon - Nova School of Business and Economics, University of Rochester - Simon Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 138 (248,035)

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Dynamic Price Wedges, Build-up, Resolution, Persistence, Real Anomalies

22.

Implementing Stochastic Volatility in DSGE Models: A Comment

Georgia Tech Scheller College of Business Research Paper No. 17-40
Number of pages: 22 Posted: 21 Oct 2017 Last Revised: 01 Jul 2018
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 136 (250,934)

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Dynamic equilibrium economies, Stochastic volatility, Perturbation, Matlab code

23.

Uncertainty trends

Number of pages: 67 Posted: 14 Oct 2018 Last Revised: 14 Nov 2020
Johns Hopkins University - Carey Business School, London Business School - Department of Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 132 (256,761)

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uncertainty trends, valuation ratios, endogenous growth, price rigidities, financial uncertainty

24.

Long Run and the Temporal Aggregation of Risks

Number of pages: 63 Posted: 18 Mar 2010 Last Revised: 23 Nov 2010
Fulvio Ortu, Andrea Tamoni and Claudio Tebaldi
Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 126 (265,895)
Citation 1

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Persistence heterogeneity, Temporal aggregation, Permanent-transitory decomposition, Term-structure of risks, Long-run risks

25.

Demographics and the Term Structure of Stock Market Risk

Number of pages: 28 Posted: 22 Feb 2010 Last Revised: 20 May 2010
Andrea Tamoni and Carlo A. Favero
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - Department of Finance
Downloads 94 (325,551)

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Dynamic Dividend Growth Model, Long Run Returns Predictability, Demographics

26.

Monetary Policy and Bond Prices with Drifting Equilibrium Rates and Diagnostic Expectations

Number of pages: 52 Posted: 15 Oct 2020 Last Revised: 09 Feb 2021
Carlo A. Favero, Alessandro Melone and Andrea Tamoni
Bocconi University - Department of Finance, Vienna Graduate School of Finance (VGSF) and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 91 (332,247)
Citation 1

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Monetary Policy Rule, Secular Trends, Term Structure, Diagnostic Expectations, Bond Return Predictability

27.

The Multi-Horizon Dynamics of Risk and Returns

Number of pages: 63 Posted: 07 Apr 2017
Andrea Tamoni
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 79 (361,881)
Citation 5

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Risk-Return; Stock return predictability; Macroeconomic Uncertainty; Multi-scale time series models

28.
Downloads 71 (384,334)
Citation 1

When It Rains It Pours: Cascading Uncertainty Shocks

Number of pages: 61 Posted: 30 Jul 2019 Last Revised: 31 Aug 2020
Anthony M. Diercks, Alex Hsu and Andrea Tamoni
Board of Governors of the Federal Reserve System, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 40 (508,613)
Citation 1

Abstract:

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Dynamic Equilibrium Economies; Stochastic Volatility; Perturbation.

When it Rains it Pours: Cascading Uncertainty Shocks

FEDS Working Paper No. 2020-064
Number of pages: 65 Posted: 25 Aug 2020
Anthony M. Diercks, Alex Hsu and Andrea Tamoni
Board of Governors of the Federal Reserve System, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 31 (556,398)

Abstract:

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Dynamic Equilibrium Economies, Stochastic Volatility, Perturbation

29.

Sparse Predictive Regressions: Statistical Performance and Economic Significance

Number of pages: 30 Posted: 29 Oct 2019 Last Revised: 31 Oct 2019
Daniele Bianchi and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 66 (399,651)
Citation 3

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Return Predictability, Empirical Asset Pricing, Machine Learning, Bayesian Methods, Penalized Regressions.

30.

Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns

CEPR Discussion Paper No. DP7734
Number of pages: 50 Posted: 17 Mar 2010
Bocconi University - Department of Finance, University of Warwick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 3 (734,990)
Citation 8
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demographics, dynamic dividend growth model, long run returns predictability