Alberto Plazzi

Swiss Finance Institute

Faculty Member

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

Universita' della Svizzera italiana

Professor of Finance

Via Buffi 13

CH-6900 Lugano

Switzerland

http://usi.to/mpy

SCHOLARLY PAPERS

23

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Top 4,812

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10,280

SSRN CITATIONS
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SSRN RANKINGS

Top 5,941

in Total Papers Citations

73

CROSSREF CITATIONS

145

Scholarly Papers (23)

1.

Valuation in the Us Commercial Real Estate

Number of pages: 37 Posted: 16 Oct 2006
Eric Ghysels, Rossen I. Valkanov and Alberto Plazzi
University of North Carolina Kenan-Flagler Business School, University of California, San Diego (UCSD) - Rady School of Management and Swiss Finance Institute
Downloads 1,518 (14,122)
Citation 1

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Real Estate, MIDAS, Cap rate, Predictive regression

2.

Forecasting Real Estate Prices

Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann, eds., Elsevier, 2012
Number of pages: 91 Posted: 21 Apr 2013
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,355 (16,904)
Citation 7

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real estate, predictability, market efficiency, REIT

3.

Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 11-06
Number of pages: 61 Posted: 14 Feb 2011 Last Revised: 11 Apr 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,174 (20,961)
Citation 46

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return asymmetry, international equity markets, portfolio allocation, skewness

4.

Expected Returns and the Expected Growth in Rents of Commercial Real Estate

EFA 2007 Ljubljana Meetings Paper, EFA 2005 Moscow Meetings Paper, AFA 2007 Chicago Meetings Paper
Number of pages: 62 Posted: 25 Jul 2005 Last Revised: 10 Oct 2016
Walter N. Torous, Rossen I. Valkanov and Alberto Plazzi
Massachusetts Institute of Technology, University of California, San Diego (UCSD) - Rady School of Management and Swiss Finance Institute
Downloads 861 (32,830)
Citation 15

Abstract:

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Cap rate, real estate, return predictability

5.

The Risk-Return Relationship and Financial Crises

Number of pages: 20 Posted: 07 May 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute and University of California, San Diego (UCSD) - Rady School of Management
Downloads 724 (41,611)
Citation 20

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risk, return, financial crisis, flight-to-safety

What Constrains Liquidity Provision? Evidence From Institutional Trades

Systemic Risk: Liquidity Risk, Governance and Financial Stability, 2013, Swiss Finance Institute Research Paper No. 13-10, Forthcoming in Review of Finance
Number of pages: 46 Posted: 26 Mar 2013 Last Revised: 30 Jun 2020
Swiss Finance Institute, USI Lugano and Swiss Finance Institute
Downloads 599 (52,794)
Citation 9

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hedge funds, limits of arbitrage, liquidity provision, trading costs, funding liquidity

What Constrains Liquidity Provision? Evidence From Hedge Fund Trades

Number of pages: 45 Posted: 04 Oct 2013 Last Revised: 11 Nov 2014
Francesco A. Franzoni and Alberto Plazzi
USI Lugano and Swiss Finance Institute
Downloads 106 (302,198)
Citation 7

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hedge funds, limits of arbitrage, liquidity provision, trading costs, funding liquidity

What Constrains Liquidity Provision? Evidence from Hedge Fund Trades

CEPR Discussion Paper No. DP13645
Number of pages: 46 Posted: 09 Apr 2019
USI Lugano, Swiss Finance Institute and Swiss Finance Institute
Downloads 1 (791,701)
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funding liquidity, Hedge Funds, Limits of arbitrage, Liquidity Provision, Trading Costs

7.

Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation

Swiss Finance Institute Research Paper No. 17-53, Published, Management Science, 2019, Vol. 65:11, 5268–5289
Number of pages: 59 Posted: 18 Oct 2013 Last Revised: 05 Mar 2021
Rutgers Business School, Newark and New Brunswick, University of Notre Dame, University of Konstanz - Department of Economics and Swiss Finance Institute
Downloads 687 (44,636)
Citation 11

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Libor, manipulation, financial market misconduct, enforcement

Direct Versus Iterated Multi-Period Volatility Forecasts

Swiss Finance Institute Research Paper No. 19-02, Kenan Institute of Private Enterprise Research Paper No. 19-7, Published, Annual Review of Financial Economics, 2019, Vol. 11, 173-195
Number of pages: 37 Posted: 31 Jan 2019 Last Revised: 05 Mar 2021
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business
Downloads 222 (163,264)

Abstract:

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volatility forecasting, multi-period forecasts, mixed-data sampling

9.

Equity Is Cheap for Large Financial Institutions

Swiss Finance Institute Research Paper No. 16-22, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 83 Posted: 14 Mar 2016 Last Revised: 31 Jan 2019
Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi
Rutgers Business School, Newark and New Brunswick, Stanford Graduate School of Business and Swiss Finance Institute
Downloads 600 (53,331)
Citation 3

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Financial crisis, Financial firms, Banking, Government bailouts

10.

Does Corporate Governance Matter? Evidence from the AGR Governance Rating

Swiss Finance Institute Research Paper No. 16-54
Number of pages: 40 Posted: 09 Sep 2016 Last Revised: 05 Dec 2019
Alberto Plazzi, Walter N. Torous and Umit Yilmaz
Swiss Finance Institute, Massachusetts Institute of Technology and Swiss Finance Institute at the University of Lugano
Downloads 524 (63,236)

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corporate governance, AGR, operating performance

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Number of pages: 40 Posted: 19 Nov 2004
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
Swiss Finance Institute, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 341 (104,390)

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Commercial real estate, cross-sectional volatility, total risk

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Real Estate Economics, Vol. 36, Issue 3, pp. 403-439, Fall 2008
Number of pages: 37 Posted: 04 Aug 2008
Alberto Plazzi, Walter Torous and Rossen I. Valkanov
Swiss Finance Institute, affiliation not provided to SSRN and University of California, San Diego (UCSD) - Rady School of Management
Downloads 4 (756,925)
Citation 3
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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 341 (105,101)
Citation 2

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

13.

Birds of a Feather – Do Hedge Fund Managers Flock Together?

Swiss Finance Institute Research Paper No. 16-10
Number of pages: 42 Posted: 10 Feb 2016 Last Revised: 06 Apr 2021
Berenberg, University of Konstanz - Department of Economics and Swiss Finance Institute
Downloads 320 (112,781)
Citation 4

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hedge funds, social ties, networks, abnormal performance

14.

Diversification by U.S. Banks: True Safety or a False Sense of Security?

Swiss Finance Institute Research Paper No. 16-43
Number of pages: 52 Posted: 02 Jul 2016 Last Revised: 22 Jul 2017
Rutgers Business School, Newark and New Brunswick, University of California, Los Angeles (UCLA) - Anderson School of Management and Swiss Finance Institute
Downloads 215 (168,581)
Citation 1

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Bank diversification, Non-interest income, Systemic risk, Financial crisis

Does Monetary Policy Impact International Market Co-Movement?

Paris December 2017 Finance Meeting EUROFIDAI - AFFI, Swiss Finance Institute Research Paper No. 17-47
Number of pages: 61 Posted: 29 May 2017 Last Revised: 04 Sep 2020
University of Padova - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Swiss Finance Institute
Downloads 140 (245,413)

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Unconventional Monetary policy, Quantitative easing, Mundellian trilemma, Comovement, Sovereign credit risk

Does Monetary Policy Impact International Market Co-Movements?

SAFE Working Paper No. 276
Number of pages: 61 Posted: 14 May 2020 Last Revised: 08 Sep 2020
University of Padova - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Swiss Finance Institute
Downloads 57 (435,656)

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Unconventional Monetary policy, Quantitative easing, Mundellian trilemma, Comovements, Sovereign credit risk

16.

Inflation Risk Premia, Yield Volatility and Macro Factors

Swiss Finance Institute Research Paper No. 18-13, Published, Journal of Financial Econometrics, 2019, Vol. 17:3, 397–431
Number of pages: 51 Posted: 30 Jan 2018 Last Revised: 05 Mar 2021
Andrea Berardi and Alberto Plazzi
Ca Foscari University of Venice - Dipartimento di Economia and Swiss Finance Institute
Downloads 159 (220,440)
Citation 1

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Term Structure, Inflation Risk Premia, TIPS, Yield Volatility, Macro Factors

17.

Dissecting the Yield Curve: The International Evidence

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, Swiss Finance Institute Research Paper No. 19-73
Number of pages: 66 Posted: 24 Jun 2019 Last Revised: 24 Mar 2021
Andrea Berardi and Alberto Plazzi
Ca Foscari University of Venice - Dipartimento di Economia and Swiss Finance Institute
Downloads 140 (244,659)

Abstract:

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Term structure, term premia, yield volatility, macro factors, comovement

18.

Backcasting, Nowcasting, and Forecasting Residential Repeat-Sales Returns: Big Data meets Mixed Frequency

Swiss Finance Institute Research Paper No. 21-21
Number of pages: 48 Posted: 08 Mar 2021 Last Revised: 10 Mar 2021
Matteo Garzoli, Alberto Plazzi and Rossen I. Valkanov
Universita della Svizzera italiana (USI Lugano), Swiss Finance Institute and University of California, San Diego (UCSD) - Rady School of Management
Downloads 86 (343,641)

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Real estate, Case-Shiller, MIDAS, Forecasting, Big Data

19.

The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times

Number of pages: 54 Posted: 14 Apr 2021
Ruggero Jappelli, Loriana Pelizzon and Alberto Plazzi
Goethe University Frankfurt, Goethe University Frankfurt - Faculty of Economics and Business Administration and Swiss Finance Institute
Downloads 58 (447,286)

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COVID-19, Credit Risk, Sovereign Risk, Fiscal Capacity, Bailout

20.

Equity is Cheap for Large Financial Institutions: The International Evidence

NBER Working Paper No. w22355
Number of pages: 79 Posted: 20 Jun 2016 Last Revised: 31 Jan 2021
Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi
Rutgers Business School, Newark and New Brunswick, Stanford Graduate School of Business and Swiss Finance Institute
Downloads 29 (552,553)
Citation 1

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21.

Valuation in US Commercial Real Estate

European Financial Management, Vol. 13, No. 3, pp. 472-497, June 2007
Number of pages: 26 Posted: 24 May 2007
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute and University of California, San Diego (UCSD) - Rady School of Management
Downloads 19 (616,189)
Citation 2
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22.

Direct versus Iterated Multiperiod Volatility Forecasts

Annual Review of Financial Economics, Vol. 11, pp. 173-195, 2019
Posted: 12 Jan 2020
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business

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23.

Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

Swiss Finance Institute Research Paper No. 11-07, https://doi.org/10.3905/jpm.2011.37.5.039
Posted: 21 May 2019
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
Swiss Finance Institute, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management

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Dynamic portfolio choice, real estate, cap rate