AFA 2011 Annual Meeting, Denver
Predictability in the Cross-Section:
Rare Disasters in Heterogeneously Connected
Networks
Andrea Buraschi
Imperial College London
joint work with P. Porchia and F. Troj
AFA 2011 Annual Meeting, Denver
Predictability in the Cross-Section:
Rare Disasters in Heterogeneously Connected
Networks
Andrea Buraschi
Imperial College London
joint work with P. Porchia and F. Troj
Advances in Return Predictability
Andrea Buraschi
Paul Whelan
Imperial College
Imperial College
Ecient Market Hypothesis
Bachelier (1900): behaviour of prices is such that speculation should be a fair
Asset Pricing with Heterogeneous Beliefs
Andrea Buraschi
Imperial College Business School
October 2010
A. Buraschi
Heterogeneous Beliefs
Heterogeneous Beliefs
1. Motivation
2. Simple heterogeneous age
Fixed Income Predictability
Andrea Buraschi & Paul Whelan
Imperial College Business School
March 2011
Andrea Buraschi & Paul Whelan
The Term Structure of Interest Rates
The quest for understanding wha
Model Uncertainty and Asset Pricing with
Robustness
Andrea Buraschi
Imperial College Business School
October 2010
A. Buraschi
Asset Pricing with Model Uncertainty
Uncertainty and Robustness
Uncertaint
The Puzzles
Topics in Asset Pricing
Andrea Buraschi
Imperial College Business School
October 2010
A. Buraschi
Introduction Lecture
Course Objectives
A. Buraschi
Introduction Lecture
Course Objectives
Fama-MacBeth 1973: Replication and Extension
Serginio Sylvain
Graduate School of Economics
University of Chicago
Chicago, IL 60615, USA
October 11, 2013
Abstract
I reproduce the results of Fama and M
Advances in Return Predictability: Appendix
Andrea Buraschi
Paul Whelan
Imperial College
Imperial College
Lettau and Ludvigson (2005)
Let us now look at Lettau and Ludvigson, 2005 (LL05 hence).
Some r
Introduction
Optimality and Asset Pricing
Andrea Buraschi
Imperial College Business School
October 2010
A. Buraschi
Introduction Lecture
The Euler Equation
Take an economy where price is given with re
Lucas Tree Economy
Andrea Buraschi
Imperial College Business School
October 2010
A. Buraschi
Lucas Tree Economy
Benchmark Lucas economy
Representative investors preferences: Given investment horizon
[
Expected Returns in the Cross Section
Andrea Buraschi and Andrea Carnelli
Spring 2011
Andrea Buraschi and Andrea Carnelli
Expected Returns in the Cross Section
Introduction and Outline
In the rst two
The Cross-Section of Expected Stock Returns: Learning
about Distress and Predictability in Heterogeneous
Orchards
Andrea Buraschi
Imperial College London
Paolo Porchia
IE Business School, Madrid
Fabio
The Cross-Section of Expected Stock Returns: Learning
about Distress and Predictability in Heterogeneous
Orchards
Andrea Buraschi
Imperial College London
Paolo Porchia
IE Business School, Madrid
Fabio
Long Run Risk
Andrea Buraschi
Imperial College Business School
October 2010
A. Buraschi
Long Run Risk
References
On Long Run Risk
Bansal, Ravi, Robert F. Dittmar, and Kiku, Cointegration and Consumpti
When Uncertainty Blows in the Orchard:
Comovement & Equilibrium Volatility Risk
Premia
Andrea Buraschi
Fabio Trojani
Andrea Vedolin
Imperial College London
University of Lugano
London School of Econom
Asset Pricing with Uncertainty and Learning
Andrea Buraschi
Imperial College Business School
October 2010
A. Buraschi
Uncertainty and Learning
Risk and Uncertainty
Risk
: Given a description of the st
When Uncertainty Blows in the Orchard: Comovement
and Equilibrium Volatility Risk Premia
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
In a Lucas economy, in which heterogeneity in belief
When Uncertainty Blows in the Orchard:
Comovement and Equilibrium Volatility Risk
Premia
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
In a Lucas orchard with heterogeneous beliefs, we st
When Uncertainty Blows in the Orchard: Comovement
and Equilibrium Volatility Risk Premia
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
In a multiple-trees Lucas economy with heterogeneous
Correlation Risk and the Term Structure of
Interest Rates
Andrea Buraschi, Anna Cieslak and Fabio Trojani
ABSTRACT
We study the implications of a term structure model that grants a new element of exib
Economic Uncertainty, Disagreement, and Credit
Markets
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
Using a structural credit risk model with heterogeneous beliefs, this paper derives te
Online Appendix: When Uncertainty Blows in The
Orchard
Not For Publication
This Appendix is divided into four sub-appendices. The rst section gives additional explanation to data sources
and construct
Economic Uncertainty, Disagreement, and Credit
Markets
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
Using an economy populated with agents with heterogeneous beliefs this paper delivers
Online Appendix: When Uncertainty Blows in The
Orchard
Not For Publication
This Appendix is divided into four sub-appendices. The rst section gives additional explanation to data sources
and construct
When Uncertainty Blows in the Orchard:
Comovement and Volatility Risk Premia
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
Writers of index options earn high returns due to a signicant an
Economic Uncertainty, Disagreement, and Credit
Markets
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
Traditional structural models with additive preferences calibrated to historical defau
Economic Uncertainty, Disagreement, and Credit
Markets
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Abstract
Uncertainty surges when the growth rate of future expected cash ows is more volatile,