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Mimicking portfolios, economic risk premia, and tests of multi-beta models

Balduzzi, Pierluigi; Robotti, Cesare; Balduzzi, Pierluigi; … - 2005

This paper considers two alternative formulations of the linear factor model (LFM) with nontraded factors. The first formulation is the traditional LFM, where the estimation of risk premia and alphas is performed by means of a cross-sectional regression of average returns on betas. The second...

Persistent link: https://www.econbiz.de/10010397678

Stock returns, inflation, and the 'proxy hypothesis' : a new look at the data

Balduzzi, Pierluigi - In: Economics letters 48 (1995) 1, pp. 47-53

Persistent link: https://www.econbiz.de/10001185468

Inflation and asset prices in a monetary economy

Balduzzi, Pierluigi - In: Economics letters 53 (1996) 1, pp. 67-74

Persistent link: https://www.econbiz.de/10001212273

Money and asset price in a continuous-time Lucas and Stokey cash-in-advance economy

Balduzzi, Pierluigi - In: Journal of economic dynamics & control 31 (2007) 8, pp. 2713-2743

Persistent link: https://www.econbiz.de/10003499204

Nonlinearities in asset prices and infrequent noise trading

Balduzzi, Pierluigi; Bertola, Giuseppe; Foresi, Silverio - 1992

Persistent link: https://www.econbiz.de/10000836582

A model of target changes and the term structure of interest rates

Balduzzi, Pierluigi; Bertola, Giuseppe; Foresi, Silverio - 1993

Persistent link: https://www.econbiz.de/10000866594

Risk premia and variance bounds

Balduzzi, Pierluigi - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 1913-1949

Persistent link: https://www.econbiz.de/10001232338

The central tendency : a second factor in bond yields

Balduzzi, Pierluigi - In: The review of economics and statistics 80 (1998) 1, pp. 62-72

Persistent link: https://www.econbiz.de/10001235783

Yield-curve movements and fiscal retrenchments

Balduzzi, Pierluigi - In: European economic review : EER 41 (1997) 9, pp. 1675-1685

Persistent link: https://www.econbiz.de/10001235877

Transaction costs and predictability : some utility cost calculations

Balduzzi, Pierluigi; Lynch, Anthony W. - In: Journal of financial economics 52 (1999) 1, pp. 47-78

Persistent link: https://www.econbiz.de/10001387776

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