The Research Page of Pietro Veronesi
© Anne Ryan,
zrimages.com
Research by Topics:
Research on Governments and Asset Prices
Research on Tech
“Bubbles”
Research on Stock
Return Predictability
Research on Learning
in Financial Markets
Research on Information
and Stock Prices
Published and Forthcoming
Papers
Political Uncertainty and Risk Premia (with Lubos Pastor), May 2013. Journal of Financial Economics (forthcoming)
Featured in the Wall Street Journal (December 6, 2012), Wall Street Journal (November 5, 2011), Bloomberg (November 9, 2011), and Gewinn (January 2012; in German).
What Ties Return Volatilities to Price Valuations and Fundamentals?, (joint
with Alexander David), May 2013, Journal of Political Economy (forthcoming) .
Featured in the Bloomberg (February 23, 2012).
Uncertainty about Government Policy and Stock Prices, (joint
with Lubos Pastor) Journal of Finance, August 2012, 64, 4, 1219-1264.
Technical
Appendix.
Winner of the 2012 Journal of Finance - Smith Breeden Distinguished Paper Prize (3rd place)
Featured in Fox Business (June 29, 2010).
Stock
Based Compensation and CEO (Dis)Incentives
(with Effi Benmelech and Gene Kandel)
Quarterly Journal of Economics, 2010, 125(4) 1769-1820
Technical
Appendix
Paulson's Gift
(with Luigi Zingales),
Featured in the
Habit
Formation, the Cross Section of Stock Returns and the Cash Flow Risk Puzzle
(with Tano Santos).
Learning in Financial Markets
(with Lubos Pastor), (survey article) 2009;
Technological Revolutions and Stock Prices (with Lubos Pastor), 2009,
American Economic Review,99, 1451--1483.
Technical
Appendix.
Winner of the Barclays Global Investors Prize for the
Best Paper at the European Finance Association Conference.
Featured in the
Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop
in Firm Profitability (with Lubos Pastor and Lucian Taylor), 2009,
Review of Financial Studies ,22, 3005--3046.
Technical
Appendix.
Winner
of the NASDAQ Award for the best paper on capital formation at the 2008 Western
Finance Association conference.
Featured in the Forbes Magazine (February 12, 2007).
Was There a NASDAQ Bubble in the Late 1990s? (with Lubos Pastor), 2006, Journal
of Financial Economics 81, 61 - 100; Technical
Appendix.
Winner
of the Fama/DFA Prize for the best paper in the
Journal of Financial Economics in the
Areas of Capital Markets and Asset Pricing (second prize).
Labor
Income and Predictable Stock Returns (with Tano Santos), Review
of Financial Studies, 19, Spring 2006 (Lead
Article).
Rational
IPO Waves, (with Lubos Pastor), Journal of Finance, 60, August 2005,
1713 – 1757.
Nominated for 2005 Smith Breeden Prize for best paper on the Journal
of Finance.
Understanding Predictability,
(with Lior Menzly
and Tano Santos), Journal of Political Economy, 112, 1, February 2004 (Lead
Article), (link
to JPE Electronic Edition.)
Reprinted in “Financial Markets and the Real Economy”, John
Cochrane (ed.) Edward Elgar Publishing Inc. 2006
The
Peso Problem Hypothesis and Stock Market Returns, Journal of Economic Dynamics and Control,
28, 4, January 2004.
Stock
Valuation and Learning about Profitability, (with Lubos Pastor), Journal of Finance ,
58, 5, October 2003. (Lead Article).
Winner of the Smith Breeden
First Prize for the Best Paper
in asset pricing on the Journal of
Finance in 2003.
Rational
Panics and Stock Market Crashes (with Gadi Barlevy), Journal of Economic Theory,
110, 2, June 2003, Pages 234-263.
How
Does Information Quality Affect Stock Returns? Journal of Finance ,
55, 2, April 2000.
Nominated for 2000 Smith Breeden Prize for best paper on the Journal
of Finance.
Information
Acquisition in Financial Markets (with Gadi Barlevy), Review of
Economic Studies, January 2000. Erratum
Corrigendum
Stock
Market Overreaction to Bad News in Good Times: A Rational Expectations
Equilibrium Model, Review
of Financial Studies , 12, 5, Winter 1999.
Winner of the Barclays Global Investors / Michael Brennan
Prize for the Best Paper on the Review of Financial Studies in
1999.
Featured in Barron's Spot .
A
Note on Stochastic
Downloadable Working
Papers
Investor and Central Bank Uncertainty
Measures Embedded in Index Options (with Alexander David), January 2012.
Conditional
Betas (with Tano Santos), March 2004.
Belief
dependent Utilities, Aversion to State Uncertainty, and Asset Prices,
revised January 2004.
Option
Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of
Implied Volatilities, (with Alexander David), revised June 2002.
Downloadable Notes and
Comments
Lectures on Recent Advances in
Fixed Income Securities Modeling Techniques, Bank of Italy
Day
1: Equilibrium Models and the Dynamics of Bond Returns
Day
2: Term Structure Models
Day
3: No Arbitrage Term Structure Models and the Macro Economy
2006 ESSFM Focus Session on Time Series and
Cross Sectional Predictability (Slides) July 2006.
Lectures on Recent Developments
in Dynamic Portfolio Allocation, and Dynamic Asset Pricing, Bank of Italy
Strategic
Portfolio Allocation: Recent Developments
Day
1: Asset Pricing Puzzles and Learning
Day
2: Habit Formation Models and Economic Activity
Day
3: Habits, Long Run Risk, and Cross-Sectional Predictability
Some
Facts About the Tech “Bubble” in the Late
1990s (modified
slides from NBER discussion), March 2006.
Modeling
Multivariate Processes on the Unit Simplex (with Tano Santos)
Older Papers (i.e. what happens when the co-authors run to Wall Street with all of the
codes…)
The
Excess Co-movement of International Stock Markets in Bad Times: A Rational
Expectations Equilibrium Model, (with Ruy
Ribeiro – now at JP Morgan), November 2002, PDF file .
Short
and Long Horizon Term and Inflation Risk Premia in
the
Chapters in Books,
Discussions, Comments, Etc.
Discussion Comments on 'Sidelined
Investors, Trading-Generated News, and Security Returns', Review of Financial
Studies, 15, 2, (Special Issue), 2002.
Lexicographic Rationality Orderings and Iterative Weak Dominance
in Decisions, Games and Markets by Battigalli,
Montesano and Panunzi (eds.), Kluwer Academic Publishers, 1997.
Downloadable Teaching
Notes
The
following are selected chapters of my teaching notes for my PhD course
“Topics in Dynamic Asset Pricing”
Teaching
Notes 1 Review of Dynamic Equilibrium Models with Complete Markets
Addendum
to TN1 Portfolio Selection with Time Varying
Teaching
Notes 2 Equilibrium with Complete Markets
Teaching
Notes 3 Incomplete Information and Learning: Equilibrium Returns
Addendum
to TN3 Incomplete Information and Learning: Portfolio Allocation
Teaching
Notes 4 Alternative Preferences: Habit Formation and Recursive Utility
Addendum
to TN4: Portfolio Selection with Recursive Utility and Time Varying
Expected Returns
Teaching
Notes 5 Ambiguity Aversion and Robust Decision Making
Addendum
to TN5: Robust Control, Time Varying