The Research Page of Pietro Veronesi
© Anne Ryan,
zrimages.com
Research on Learning in
Financial Markets
Stock
Market Overreaction to Bad News in Good Times: A Rational Expectations
Equilibrium Model, Review
of Financial Studies , 12, 5, Winter 1999. from Barron's Spot .
Winner of the Barclays Global Investors / Michael Brennan
Prize for the Best Paper on the Review of Financial Studies in
1999.
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.
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.
The
Peso Problem Hypothesis and Stock Market Returns, Journal of Economic Dynamics and Control,
28, 4, January 2004.
Working papers
Option
Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of
Implied Volatilities, (with Alexander David), revised June 2002.
Inflation and Earnings Uncertainty and Volatility Forecasts, (joint with
Alexander David), revised February 2004.
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.
Short
and Long Horizon Term and Inflation Risk Premia in
the US Term Structure, (joint with Francis Yared – now at Lehman Brothers)
Belief dependent Utilities, Aversion
to State Uncertainty, and Asset Prices, revised January 2004.