Andrea Tamoni

Assistant Professor of Finance

Research Interests

• Asset Pricing 
• Financial Econometrics
• Macro-finance

Selected Papers

• Level and Volatility Shocks to Government Spending: Term Structure Implications, (with A. Hsu and L. Bretscher)

• The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling (with D. Bianchi)

• The scale of predictability, (with F. Bandi, B. Perron and C. Tebaldi)
  This  paper was briefly circulated under the title “Economic uncertainty and predictability”

• Horizon-specific macroeconomic risks and the cross-section of expected returns, (with Martijn Boons)

• A persistence-based Wold-type decomposition for stationary time series, (with F. Ortu, F. Severino  and C. Tebaldi)

• News Shocks and Asset Prices, (with A. Malkhozov)

• Business-Cycle Consumption Risk and Asset Prices, (with F. Bandi)

• Implications of Predictability Across Horizons for Asset Pricing Models, (with C. Favero, F. Ortu and H. Yang)

• Long Run Risk and the Persistence of Consumption Shocks, (with F. Ortu and C. Tebaldi), Review of Financial Studies, (2013), vol. 26 (11):2876-2915. The Web Appendix contains further results.

• The multi-horizon dynamics of risk and returns, This version: December 2011

• Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns with Carlo A. Favero and Arie E. Gozluklu, Journal of Financial and Quantitative Analysis (2011), 46, pp 1493-1520

• Demographics and Stock Market Fluctuations, (with Carlo A. Favero), CESifo Economic Studies, Vol. 57, 1/2011

Teaching

• Office Hours (internal LSE access only)

Lectures/classes

• FM405 Fixed Income Securities and Credit Markets
  Current students click here for course information

• FM413 Fixed Income Markets
  Current students click here for course information

• FM481 Financial Econometrics for Research Students
  Current students click here for course information