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Details about Andrea Beltratti

Access statistics for papers by Andrea Beltratti.

Last updated 2017-06-12. Update your information in the RePEc Author Service.

Short-id: pbe1095


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Working Papers

2015

  1. Bank Sovereign Bond Holdings, Sovereign Shock Spillovers, and Moral Hazard durning the European Crisis
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads View citations (10)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) Downloads View citations (10)

2014

  1. Stock market efficiency in China: evidence from the split-share reform
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
    See also Journal Article in The Quarterly Review of Economics and Finance (2016)

2013

  1. Why do banks optimize risk weights? The relevance of the cost of equity capital
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)

2011

  1. Is M&A different during a crisis? Evidence from the European banking sector
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Banking & Finance (2013)
  2. The stock market reaction to the 2005 non-tradable share reform in China
    Working Paper Series, European Central Bank Downloads View citations (1)

2010

  1. The Credit Crisis around the Globe: Why Did Some Banks Perform Better?
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads View citations (6)
    See also Journal Article in Journal of Financial Economics (2012)

2009

  1. Stock Prices in a Speculative Market: The Chinese Split-Share Reform
    Working Papers, Fondazione Eni Enrico Mattei Downloads View citations (2)
  2. Why Did Some Banks Perform Better During the Credit Crisis? A Cross-Country Study of the Impact of Governance and Regulation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (26)
    Also in Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics (2009) Downloads View citations (28)

2008

  1. International shocks and national house prices
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads

2006

  1. Comovements in International Stock Markets
    ICER Working Papers, ICER - International Centre for Economic Research Downloads View citations (5)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2008)
  2. Net Inflows and Time-Varying Alphas: The Case of Hedge Funds
    ICER Working Papers, ICER - International Centre for Economic Research Downloads
  3. The Nontradable Share Reform in the Chinese Stock Market
    Working Papers, Fondazione Eni Enrico Mattei Downloads View citations (13)

2005

  1. Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios
    ICER Working Papers, ICER - International Centre for Economic Research Downloads
    See also Journal Article in Applied Financial Economics (2006)

2004

  1. Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility
    Working Papers, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2006)

2003

  1. Socially Responsible Investment in General Equilibrium
    Working Papers, Fondazione Eni Enrico Mattei Downloads View citations (2)

1999

  1. Scenario Modeling of Selective Hedging Strategies
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (1)

1998

  1. Scenario Modeling for the Management of International Bond Portfolios
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (5)
    See also Journal Article in Annals of Operations Research (1999)
  2. Sustainable use of renewable resources, Chapter 2.1
    MPRA Paper, University Library of Munich, Germany Downloads View citations (13)
  3. Uncertain future preferences and conservation
    MPRA Paper, University Library of Munich, Germany Downloads View citations (23)

1996

  1. The Equity Premium Is No Puzzle
    Working Papers, Banca Italia - Servizio di Studi View citations (7)
    Also in Working Papers, Stanford University, Department of Economics Downloads View citations (4)

1994

  1. The environment and the long run: A comparison of different criteria
    MPRA Paper, University Library of Munich, Germany Downloads View citations (12)

1993

  1. Sustainable Growth and the Green Golden Rule
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)

1992

  1. Option and Non-Use of Environmental Assets
    Working Papers, Columbia - Graduate School of Business

Journal Articles

2016

  1. Basel II and regulatory arbitrage. Evidence from financial crises
    Journal of Empirical Finance, 2016, 39, (PB), 180-196 Downloads View citations (6)
  2. Stock market efficiency in China: Evidence from the split-share reform
    The Quarterly Review of Economics and Finance, 2016, 60, (C), 125-137 Downloads View citations (7)
    See also Working Paper (2014)

2015

  1. Bank leverage and profitability: Evidence from a sample of international banks
    Review of Financial Economics, 2015, 27, (C), 46-57 Downloads

2013

  1. Is M&A different during a crisis? Evidence from the European banking sector
    Journal of Banking & Finance, 2013, 37, (12), 5394-5405 Downloads View citations (8)
    See also Working Paper (2011)
  2. The Value Relevance and Timeliness of Write-downs During the Financial Crisis of 2007–2009
    The International Journal of Accounting, 2013, 48, (4), 467-494 Downloads View citations (2)

2012

  1. The credit crisis around the globe: Why did some banks perform better?
    Journal of Financial Economics, 2012, 105, (1), 1-17 Downloads View citations (348)
    See also Working Paper (2010)

2010

  1. International house prices and macroeconomic fluctuations
    Journal of Banking & Finance, 2010, 34, (3), 533-545 Downloads View citations (60)

2008

  1. Aggregate hedge funds' flows and returns
    Applied Financial Economics, 2008, 18, (21), 1755-1764 Downloads View citations (1)
  2. Comovements in international stock markets
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (1), 31-45 Downloads View citations (55)
    See also Working Paper (2006)
  3. Why are Insurance Companies Different? The Limits of Convergence Among Financial Institutions&ast
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2008, 33, (3), 363-388 Downloads View citations (2)

2007

  1. A portfolio-based evaluation of affine term structure models
    Annals of Operations Research, 2007, 151, (1), 193-222 Downloads View citations (1)
  2. Does the stock market affect income distribution? Some empirical evidence for the US
    Applied Economics Letters, 2007, 14, (2), 99-104 Downloads View citations (3)
  3. Potential Drawbacks of Price-based Accounting in the Insurance Sector
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2007, 32, (2), 163-177 Downloads View citations (1)
  4. Ricerca e didattica: valutazione ed incentivi
    Rivista italiana degli economisti, 2007, (2), 205-214 Downloads

2006

  1. Breaks and persistency: macroeconomic causes of stock market volatility
    Journal of Econometrics, 2006, 131, (1-2), 151-177 Downloads View citations (74)
    See also Working Paper (2004)
  2. Structural breaks and common factors in the volatility of the Fama-French factor portfolios
    Applied Financial Economics, 2006, 16, (14), 1059-1073 Downloads
    See also Working Paper (2005)

2005

  1. Capital market equilibrium with externalities, production and heterogeneous agents
    Journal of Banking & Finance, 2005, 29, (12), 3061-3073 Downloads View citations (13)
  2. The Complementarity between Corporate Governance and Corporate Social Responsibility
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2005, 30, (3), 373-386 Downloads View citations (14)

2004

  1. Scenario modelling for selective hedging strategies
    Journal of Economic Dynamics and Control, 2004, 28, (5), 955-974 Downloads View citations (1)
  2. Structural change and long-range dependence in volatility of exchange rates: either, neither or both?
    Journal of Empirical Finance, 2004, 11, (5), 629-658 Downloads View citations (58)

2002

  1. The Cross–section of Risk Premia in the Italian Stock Market
    Economic Notes, 2002, 31, (3), 389-416 Downloads View citations (3)
  2. The effects of the introduction of the euro on the volatility of European stock markets
    Journal of Banking & Finance, 2002, 26, (10), 2047-2064 Downloads View citations (37)

2001

  1. Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data
    Economic Notes, 2001, 30, (2), 205-234 Downloads View citations (3)

2000

  1. Central bank interventions and exchange rates: an analysis with high frequency data
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (3-4), 349-362 Downloads View citations (9)

1999

  1. Computing value at risk with high frequency data
    Journal of Empirical Finance, 1999, 6, (5), 431-455 Downloads View citations (21)
  2. Scenario modeling for the management ofinternational bond portfolios
    Annals of Operations Research, 1999, 85, 227-247 Downloads View citations (3)
    See also Working Paper (1998)

1997

  1. I fondi pensione in Italia: alcuni effetti macroeconomici
    Banca Impresa Società, 1997, (2), 225-238 Downloads
  2. Stock Returns, the Interest Rate and Inflation in the Italian Stock Market: A Long-Run Perspective
    Giornale degli Economisti, 1997, 56, (3-4), 139-167 View citations (1)

1995

  1. The Green Golden Rule
    Economics Letters, 1995, 49, (2), 175-179 Downloads View citations (55)

1989

  1. U.S. Military Expenditure and the Dollar
    Economic Inquiry, 1989, 27, (4), 737-44 View citations (1)

1988

  1. La volatilità del tasso di cambio e del prezzo dei titoli azionari
    Economia Internazionale / International Economics, 1988, 41, (3-4), 167-180

Chapters

1996

  1. Heterogeneous Behavior in Exchange Rate Crises
    A chapter in The Microstructure of Foreign Exchange Markets, 1996, pp 229-260 Downloads
 
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