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

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 View citations (16)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) View citations (16)

2014

2. 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
   See also Journal Article Stock market efficiency in China: Evidence from the split-share reform, The Quarterly Review of Economics and Finance, Elsevier (2016) View citations (10) (2016)

2013

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

2011

4. Is M&A different during a crisis? Evidence from the European banking sector
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Is M&A different during a crisis? Evidence from the European banking sector, Journal of Banking & Finance, Elsevier (2013) View citations (25) (2013)
5. The stock market reaction to the 2005 non-tradable share reform in China
   Working Paper Series, European Central Bank View citations (4)

2010

6. 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 View citations (24)
   See also Journal Article The credit crisis around the globe: Why did some banks perform better?, Journal of Financial Economics, Elsevier (2012) View citations (655) (2012)

2009

7. Stock Prices in a Speculative Market: The Chinese Split-Share Reform
   Working Papers, Fondazione Eni Enrico Mattei View citations (3)
8. 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 View citations (87)
   Also in Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics (2009) View citations (86)

2008

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

2006

10. Comovements in International Stock Markets
    ICER Working Papers, ICER - International Centre for Economic Research View citations (9)
    See also Journal Article Comovements in international stock markets, Journal of International Financial Markets, Institutions and Money, Elsevier (2008) View citations (81) (2008)
11. Net Inflows and Time-Varying Alphas: The Case of Hedge Funds
    ICER Working Papers, ICER - International Centre for Economic Research
12. The Nontradable Share Reform in the Chinese Stock Market
    Working Papers, Fondazione Eni Enrico Mattei View citations (16)

2005

13. Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios
    ICER Working Papers, ICER - International Centre for Economic Research
    See also Journal Article Structural breaks and common factors in the volatility of the Fama-French factor portfolios, Applied Financial Economics, Taylor & Francis Journals (2006) View citations (1) (2006)

2004

14. Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility
    Working Papers, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont View citations (2)
    See also Journal Article Breaks and persistency: macroeconomic causes of stock market volatility, Journal of Econometrics, Elsevier (2006) View citations (98) (2006)

2003

15. Socially Responsible Investment in General Equilibrium
    Working Papers, Fondazione Eni Enrico Mattei View citations (6)

1999

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

1998

17. Scenario Modeling for the Management of International Bond Portfolios
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (4)
    See also Journal Article Scenario modeling for the management ofinternational bond portfolios, Annals of Operations Research, Springer (1999) View citations (2) (1999)
18. Sustainable use of renewable resources, Chapter 2.1
    MPRA Paper, University Library of Munich, Germany View citations (19)
19. Uncertain future preferences and conservation
    MPRA Paper, University Library of Munich, Germany View citations (27)

1996

20. 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 View citations (4)

1994

21. The environment and the long run: A comparison of different criteria
    MPRA Paper, University Library of Munich, Germany View citations (18)

1993

22. Sustainable Growth and the Green Golden Rule
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (29)

1992

23. Option and Non-Use of Environmental Assets
    Working Papers, Columbia - Graduate School of Business View citations (2)

Journal Articles

2016

1. Basel II and regulatory arbitrage. Evidence from financial crises
   Journal of Empirical Finance, 2016, 39, (PB), 180-196 View citations (17)
2. Stock market efficiency in China: Evidence from the split-share reform
   The Quarterly Review of Economics and Finance, 2016, 60, (C), 125-137 View citations (10)
   See also Working Paper Stock market efficiency in China: evidence from the split-share reform, Temi di discussione (Economic working papers) (2014) (2014)

2015

3. Bank leverage and profitability: Evidence from a sample of international banks
   Review of Financial Economics, 2015, 27, (C), 46-57 View citations (11)

2013

4. Is M&A different during a crisis? Evidence from the European banking sector
   Journal of Banking & Finance, 2013, 37, (12), 5394-5405 View citations (25)
   See also Working Paper Is M&A different during a crisis? Evidence from the European banking sector, MPRA Paper (2011) View citations (1) (2011)
5. 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 View citations (4)

2012

6. The credit crisis around the globe: Why did some banks perform better?
   Journal of Financial Economics, 2012, 105, (1), 1-17 View citations (655)
   See also Working Paper The Credit Crisis around the Globe: Why Did Some Banks Perform Better?, Working Paper Series (2010) View citations (24) (2010)

2010

7. International house prices and macroeconomic fluctuations
   Journal of Banking & Finance, 2010, 34, (3), 533-545 View citations (86)

2008

8. Aggregate hedge funds' flows and returns
   Applied Financial Economics, 2008, 18, (21), 1755-1764 View citations (1)
9. Comovements in international stock markets
   Journal of International Financial Markets, Institutions and Money, 2008, 18, (1), 31-45 View citations (81)
   See also Working Paper Comovements in International Stock Markets, ICER Working Papers (2006) View citations (9) (2006)
10. 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 View citations (6)

2007

11. A portfolio-based evaluation of affine term structure models
    Annals of Operations Research, 2007, 151, (1), 193-222 View citations (1)
12. Does the stock market affect income distribution? Some empirical evidence for the US
    Applied Economics Letters, 2007, 14, (2), 99-104 View citations (5)
13. 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 View citations (1)
14. Ricerca e didattica: valutazione ed incentivi
    Rivista italiana degli economisti, 2007, (2), 205-214

2006

15. Breaks and persistency: macroeconomic causes of stock market volatility
    Journal of Econometrics, 2006, 131, (1-2), 151-177 View citations (98)
    See also Working Paper Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility, Working Papers (2004) View citations (2) (2004)
16. Structural breaks and common factors in the volatility of the Fama-French factor portfolios
    Applied Financial Economics, 2006, 16, (14), 1059-1073 View citations (1)
    See also Working Paper Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios, ICER Working Papers (2005) (2005)

2005

17. Capital market equilibrium with externalities, production and heterogeneous agents
    Journal of Banking & Finance, 2005, 29, (12), 3061-3073 View citations (15)
18. The Complementarity between Corporate Governance and Corporate Social Responsibility
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2005, 30, (3), 373-386 View citations (31)

2004

19. Scenario modelling for selective hedging strategies
    Journal of Economic Dynamics and Control, 2004, 28, (5), 955-974 View citations (3)
20. Structural change and long-range dependence in volatility of exchange rates: either, neither or both?
    Journal of Empirical Finance, 2004, 11, (5), 629-658 View citations (80)

2002

21. The Cross–section of Risk Premia in the Italian Stock Market
    Economic Notes, 2002, 31, (3), 389-416 View citations (3)
22. The effects of the introduction of the euro on the volatility of European stock markets
    Journal of Banking & Finance, 2002, 26, (10), 2047-2064 View citations (46)

2001

23. Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data
    Economic Notes, 2001, 30, (2), 205-234 View citations (8)

2000

24. 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 View citations (11)

1999

25. Computing value at risk with high frequency data
    Journal of Empirical Finance, 1999, 6, (5), 431-455 View citations (30)
26. Scenario modeling for the management ofinternational bond portfolios
    Annals of Operations Research, 1999, 85, 227-247 View citations (2)
    See also Working Paper Scenario Modeling for the Management of International Bond Portfolios, Center for Financial Institutions Working Papers (1998) View citations (4) (1998)

1997

27. I fondi pensione in Italia: alcuni effetti macroeconomici
    Banca Impresa Società, 1997, (2), 225-238
28. 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

29. The Green Golden Rule
    Economics Letters, 1995, 49, (2), 175-179 View citations (83)

1989

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

1988

31. 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