Lorenzo Bretscher

Swiss Finance Institute - HEC Lausanne

Chavannes-près-Renens, Vaud

Switzerland

Centre for Economic Policy Research (CEPR)

London

United Kingdom

  • Swiss Finance Institute - HEC Lausanne

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

12

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22

CROSSREF CITATIONS

17

Scholarly Papers (12)

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1.

Institutional Corporate Bond Pricing

Swiss Finance Institute Research Paper No. 21-07
Number of pages: 75 Posted: 15 Jan 2021 Last Revised: 09 Feb 2022
Lorenzo Bretscher, Lukas Schmid, Ishita Sen and Varun Sharma
Swiss Finance Institute - HEC Lausanne, University of Southern California - Marshall School of Business, Harvard University - Harvard Business Schoolaffiliation not provided to SSRN and London Business School
Downloads 855 (39,020)

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Corporate Bond Pricing, Intermediary Asset Pricing, Demand Systems, Insurance Companies, Mutual Funds, Bond Market Fragility, ZLB, Interest Rate Liftoff, Fed Corporate Credit Facility.

2.

Interest Rate Risk Management in Uncertain Times

Number of pages: 58 Posted: 18 Jan 2016 Last Revised: 05 Dec 2017
Lorenzo Bretscher, Lukas Schmid and Andrea Vedolin
Swiss Finance Institute - HEC Lausanne, University of Southern California - Marshall School of Business and Boston University - Department of Finance & Economics
Downloads 820 (41,260)
Citation 4

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interest rate uncertainty, volatility, risk management, interest rate swaps, financial frictions, corporate investment, leverage, credit risk

3.

Fiscal Policy Driven Bond Risk Premia

Number of pages: 100 Posted: 15 Sep 2016 Last Revised: 10 Apr 2019
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 624 (59,176)
Citation 7

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Bond Risk Premia, Fiscal Policy, Uncertainty

4.

COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission

Georgia Tech Scheller College of Business Research Paper No. 3588418, Swiss Finance Institute Research Paper No. 21-05
Number of pages: 58 Posted: 30 Apr 2020 Last Revised: 26 Jan 2021
Lorenzo Bretscher, Alex Hsu, Peter Simasek and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, Georgia Institute of Technology - Scheller College of Business, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 597 (62,607)
Citation 16

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COVID-19, Equity Returns, Labor Supply, Uncertainty, Earnings Forecast

5.

The Real Response to Uncertainty Shocks: the Risk Premium Channel

Georgia Tech Scheller College of Business Research Paper No. 17-13
Number of pages: 62 Posted: 22 Mar 2017 Last Revised: 30 Apr 2020
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 401 (101,247)
Citation 5

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Risk Aversion, Uncertainty, Conditional IRF, Dynamic Economies

6.

Marking to Market Corporate Debt

Swiss Finance Institute Research Paper No. 21-06, USC Marshall School of Business Research Paper Sponsored by iORB, No. Forthcoming
Number of pages: 87 Posted: 25 Sep 2020 Last Revised: 17 Mar 2021
Lorenzo Bretscher, Peter Feldhütter, Andrew Kane and Lukas Schmid
Swiss Finance Institute - HEC Lausanne, Copenhagen Business School, Duke University, Fuqua School of Business, Students and University of Southern California - Marshall School of Business
Downloads 398 (102,164)
Citation 1

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Corporate Debt Valuations, Tobin's Q, Leverage Premium

7.

Expectations and Aggregate Risk

Journal of Monetary Economics, Vol. 123, 2021, Swiss Finance Institute Research Paper No. 21-68
Number of pages: 68 Posted: 14 Dec 2013 Last Revised: 16 Oct 2021
Lorenzo Bretscher, Aytek Malkhozov and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, Board of Governors of the Federal Reserve System and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 359 (114,814)
Citation 4

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News Shocks, Consumption-CAPM, Cross Section of Returns, Market-to-Book Decomposition

8.

From Local to Global: Offshoring and Asset Prices

Number of pages: 98 Posted: 10 Nov 2018 Last Revised: 24 Mar 2020
Lorenzo Bretscher
Swiss Finance Institute - HEC Lausanne
Downloads 264 (158,599)
Citation 1

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Asset Prices, Import Competition, Offshoring

9.

Uncertainty trends

Number of pages: 65 Posted: 14 Oct 2018 Last Revised: 02 Sep 2021
Federico M. Bandi, Lorenzo Bretscher and Andrea Tamoni
Johns Hopkins University - Carey Business School, Swiss Finance Institute - HEC Lausanne and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 181 (225,637)

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uncertainty trends, valuation ratios, endogenous growth, price rigidities, financial uncertainty

10.

The Unintended Consequences of Roth IRAs

Swedish House of Finance Research Paper No. 22-04
Number of pages: 29 Posted: 20 Dec 2021 Last Revised: 16 Mar 2022
Lorenzo Bretscher, Riccardo Sabbatucci and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, Stockholm School of Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 162 (247,796)

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Roth IRA, Traditional IRA, Inequality, Pension schemes

11.

Implementing Stochastic Volatility in DSGE Models: A Comment

Georgia Tech Scheller College of Business Research Paper No. 17-40
Number of pages: 22 Posted: 21 Oct 2017 Last Revised: 01 Jul 2018
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 156 (255,736)

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Dynamic equilibrium economies, Stochastic volatility, Perturbation, Matlab code

12.

Limits to Arbitrage and Mispricing in TIPS

Posted: 29 Dec 2014
Lorenzo Bretscher
Swiss Finance Institute - HEC Lausanne

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TIPS, Mispricing, Limits to Arbitrage, Flight-to-Liquidity