Browsing Arbeidsnotater / Working Papers by Author "Guidolin, Massimo"
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Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco (Working Papers;22/2013, Working paper, 2013)We use Bayesian methods to estimate a multi-factor linear asset pricing model characterized by structural instability in factor loadings, idiosyncratic variances, and factor risk premia. We use such a framework to investigate ... -
Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco (Working Papers;19/2013, Working paper, 2013)This paper proposes a Bayesian estimation framework for a typical multi-factor model with time-varying risk exposures to macroeconomic risk factors and corresponding premia to price U.S. stocks and bonds. The model assumes ... -
Myths and Facts About the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns
Guidolin, Massimo; Ravazzolo, Francesco; Tortora, Andrea Donato (Working Papers;19/2011, Working paper, 2011)This paper uses a multi-factor pricing model with time-varying risk exposures and premia to examine whether the 2003-2006 period has been characterized, as often claimed by a number of commentators and policymakers, by a ...