Andrea Tamoni

Associate Professor of Finance

Rutgers Business School, 1 Washington Pl, Newark, NJ 07102


When it Rains it Pours: Cascading Uncertainty Shocks (with A. Diercks and A. Hsu). Journal of Political Economy (Forthcoming).

Return predictability with endogenous growth (with F. Bandi and L. Bretscher). Journal of Financial Economics (Forthcoming).

Dynamic Asset (Mis)Pricing: Build-up vs. Resolution Anomalies (with J. van Binsbergen, M. Boons and C. Opp). Journal of Financial Economics (2023), 147(2):406-431.

Business-cycle consumption risk and asset prices (with F. Bandi). Journal of Econometrics.

Monetary Policy and Bond Prices with Drifting Equilibrium Rates (with C. Favero and A. Melone). Journal of Financial and Quantitative Analysis (2023).

the real Response of the Macroeconomy to Uncertainty ShockS: The risk premium channel (with L. Bretscher and A. Hsu). Management Science (2022).

Expectations and Aggregate Risk (with A. Malkhozov and L. Bretscher). Journal of Monetary Economics (2021), 123:91-108.

COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission (with L. Bretscher, A. Hsu, and P. Simasek). Review of Asset Pricing Studies (2020).

Fiscal Policy Driven Bond Risk Premia (with L. Bretscher and A. Hsu). Journal of Financial Economics (2020).

Bond Risk Premia with Machine Learning (with D. Bianchi and M.Buchner). Review of Financial Studies (2020), vol 34(2):1046-1089.

Spectral factor models (with F. Bandi, S. Chaudhuri and Andrew W. Lo). Journal of Financial Economics (2021), 142(1):214-238.

Spectral Financial Econometrics (with Federico Bandi). Econometric Theory (2022).

A persistence-based Wold-type decomposition for stationary time series (with F. Ortu, F. Severino  and C. Tebaldi). Quantitative Economics (2020), vol. 11:203-230.

The scale of predictability (with F. Bandi, B. Perron and C. Tebaldi). Journal of Econometrics (2019), vol. 208(1):120-140.

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.

Value Return Predictability Across Asset Classes and Commonalities in Risk Premia (with M. Boons and F. Baba-Yara). Review of Finance (2021), vol. 25(2): 449-484.

Implications of Return Predictability For Consumption Dynamics and Asset Pricing (with C. Favero, F. Ortu and H. Yang). Journal of Business and Economic Statistics (2019), vol 46(5):1493-1520.

Mind the (Convergence) Gap: Forward Rates Strike Back! (with A. Berardi, M. Markovich and A. Plazzi). Management Science (2021), VOL 67(12):7888-7911.

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

Demographics and Stock Market Fluctuations  (with C. A. Favero). CESifo Economic Studies (2011), Vol. 57:1.

Implementing Stochastic Volatility in DSGE Models: A Comment (with A. Hsu and L. Bretscher). Macroeconomic Dynamics (2018).