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Elisa Ossola

Personal Details

First Name:Elisa
Middle Name:
Last Name:Ossola
Suffix:
RePEc Short-ID:pos159
https://sites.google.com/site/elisaossola/

Affiliation

Dipartimento di Economia, Metodi Quantitativi e Strategie d'Impresa (DEMS)
Scuola di Economia e Statistica
Università degli Studi di Milano-Bicocca

Milano, Italy
http://www.dems.unimib.it/
RePEc:edi:dpmibit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Alessi, Lucia & Elisa, Ossola & Panzica, Roberto, 2021. "When do investors go green? Evidence from a time-varying asset-pricing model," Working Papers 2021-13, Joint Research Centre, European Commission.
  2. Nardo, Michela & Ossola, Elisa & Papanagiotou, Evangalia, 2020. "Financial integration in the EU28 equity markets: measures and drivers," Working Papers 2020-09, Joint Research Centre, European Commission.
  3. Ramelli, Stefano & Ossola, Elisa & Rancan, Michela, 2020. "Climate Sin Stocks: Stock Price Reactions to Global Climate Strikes," Working Papers 2020-03, Joint Research Centre, European Commission.
  4. Alessi, Lucia & Ossola, Elisa & Panzica, Roberto, 2019. "The Greenium matters: greenhouse gas emissions, environmental disclosures, and stock prices," Working Papers 2019-12, Joint Research Centre, European Commission, revised Apr 2020.
  5. Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019. "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series 19-46, Swiss Finance Institute.
  6. Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016. "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series 16-51, Swiss Finance Institute, revised Dec 2016.
  7. Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011. "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series 11-41, Swiss Finance Institute.

Articles

  1. Nardo, M. & Ossola, E. & Papanagiotou, E., 2022. "Financial integration in the EU28 equity markets: Measures and drivers," Journal of Financial Markets, Elsevier, vol. 57(C).
  2. Ramelli, Stefano & Ossola, Elisa & Rancan, Michela, 2021. "Stock price effects of climate activism: Evidence from the first Global Climate Strike," Journal of Corporate Finance, Elsevier, vol. 69(C).
  3. Alessi, Lucia & Ossola, Elisa & Panzica, Roberto, 2021. "What greenium matters in the stock market? The role of greenhouse gas emissions and environmental disclosures," Journal of Financial Stability, Elsevier, vol. 54(C).
  4. Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "A diagnostic criterion for approximate factor structure," Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
  5. Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets," Econometrica, Econometric Society, vol. 84, pages 985-1046, May.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Alessi, Lucia & Elisa, Ossola & Panzica, Roberto, 2021. "When do investors go green? Evidence from a time-varying asset-pricing model," Working Papers 2021-13, Joint Research Centre, European Commission.

    Cited by:

    1. Alessi, Lucia & Battiston, Stefano, 2021. "Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios," Working Papers 2021-14, Joint Research Centre, European Commission.
    2. Alessi, Lucia & Battiston, Stefano & Kvedaras, Virmantas, 2021. "Over with carbon? Investors' reaction to the Paris Agreement and the US withdrawal," Working Papers 2021-12, Joint Research Centre, European Commission.
    3. Alessi, Lucia & Battiston, Stefano, 2022. "Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios," International Review of Financial Analysis, Elsevier, vol. 84(C).

  2. Nardo, Michela & Ossola, Elisa & Papanagiotou, Evangalia, 2020. "Financial integration in the EU28 equity markets: measures and drivers," Working Papers 2020-09, Joint Research Centre, European Commission.

    Cited by:

    1. He, Hongbo & Chen, Yiqing & Wan, Hong & Yao, Shujie, 2023. "Possibility versus feasibility: International portfolio diversification under financial liberalization," International Review of Financial Analysis, Elsevier, vol. 87(C).
    2. Jakub Danko & Erik Suchý, 2021. "The Financial Integration in the European Capital Market Using a Clustering Approach on Financial Data," Economies, MDPI, vol. 9(2), pages 1-19, June.
    3. Elena Valentina Tilica, 2021. "Domestic and Foreign Transmission of the Global Financial Crisis in the Real Economy. The Polish Situation," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 13(1), pages 47-60, June.
    4. Daniela Nicoleta Sahlian & Adriana Florina Popa & Ștefania Amalia Nicoară & Corina Graziella Bâtcă-Dumitru, 2023. "Examining the Causality between Integrated Reporting and Stock Market Capitalization. The Case of the European Renewable Energy Equipment and Services Industry," Energies, MDPI, vol. 16(3), pages 1-12, January.
    5. Joanna Bukowska, 2021. "The Degree of Integration of the Bulgarian and Croatian Equity Markets into the Eurozone Share Equity Market," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 4), pages 269-277.
    6. Guannan Wang & Juan Meng & Bin Mo, 2023. "Dynamic Volatility Spillover Effects and Portfolio Strategies among Crude Oil, Gold, and Chinese Electricity Companies," Mathematics, MDPI, vol. 11(4), pages 1-25, February.
    7. José Clemente Jacinto Ferreira & Ana Paula Matias Gama & Luiz Paulo Fávero & Ricardo Goulart Serra & Patrícia Belfiore & Igor Pinheiro de Araújo Costa & Marcos dos Santos, 2022. "Economic Performance and Stock Market Integration in BRICS and G7 Countries: An Application with Quantile Panel Data and Random Coefficients Modeling," Mathematics, MDPI, vol. 10(21), pages 1-35, October.

  3. Ramelli, Stefano & Ossola, Elisa & Rancan, Michela, 2020. "Climate Sin Stocks: Stock Price Reactions to Global Climate Strikes," Working Papers 2020-03, Joint Research Centre, European Commission.

    Cited by:

    1. Lubos Pastor & M. Blair Vorsatz, 2020. "Mutual Fund Performance and Flows During the COVID-19 Crisis," Working Papers 2020-96, Becker Friedman Institute for Research In Economics.
    2. Aloui, Chaker & Asadov, Alam & Al-kayed, Lama & Hkiri, Besma & Danila, Nevi, 2022. "Impact of the COVID-19 outbreak and its related announcements on the Chinese conventional and Islamic stocks’ connectedness," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    3. Samson Mukanjari & Thomas Sterner, 2020. "Charting a “Green Path” for Recovery from COVID-19," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 76(4), pages 825-853, August.
    4. Mosbah Lafi & Wissal Toumi, 2023. "The impact of the covid-19 pandemic on the stock markets of some countries in the MENA region: An assessment with GARCH modeling," Technium Social Sciences Journal, Technium Science, vol. 44(1), pages 764-776, June.
    5. Garel, Alexandre & Petit-Romec, Arthur, 2021. "Investor rewards to environmental responsibility: Evidence from the COVID-19 crisis," Journal of Corporate Finance, Elsevier, vol. 68(C).
    6. Alexandre Garel & Arthur Petit-Romec, 2021. "Investor rewards to environmental responsibility: Evidence from the COVID-19 crisis," Post-Print hal-03204216, HAL.
    7. Dash, Saumya Ranjan & Maitra, Debasish, 2022. "The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets: Evidence from the time-frequency co-movements," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    8. Nugroho, Dwiyanjana Santyo & Pertiwi, Meilani Intan, 2021. "Stock Price Reaction when Covid -19 Exist: Moderating by Firm’s Operating Cash Flow," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(1), pages 71-85.

  4. Alessi, Lucia & Ossola, Elisa & Panzica, Roberto, 2019. "The Greenium matters: greenhouse gas emissions, environmental disclosures, and stock prices," Working Papers 2019-12, Joint Research Centre, European Commission, revised Apr 2020.

    Cited by:

    1. Stefano Battiston & Petr Jakubik & Irene Monasterolo & Keywan Riahi & Bas van Ruijven, 2019. "Climate Risk Assessment of the Sovereign Bond Portfolio of European Insurers," EIOPA Financial Stability Report - Thematic Articles 15, EIOPA, Risks and Financial Stability Department.
    2. Drudi, Francesco & Moench, Emanuel & Holthausen, Cornelia & Weber, Pierre-François & Ferrucci, Gianluigi & Setzer, Ralph & Adao, Bernardino & Dées, Stéphane & Alogoskoufis, Spyros & Téllez, Mar Delgad, 2021. "Climate change and monetary policy in the euro area," Occasional Paper Series 271, European Central Bank.
    3. Alessi, Lucia & Elisa, Ossola & Panzica, Roberto, 2021. "When do investors go green? Evidence from a time-varying asset-pricing model," Working Papers 2021-13, Joint Research Centre, European Commission.
    4. Liebich, Lena & Nöh, Lukas & Rutkowski, Felix Joachim & Schwarz, Milena, 2021. "Unconventionally green: A monetary policy between engagement and conflicting goals," Working Papers 05/2021, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.
    5. Danilo Liberati & Giuseppe Marinelli, 2021. "Everything you always wanted to know about green bonds (but were afraid to ask)," Questioni di Economia e Finanza (Occasional Papers) 654, Bank of Italy, Economic Research and International Relations Area.
    6. Monasterolo, Irene & de Angelis, Luca, 2020. "Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement," Ecological Economics, Elsevier, vol. 170(C).

  5. Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019. "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series 19-46, Swiss Finance Institute.

    Cited by:

    1. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
    2. Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
    3. Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    4. Alessi, Lucia & Elisa, Ossola & Panzica, Roberto, 2021. "When do investors go green? Evidence from a time-varying asset-pricing model," Working Papers 2021-13, Joint Research Centre, European Commission.
    5. Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
    6. Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022. "Skill, Scale, and Value Creation in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 77(1), pages 601-638, February.

  6. Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016. "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series 16-51, Swiss Finance Institute, revised Dec 2016.

    Cited by:

    1. Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.
    2. Daniel Czarnowske & Amrei Stammann, 2020. "Inference in Unbalanced Panel Data Models with Interactive Fixed Effects," Papers 2004.03414, arXiv.org.
    3. Alessi, Lucia & Ossola, Elisa & Panzica, Roberto, 2021. "What greenium matters in the stock market? The role of greenhouse gas emissions and environmental disclosures," Journal of Financial Stability, Elsevier, vol. 54(C).
    4. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
    5. Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2022. "Eigenvalue tests for the number of latent factors in short panels," Papers 2210.16042, arXiv.org.
    6. Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "Estimation of large dimensional conditional factor models in finance," Working Papers unige:125031, University of Geneva, Geneva School of Economics and Management.
    7. Nardo, Michela & Ossola, Elisa & Papanagiotou, Evangalia, 2020. "Financial integration in the EU28 equity markets: measures and drivers," Working Papers 2020-09, Joint Research Centre, European Commission.
    8. Stanislav Anatolyev & Anna Mikusheva, 2018. "Factor models with many assets: strong factors, weak factors, and the two-pass procedure," Papers 1807.04094, arXiv.org, revised Apr 2019.
    9. Solène Collot & Tobias Hemauer, 2021. "A literature review of new methods in empirical asset pricing: omitted-variable and errors-in-variable bias," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(1), pages 77-100, March.
    10. Sun, Yucheng & Xu, Wen & Zhang, Chuanhai, 2023. "Identifying latent factors based on high-frequency data," Journal of Econometrics, Elsevier, vol. 233(1), pages 251-270.
    11. Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
    12. Simon Freyaldenhoven, 2021. "Factor Models with Local Factors—Determining the Number of Relevant Factors," Working Papers 21-15, Federal Reserve Bank of Philadelphia.
    13. Ruoxuan Xiong & Markus Pelger, 2019. "Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference," Papers 1910.08273, arXiv.org, revised Jan 2022.
    14. Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
    15. Alessi, Lucia & Elisa, Ossola & Panzica, Roberto, 2021. "When do investors go green? Evidence from a time-varying asset-pricing model," Working Papers 2021-13, Joint Research Centre, European Commission.
    16. Lucia Alessi & Elisa, Ossola & Roberto Panzica, 2019. "The Greenium matters: greenhouse gas emissions, environmental disclosures, and stock prices," Working Papers 418, University of Milano-Bicocca, Department of Economics, revised Apr 2020.
    17. Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023. "Latent Factor Analysis in Short Panels," Papers 2306.14004, arXiv.org.
    18. Rafael Alves & Diego S. de Brito & Marcelo C. Medeiros & Ruy M. Ribeiro, 2023. "Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage," Papers 2303.16151, arXiv.org.
    19. Vogler, Jan & Golosnoy, Vasyl, 2023. "Unrestricted maximum likelihood estimation of multivariate realized volatility models," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1063-1074.
    20. Marco Avarucci & Paolo Zaffaroni, 2019. "Robust Nearly-Efficient Estimation of Large Panels with Factor Structures," Papers 1902.11181, arXiv.org.
    21. Sun, Yang & Zhang, Xuan & Zhang, Zhekai, 2022. "The reduced-rank beta in linear stochastic discount factor models," International Review of Financial Analysis, Elsevier, vol. 84(C).
    22. Choi, Jaewon & Kim, Yongjun, 2018. "Anomalies and market (dis)integration," Journal of Monetary Economics, Elsevier, vol. 100(C), pages 16-34.
    23. Xiong, Ruoxuan & Pelger, Markus, 2023. "Large dimensional latent factor modeling with missing observations and applications to causal inference," Journal of Econometrics, Elsevier, vol. 233(1), pages 271-301.

  7. Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011. "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series 11-41, Swiss Finance Institute.

    Cited by:

    1. Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.
    2. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    3. Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011. "Regression-based estimation of dynamic asset pricing models," Staff Reports 493, Federal Reserve Bank of New York.
    4. Alessi, Lucia & Ossola, Elisa & Panzica, Roberto, 2021. "What greenium matters in the stock market? The role of greenhouse gas emissions and environmental disclosures," Journal of Financial Stability, Elsevier, vol. 54(C).
    5. Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
    6. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2019. "Cross-Sectional Dispersion of Risk in Trading Time," NBER Working Papers 26329, National Bureau of Economic Research, Inc.
    7. Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2022. "Eigenvalue tests for the number of latent factors in short panels," Papers 2210.16042, arXiv.org.
    8. Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
    9. Nardo, Michela & Ossola, Elisa & Papanagiotou, Evangalia, 2020. "Financial integration in the EU28 equity markets: measures and drivers," Working Papers 2020-09, Joint Research Centre, European Commission.
    10. Farago, Adam & Tédongap, Roméo, 2018. "Downside risks and the cross-section of asset returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 69-86.
    11. Stanislav Anatolyev & Anna Mikusheva, 2018. "Factor models with many assets: strong factors, weak factors, and the two-pass procedure," Papers 1807.04094, arXiv.org, revised Apr 2019.
    12. Schmidt, Jörg, 2020. "Risk, asset pricing and monetary policy transmission in Europe: Evidence from a threshold-VAR approach," Journal of International Money and Finance, Elsevier, vol. 109(C).
    13. Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models," Papers 1711.04392, arXiv.org, revised Dec 2018.
    14. Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "A diagnostic criterion for approximate factor structure," Papers 1612.04990, arXiv.org, revised Aug 2017.
    15. GONÇALVES, Sílvia & PERRON, Benoit, 2018. "Bootstrapping factor models with cross sectional dependence," Cahiers de recherche 2018-07, Universite de Montreal, Departement de sciences economiques.
    16. Cakici, Nusret & Zaremba, Adam, 2021. "Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    17. Kim, Soohun & Skoulakis, Georgios, 2018. "Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach," Journal of Econometrics, Elsevier, vol. 204(2), pages 159-188.
    18. Richard T. Baillie & Fabio Calonaci & George Kapetanios, 2019. "Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model," Working Papers 879, Queen Mary University of London, School of Economics and Finance.
    19. H. J. Turtle & Kainan Wang, 2014. "Modeling Conditional Covariances With Economic Information Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 217-236, April.
    20. Federico Esposito & Marcelo Bianconi & Marco Sammon, 2020. "Trade Policy Uncertainty and Stock Returns," Discussion Papers Series, Department of Economics, Tufts University 0834, Department of Economics, Tufts University.
    21. Malamud, Semyon & Vilkov, Grigory, 2018. "Non-myopic betas," Journal of Financial Economics, Elsevier, vol. 129(2), pages 357-381.
    22. Gabriel Frahm, 0. "Arbitrage Pricing Theory In Ergodic Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-28.
    23. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi, 2017. "Variance Premium, Downside Risk and Expected Stock Returns," Staff Working Papers 17-58, Bank of Canada.
    24. Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo.
    25. Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
    26. Feng, Long & Lan, Wei & Liu, Binghui & Ma, Yanyuan, 2022. "High-dimensional test for alpha in linear factor pricing models with sparse alternatives," Journal of Econometrics, Elsevier, vol. 229(1), pages 152-175.
    27. Kollenberg, Sascha & Taschini, Luca, 2019. "Dynamic supply adjustment and banking under uncertainty in an Emission Trading Scheme: the Market Stability Reserve," LSE Research Online Documents on Economics 100857, London School of Economics and Political Science, LSE Library.
    28. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    29. Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas," Departmental Working Papers 201711, Rutgers University, Department of Economics.
    30. Cenesizoglu, Tolga & Reeves, Jonathan J., 2018. "CAPM, components of beta and the cross section of expected returns," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 223-246.
    31. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
    32. Harold D Chiang & Bruce E Hansen & Yuya Sasaki, 2022. "Standard errors for two-way clustering with serially correlated time effects," Papers 2201.11304, arXiv.org, revised Sep 2022.
    33. Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    34. Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
    35. Gu, Shihao & Kelly, Bryan & Xiu, Dacheng, 2021. "Autoencoder asset pricing models," Journal of Econometrics, Elsevier, vol. 222(1), pages 429-450.
    36. Bingxin Li & Natalia Piqueira, 2019. "State-dependent size and value premium: evidence from a regime-switching asset pricing model," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 229-249, May.
    37. Arturas Juodis & Simon Reese, 2018. "The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation," Papers 1810.03715, arXiv.org, revised Feb 2021.
    38. Alessi, Lucia & Elisa, Ossola & Panzica, Roberto, 2021. "When do investors go green? Evidence from a time-varying asset-pricing model," Working Papers 2021-13, Joint Research Centre, European Commission.
    39. Riccardo Borghi & Eric Hillebrand & Jakob Mikkelsen & Giovanni Urga, 2018. "The dynamics of factor loadings in the cross-section of returns," CREATES Research Papers 2018-38, Department of Economics and Business Economics, Aarhus University.
    40. Barras, Laurent & Gagliardini, Patrick & Scaillet, Olivier, 2018. "The Cross-Sectional Distribution of Fund Skill Measures," Working Papers unige:110006, University of Geneva, Geneva School of Economics and Management.
    41. Lucia Alessi & Elisa, Ossola & Roberto Panzica, 2019. "The Greenium matters: greenhouse gas emissions, environmental disclosures, and stock prices," Working Papers 418, University of Milano-Bicocca, Department of Economics, revised Apr 2020.
    42. Ai, Hengjie & Han, Leyla Jianyu & Pan, Xuhui Nick & Xu, Lai, 2022. "The cross section of the monetary policy announcement premium," Journal of Financial Economics, Elsevier, vol. 143(1), pages 247-276.
    43. Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2020. "Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference," CIRANO Working Papers 2020s-30, CIRANO.
    44. Mele, Antonio & Distaso, Walter & Vilkov, Grigory, 2019. "Correlation Risk, Strings and Asset Prices," CEPR Discussion Papers 13873, C.E.P.R. Discussion Papers.
    45. Leyla Jianyu Han & Kenneth Kasa, 2019. "Ambiguity and Information Processing in a Model of Intermediary Asset Pricing," Discussion Papers dp19-04, Department of Economics, Simon Fraser University.
    46. Cheng, Tingting & Gao, Jiti & Yan, Yayi, 2019. "Regime switching panel data models with interactive fixed effects," Economics Letters, Elsevier, vol. 177(C), pages 47-51.
    47. Moreira, Afonso M. & Martins, Luis F., 2020. "A new mechanism for anticipating price exuberance," International Review of Economics & Finance, Elsevier, vol. 65(C), pages 199-221.
    48. Cheng, Tingting & Yan, Cheng & Yan, Yayi, 2021. "Improved inference for fund alphas using high-dimensional cross-sectional tests," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 57-81.
    49. Jianqing Fan & Yuan Ke & Yuan Liao, 2016. "Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia," Papers 1603.07041, arXiv.org, revised Sep 2018.
    50. Shafiqur Rahman & Matthew J. Schneider, 2019. "Tests of Alternative Asset Pricing Models Using Individual Security Returns and a New Multivariate F-Test," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-34, March.
    51. Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
    52. Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022. "Skill, Scale, and Value Creation in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 77(1), pages 601-638, February.
    53. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2013. "Conditional alphas and realized betas," Textos para discussão 341, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    54. Barras, Laurent, 2019. "A large-scale approach for evaluating asset pricing models," Journal of Financial Economics, Elsevier, vol. 134(3), pages 549-569.
    55. Fletcher, Jonathan, 2018. "Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 114-129.
    56. Victor Chernozhukov & Christian Hansen & Yuan Liao & Yinchu Zhu, 2021. "Inference for Low-Rank Models," Papers 2107.02602, arXiv.org, revised Jan 2023.
    57. Smith, Simon C. & Timmermann, Allan, 2022. "Have risk premia vanished?," Journal of Financial Economics, Elsevier, vol. 145(2), pages 553-576.
    58. Amihud, Yakov & Noh, Joonki, 2021. "The pricing of the illiquidity factor’s conditional risk with time-varying premium," Journal of Financial Markets, Elsevier, vol. 56(C).
    59. Frank Ecker & Jennifer Francis & Per Olsson & Katherine Schipper, 2021. "Non-random sampling and association tests on realized returns and risk proxies," Review of Accounting Studies, Springer, vol. 26(2), pages 772-814, June.
    60. Joerg Schmidt, 2019. "Risk, Asset Pricing and Monetary Policy Transmission in Europe: Evidence from a Threshold-VAR approach," MAGKS Papers on Economics 201928, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    61. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
    62. Laurent Barras & Aytek Malkhozov, 2015. "Does variance risk have two prices? Evidence from the equity and option markets," BIS Working Papers 521, Bank for International Settlements.

Articles

  1. Nardo, M. & Ossola, E. & Papanagiotou, E., 2022. "Financial integration in the EU28 equity markets: Measures and drivers," Journal of Financial Markets, Elsevier, vol. 57(C).
    See citations under working paper version above.
  2. Ramelli, Stefano & Ossola, Elisa & Rancan, Michela, 2021. "Stock price effects of climate activism: Evidence from the first Global Climate Strike," Journal of Corporate Finance, Elsevier, vol. 69(C).

    Cited by:

    1. Busato, Francesco & Chiarini, Bruno & Cisco, Gianluigi & Ferrara, Maria, 2021. "Greta Thunberg effect and Business Cycle Dynamics: A DSGE model," MPRA Paper 110141, University Library of Munich, Germany.
    2. Timár, Barnabás, 2023. "A klímavédelmi események hatása a köztudatra és a tőkepiacra. Empirikus vizsgálat Google-trends- és ETF-adatokon [The impact of climate events on public perception and capital markets. An empirical," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 713-745.
    3. Siamak Javadi & Abdullah‐Al Masum & Mohsen Aram & Ramesh P. Rao, 2023. "Climate change and corporate cash holdings: Global evidence," Financial Management, Financial Management Association International, vol. 52(2), pages 253-295, June.
    4. Simona Malovana & Dominika Ehrenbergerova & Zuzana Gric, 2023. "What Do Economists Think About the Green Transition? Exploring the Impact of Environmental Awareness," Working Papers 2023/6, Czech National Bank.
    5. Alessi, Lucia & Elisa, Ossola & Panzica, Roberto, 2021. "When do investors go green? Evidence from a time-varying asset-pricing model," Working Papers 2021-13, Joint Research Centre, European Commission.
    6. Andrea Jacob & Martin Nerlinger, 2021. "Investors’ Delight? Climate Risk in Stock Valuation during COVID-19 and Beyond," Sustainability, MDPI, vol. 13(21), pages 1, November.
    7. Daniela Nicoleta Sahlian & Adriana Florina Popa & Ștefania Amalia Nicoară & Corina Graziella Bâtcă-Dumitru, 2023. "Examining the Causality between Integrated Reporting and Stock Market Capitalization. The Case of the European Renewable Energy Equipment and Services Industry," Energies, MDPI, vol. 16(3), pages 1-12, January.
    8. Wu, Gabriel Shui Tang & Wan, Wilson Tsz Shing, 2023. "What drives the cross-border spillover of climate transition risks? Evidence from global stock markets," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 432-447.
    9. Wassim Le Lann & Gauthier Delozière & Yann Le Lann, 2023. "Greenwashing the Talents: attracting human capital through environmental pledges," SciencePo Working papers Main hal-04140191, HAL.
    10. Yan Lv & Weisong Li & Yawen Xu & Muhammad Tayyab Sohail, 2023. "China’s Pathway to a Low Carbon Economy: Exploring the Influence of Urbanization on Environmental Sustainability in the Digital Era," Sustainability, MDPI, vol. 15(8), pages 1-14, April.

  3. Alessi, Lucia & Ossola, Elisa & Panzica, Roberto, 2021. "What greenium matters in the stock market? The role of greenhouse gas emissions and environmental disclosures," Journal of Financial Stability, Elsevier, vol. 54(C).

    Cited by:

    1. Ricardo Gimeno & Clara I. González, 2022. "The role of a green factor in stock prices. When Fama & French go green," Working Papers 2207, Banco de España.
    2. Elettra Agliardi & Rossella Agliardi, 2021. "Corporate Green Bonds: Understanding the Greenium in a Two-Factor Structural Model," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 80(2), pages 257-278, October.
    3. Ramelli, Stefano & Ossola, Elisa & Rancan, Michela, 2021. "Stock price effects of climate activism: Evidence from the first Global Climate Strike," Journal of Corporate Finance, Elsevier, vol. 69(C).
    4. Andrea Ugolini & Juan C. Reboredo & Javier Ojea Ferreiro, 2023. "Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps," Staff Working Papers 23-38, Bank of Canada.
    5. Alessi, Lucia & Battiston, Stefano, 2021. "Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios," Working Papers 2021-14, Joint Research Centre, European Commission.
    6. Douglas A. Adu & Basil Al‐Najjar & Thitima Sitthipongpanich, 2022. "Executive compensation, environmental performance, and sustainable banking: The moderating effect of governance mechanisms," Business Strategy and the Environment, Wiley Blackwell, vol. 31(4), pages 1439-1463, May.
    7. Gong, Xu & Fu, Chengbo & Huang, Qiping & Lin, Meimei, 2022. "International political uncertainty and climate risk in the stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    8. Eduardo C. Garrido-Merch'an & Gabriel Gonz'alez Piris & Maria Coronado Vaca, 2023. "Bayesian Optimization of ESG Financial Investments," Papers 2303.01485, arXiv.org.
    9. Erli Dan & Jianfei Shen & Yiwei Guo, 2023. "Corporate Sustainable Growth, Carbon Performance, and Voluntary Carbon Information Disclosure: New Panel Data Evidence for Chinese Listed Companies," Sustainability, MDPI, vol. 15(5), pages 1-27, March.
    10. Reboredo, Juan C. & Ugolini, Andrea, 2022. "Climate transition risk, profitability and stock prices," International Review of Financial Analysis, Elsevier, vol. 83(C).
    11. Greppmair, Stefan & Jank, Stephan & Smajlbegovic, Esad, 2023. "On the importance of fiscal space: Evidence from short sellers during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 147(C).
    12. Gianni Guastella & Stefano Pareglio & Caterina Schiavoni, 2023. "An Empirical Approach to Integrating Climate Reputational Risk in Long-Term Scenario Analysis," Sustainability, MDPI, vol. 15(7), pages 1-17, March.
    13. Benjamin Dennis, 2022. "Climate Change and Financial Policy: A Literature Review," Finance and Economics Discussion Series 2022-048, Board of Governors of the Federal Reserve System (U.S.).
    14. Becchetti, Leonardo & Manfredonia, Stefano, 2022. "Media, reputational risk, and bank loan contracting," Journal of Financial Stability, Elsevier, vol. 60(C).
    15. Alessi, Lucia & Battiston, Stefano, 2022. "Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios," International Review of Financial Analysis, Elsevier, vol. 84(C).
    16. Egemen Eren & Floortje Merten & Niek Verhoeven, 2022. "Pricing of climate risks in financial markets: a summary of the literature," BIS Papers, Bank for International Settlements, number 130.
    17. Erli Dan & Jianfei Shen & Xinyuan Zheng & Peng Liu & Ludan Zhang & Feiyu Chen, 2023. "Asset Structure, Asset Utilization Efficiency, and Carbon Emission Performance: Evidence from Panel Data of China’s Low-Carbon Industry," Sustainability, MDPI, vol. 15(7), pages 1-20, April.
    18. Siddhartha P. Chakrabarty & Suryadeepto Nag, 2023. "Risk measures and portfolio analysis in the paradigm of climate finance: a review," SN Business & Economics, Springer, vol. 3(3), pages 1-22, March.
    19. Reboredo, Juan C. & Ugolini, Andrea & Ojea-Ferreiro, Javier, 2022. "Do green bonds de-risk investment in low-carbon stocks?," Economic Modelling, Elsevier, vol. 108(C).
    20. Wu, Gabriel Shui Tang & Wan, Wilson Tsz Shing, 2023. "What drives the cross-border spillover of climate transition risks? Evidence from global stock markets," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 432-447.
    21. Boneva, Lena & Ferrucci, Gianluigi & Mongelli, Francesco Paolo, 2021. "To be or not to be “green”: how can monetary policy react to climate change?," Occasional Paper Series 285, European Central Bank.
    22. Philippe Loyson & Rianne Luijendijk & Sweder van Wijnbergen, 2023. "The pricing of climate transition risk in Europe’s equity market," Working Papers 788, DNB.
    23. Javier Amores‐Salvadó & Gregorio Martin‐de Castro & Elisabeth Albertini, 2023. "Walking the talk, but above all, talking the walk: Looking green for market stakeholder engagement," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(1), pages 431-442, January.
    24. Javier Amores‐salvadó & Gregorio Martin‐de Castro & Elisabeth Albertini, 2022. "Walking the talk, but above all, talking the walk: Looking green for market stakeholder engagement," Post-Print halshs-03760088, HAL.

  4. Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "A diagnostic criterion for approximate factor structure," Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
    See citations under working paper version above.
  5. Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets," Econometrica, Econometric Society, vol. 84, pages 985-1046, May.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ENE: Energy Economics (4) 2019-08-12 2019-10-07 2020-10-12 2022-02-21
  2. NEP-ENV: Environmental Economics (4) 2019-08-12 2019-10-07 2020-10-12 2022-02-21
  3. NEP-ECM: Econometrics (3) 2016-04-09 2016-12-18 2019-09-23
  4. NEP-ORE: Operations Research (3) 2019-09-23 2020-10-12 2022-02-21
  5. NEP-RMG: Risk Management (3) 2016-04-09 2019-08-12 2020-10-12
  6. NEP-ETS: Econometric Time Series (2) 2016-04-09 2019-09-23
  7. NEP-FMK: Financial Markets (2) 2020-10-12 2020-10-12
  8. NEP-EEC: European Economics (1) 2020-10-12
  9. NEP-FDG: Financial Development & Growth (1) 2020-10-12
  10. NEP-HME: Heterodox Microeconomics (1) 2019-08-12
  11. NEP-IFN: International Finance (1) 2019-09-23
  12. NEP-ISF: Islamic Finance (1) 2020-10-12

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