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Massimo Guidolin Assistant Vice President

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Recent Articles Published in Academic Journals and Books

"Affiliated Mutual Funds and Analyst Optimism"
with Simona Mola
FORTHCOMING: Journal of Financial Economics
Abstract | Full Text (PDF)

"Non-Linear Predictability in Stock and Bond Returns: When and Where Is It Exploitable?"
with Stuart Hyde, David McMillan, and Sadayuki Ono
FORTHCOMING: International Journal of Forecasting
Abstract | Full Text (PDF)

"Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach"
with Allan Timmermann
Journal of Econometrics, June 2009, 150(2), pp. 297-311.
Abstract
[also CEPR discussion paper No. 6188]

"Small Caps in International Equity Portfolios: The Effects of Variance Risk"
with Giovanna Nicodano
Annals of Finance, January 2009, 5(1), pp. 15-48.
Abstract

"Equity Portfolio Diversification under Time-Varying Predictability and Comovements: Evidence from Ireland, the US, and the UK"
with Stuart Hyde
Journal of Multinational Financial Management, October 2008, 18(4), pp. 293-312.
Abstract

"International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences"
with Allan Timmermann
Review of Financial Studies, February 2008, 21(2), pp. 889-935.
Abstract

"Size and Value Anomalies under Regime Shifts"
with Allan Timmermann
Journal of Financial Econometrics, January 2008, 6(1), pp. 1-48.
Abstract

"Diamonds Are Forever, Wars Are Not. Is Conflict Bad for Private Firms?"
with Eliana La Ferrara
American Economic Review, December 2007, 97(5), pp. 1978-1993.
Abstract
[also CEPR discussion paper No. 3005]

"Asset Allocation under Multivariate Regime Switching"
with Allan Timmermann
Journal of Economic Dynamics and Control, November 2007, 31(11), pp. 3503-44.
Abstract

"Investing for the Long-Run in European Real Estate"
with Carolina Fugazza and Giovanna Nicodano
Journal of Real Estate Finance and Economics, January 2007, 34(1), pp. 35-80.
Abstract

"Properties of Equilibrium Asset Prices Under Alternative Learning Schemes"
with Allan Timmermann
Journal of Economic Dynamics and Control, January 2007, 31(1), pp. 161-217.
Abstract

"High Equity Premia and Crash Fears. Rational Foundations"
Economic Theory, October 2006, 28(3), pp. 693-708.
Abstract

"Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface"
with Silvia Gonçalves
Journal of Business, May 2006, 79(3), pp. 1591-1635.
Abstract

"Term Structure of Risk under Alternative Econometric Specifications"
with Allan Timmermann
Journal of Econometrics, March-April 2006, 131(1-2), pp. 285-308.
Abstract
[also CEPR discussion paper No. 4645]

All Articles Published in Academic Journals and Books

Recent Review Articles

"The Decline in the U.S. Personal Saving Rate: Is It Real and Is It a Puzzle?"
with Elizabeth A. La Jeunesse
Federal Reserve Bank of St. Louis Review, November/December 2007, 89(6), pp. 491-514.

"Subjective Probabilities: Psychological Theories and Economic Applications"
with A. Chiodo, M. Owyang, and M. Shimoji
Federal Reserve Bank of St. Louis Review, January/February 2004, 86(1), pp. 33-47.

Working Papers

2009-020A "A Simple Model of Trading and Pricing Risky Assets Under Ambiguity: Any Lessons for Policy-Makers?" - April 2009
with Francesca Rinaldi
Abstract | Full Text (PDF)

2009-001A "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value" - January 2009
with Carolina Fugazza and Giovanna Nicodano
Abstract | Full Text (PDF)

2007-030A "Managing International Portfolios with Small Capitalization Stocks" - August 2007
with Giovanna Nicodano
Abstract | Full Text (PDF)

2006-034A "Why Do Analysts Continue to Provide Favorable Coverage for Seasoned Stocks?" - May 2006
with Simona Mola
Abstract | Full Text (PDF)

2005-066A "The Economic Effects of Violent Conflict: Evidence from Asset Market Reactions" - October 2005
with Eliana La Ferrara
Abstract | Full Text (PDF)

2005-006A "Optimal Portfolio Choice under Regime Switching, Skew and Kurtosis Preferences" - January 2005
with Allan Timmermann
Abstract | Full Text (PDF)

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Commentary and Policy Articles

"A Yield Spread Perspective of the Financial Crisis"
with Yu Man Tam
Federal Reserve Bank of St. Louis Monetary Trends, October 2009.

"Taming the Long-Term Spreads"
with Yu Man Tam
Federal Reserve Bank of St. Louis Monetary Trends, June 2009.

"No Volatility, No Forecasting Power for the Term Spread"
with Allison K. Rodean
Federal Reserve Bank of St. Louis Monetary Trends, April 2008.

"Is the Term Spread Still Speaking to Policymakers? Some International Evidence"
with Allison K. Rodean
Federal Reserve Bank of St. Louis International Economic Trends - Annual Edition, July 2007.

"Cross-Country Personal Saving Rates"
with Elizabeth A. La Jeunesse
Federal Reserve Bank of St. Louis National Economic Trends, May 2006.

"The Dollar U-Turn"
Federal Reserve Bank of St. Louis International Economic Trends, February 2006.

"Bubbling (or Just Frothy) House Prices?"
with Elizabeth A. La Jeunesse
Federal Reserve Bank of St. Louis National Economic Trends, November 2005.

"Is the Bond Market Irrational?"
Federal Reserve Bank of St. Louis Monetary Trends, July 2005.

Book Reviews and Other Publications

"Detecting and Exploiting Regime Switching ARCH Dynamics in US Stock and Bond Returns"
FORTHCOMING: Stock Market Volatility (G Gregoriou ed.)
Chapman Hall, London, 2009.

"Diversifying in Public Real Estate: the Ex-Post Performance"
with Carolina Fugazza and Giovanna Nicodano
Journal of Asset Management, February 2008, 8(6), pp. 361-73.

"Empirical Dynamic Asset Pricing"
by K. Singleton
Econometric Reviews, September 2007, 26(5), pp. 597-604.

Service/Journal Editorial Board Membership

Studies in Nonlinear Dynamics and Econometrics

Journal of Business Finance and Accounting

Recent Teaching

Research Methods for Accounting and Finance (Econometrics I)

Essentials of Finance (Asset Pricing I)

International Finance (U/G)

Asset Pricing and Portfolio Choice

Recent Conference/Seminar Presentations

American Real Estate and Urban Economics Association Annual Conference, ASSA meetins, San Francisco (January 2009)

Bocconi University, Dept. of Finance, Milan, Italy (November 2008)

Citigroup Annual Quant Conference, Athens, Greece (June 2008)

INFINITI Conference on International Finance, Dublin, Ireland (June 2008)

ECARES, Free University, Brussels, Belgium (May 2008)

Oxford-Man Institute, Oxford University (March 2008)

Erasmus University, Econometric Institute, Rotterdam, the Netherlands (March 2008)

University of Manchester, Dept. of Economics (February 2008)

Third McGill Conference on Global Asset Management, Montreal, Canada (June 2007)

INFINITI Conference on International Finance, Dublin, Ireland (June 2007)

University of Lund, Department of Economics, Sweden (April 2007)

University of Copenhagen, Joint Economics and Applied Mathematics Seminar, Denmark (November 2006)

Warwick Business School, Finance Dept, United Kingdom (November 2006)

Cambridge University, Judge Business School, CERF, United Kingdom (November 2006)

European Finance Association, Zurich (August 2006)

European Economic Association, Vienna (August 2006)

Econometric Society, European meetings, Vienna (August 2006)

Hong Kong Monetary Authority Conference on "International Financial Markets and the Macroeconomy," Hong Kong (July 2006)

Western Economic Association, annual conference, San Diego (June 2006)

Royal Economic Society, Nottingham (April 2006)

Eighth Annual Financial Econometrics Conference, University of Waterloo, Canada (March 2006)

American Finance Association, Boston (January 2006)

Doctoral Institute in Economics (DSE), Real Collegio Carlo Alberto, Turin (November 2005)

University of Virginia (October 2005)

University of Amsterdam, Finance Group, the Netherlands (September 2005)

World Congress of the Econometric Society, London, UK (August 2005)

European Financial Management Association, Milan, Italy (July 2005)

Csef-Igier Symposium of Economics and Institutions, Capri, Italy (June 2005)

Imperial College, Tanaka Business School, United Kingdom (May 2005)

University of Warwick, Warwick Business School, United Kingdom (May 2005)

University of York, Department of Economics, United Kingdom (May 2005)

California Institute of Technology (April 2005)

Purdue University, Krannert School of Management (April 2005)

Econometric Society, North American Winter meetings, Philadelphia (January 2005)

More Conferences/Seminar Presentations

Education

Degree	Institution	Major	Date
Ph.D.	University of California San Diego, CA	Economics	2000
B.A.	Bocconi University Milan, Italy	Economics	1993