We analyze the current state of the monetary integration in Europe focusing on the UK position regarding the European Monetary Union. The interest rates decisions of the European Central Bank and the Bank of England are compared through different specifications of the Taylor Rule. The comparison...

We document an unpleasant feature of Epstein-Zin preferences in a stylized model economy of the long-run risk type now widespread in Asset Pricing: Agents with preference parameters commonly described as indicating a "preference for early resolution of uncertainty" achieve higher utility levels...

Standard Real Business Cycle (RBC) models are well known to generate counter-factual asset pricing implications. This paper provides a simple extension to the prior literature where we study an economy that follows a regimes switching process both in the mean and the volatility, in conjunction...

We conduct an empirical analysis of a hand-collected sample of 2,376 turnovers of soccer managers in the four major English leagues in the seasons from 1949/50 to 2007/08. While the relation between the probability of a manager being fired and long-term performance remained remarkably stable,...

We develop a model of asset pricing assuming that investor's behavior is habit forming. The model predicts that the effect of consumption growth shocks on the risk premium depends on the business cycle phase of the economy. This empirical implication is tested with a Markovswitching VAR model on...

We study the pricing factor structure of Italian equity returns using 25 years of data. A two-step empirical analysis is provided where first we estimate an unrestricted multifactor model to test if there is any evidence of misspecification. Then, we estimate the restricted model through the...

The aim of this paper is to study the pricing factor structure of Italian equity returns. Using twenty-five years of data, we focus on the role of other risk factors besides the market beta, namely size, book to market, and momentum. A two step empirical analysis is provided where first we...