The Research Page of Pietro Veronesi
© Anne Ryan,
zrimages.com
Research on Learning in
Financial Markets
The Price of Political Uncertainty: Theory and Evidence from the Option Market (with Bryan Kelly and Lubos Pastor), Revised July 2015.
The Journal of Finance (forthcoming).
Internet
Appendix to accompany the paper.
Investor's and Central Bank's Uncertainty Embedded in Index Options (with Alexander David),
The Review of Financial Studies, 2014, 27, (6): 1661-1716.
Political Uncertainty and Risk Premia (with Lubos Pastor) Journal of Financial Economics, December 2013, 110, 3, 520--545
Featured in the Wall Street Journal (December 6, 2012), Wall Street Journal (November 5, 2011), Bloomberg (November 9, 2011), and Gewinn (January 2012; in German).
What Ties Return Volatilities to Price Valuations and Fundamentals?, (joint
with Alexander David), Journal of Political Economy , Summer 2013, 121, 4, 682 -- 746.
Uncertainty about Government Policy and Stock Prices, (joint
with Lubos Pastor), Journal of Finance, August 2012, 64, 4, 1219-1264.
Technical
Appendix.
Winner of the 2012 Journal of Finance - Smith Breeden Distinguished Paper Prize (3rd place)
Learning in Financial Markets
(with Lubos Pastor), (survey article) 2009;
Technological Revolutions and Stock Prices (with Lubos Pastor), 2009,
American Economic Review,99, 1451--1483.
Technical
Appendix.
Winner of the Barclays Global Investors Prize for the
Best Paper at the European Finance Association Conference.
Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop
in Firm Profitability (with Lubos Pastor and Lucian Taylor), 2009,
Review of Financial Studies ,22, 3005--3046.
Technical
Appendix.
Winner
of the NASDAQ Award for the best paper on capital formation at the 2008 Western
Finance Association conference.
Was There a NASDAQ Bubble in the Late 1990s? (with Lubos Pastor), 2006, Journal
of Financial Economics 81, 61 - 100; Technical
Appendix.
Winner
of the Fama/DFA Prize for the best paper in the
Journal of Financial Economics in the
Areas of Capital Markets and Asset Pricing (second prize).
Rational
IPO Waves, (with Lubos Pastor), Journal of Finance, 60, August 2005,
1713 – 1757.
Nominated for 2005 Smith Breeden Prize for best paper on the Journal
of Finance.
The
Peso Problem Hypothesis and Stock Market Returns, Journal of Economic Dynamics and Control,
28, 4, January 2004.
Stock
Valuation and Learning about Profitability, (with Lubos Pastor), Journal of Finance ,
58, 5, October 2003. (Lead Article).
Winner of the Smith Breeden
First Prize for the Best Paper
in asset pricing on the Journal of
Finance in 2003.
How
Does Information Quality Affect Stock Returns? Journal of Finance ,
55, 2, April 2000.
Nominated for 2000 Smith Breeden Prize for best paper on the Journal
of Finance.
Stock
Market Overreaction to Bad News in Good Times: A Rational Expectations
Equilibrium Model, Review
of Financial Studies , 12, 5, Winter 1999. from Barron's Spot .
Winner of the Barclays Global Investors / Michael Brennan
Prize for the Best Paper on the Review of Financial Studies in
1999.
Older (but still interesting) Working
Papers
Belief
dependent Utilities, Aversion to State Uncertainty, and Asset Prices,
revised January 2004.
Option
Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of
Implied Volatilities, (with Alexander David), revised June 2002.
The
Excess Co-movement of International Stock Markets in Bad Times: A Rational
Expectations Equilibrium Model, (with Ruy
Ribeiro – now at JP Morgan), November 2002, PDF file .
Short
and Long Horizon Term and Inflation Risk Premia in
the