The Research Page of Pietro Veronesi

Anne Ryan,

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. Technical Appendix

Political Uncertainty and Risk Premia (with Lubos Pastor) Journal of Financial Economics, December 2013, 110, 3, 520--545 Technical Appendix

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. On-Line Appendix

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; Annual Review of Financial Economics, 1, 361 -- 381

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). Small inconsequential Typo

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 US Term Structure, (joint with Francis Yared – now at Lehman Brothers), PDF file ;