Lorenzo Bretscher
Swiss Finance Institute Junior Chair
HEC Lausanne & CEPR
Extranef 233
1015, Lausanne
Switzerland
Email: lorenzo.bretscher@unil.ch
Published & Forthcoming Papers
Human Capital and International Portfolio Diversification: A Reappraisal, Journal of International Economics, 77(1), March 2016, 78-96
with Christian Julliard and Carlo Rosa
Interest Rate Risk Management in Uncertain Times, Review of Financial Studies, 31(8), August 2018, 3019-3060
with Lukas Schmid and Andrea Vedolin
Implementing Stochastic Volatility in DSGE Models: A Comment, Macroeconomic Dynamics, 24(4), June 2020, 935-950
with Alex Hsu and Andrea Tamoni
Fiscal Policy Driven Bond Risk Premia, Journal of Financial Economics, 138(1), October 2020, 53-73
with Alex Hsu and Andrea Tamoni
COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission, Review of Asset Pricing Studies, Volume 10, Issue 4, December 2020, 705-741 (special issue on Covid-19)
with Alex Hsu, Peter Simasek and Andrea Tamoni
Expectations and Aggregate Risk, Journal of Monetary Economics, Volume 123, October 2021, 91-108
with Aytek Malkhozov and Andrea Tamoni
The Real Response to Uncertainty Shocks: the Risk Premium Channel, Management Science, January 2023, 69(1), 119-140
with Alex Hsu and Andrea Tamoni
From Local to Global: Offshoring and Asset Prices, Management Science, March 2023, 69(3), 1420-1448
Winner of the Nasdaq/EFA Doctoral Tutorial Best Paper Award, EFA 44th Annual Meeting Mannheim
Winner of the Unicredit & Universities Foundation Best Paper Award, Young Economists Conference Belgrade
Return Predictability with Endogenous Growth, Journal of Financial Economics, December 2023, 150(3), 1-20
with Federico M. Bandi and Andrea Tamoni
Working Papers
Marking to Market Corporate Debt | July 2022
with Peter Feldhütter, Andrew Kane, and Lukas Schmid
Winner of the Jacob Gold & Associates Best Paper Award, ASU Sonoran Winter Finance Conference 2021
Institutional Corporate Bond Pricing | February 2024
with Lukas Schmid, Ishita Sen, and Varun Sharma
Revise and resubmit at the Review of Financial Studies
Return Heterogeneity in Retirement Accounts | August 2022
with Francisco Gomes, Riccardo Sabbatucci, and Andrea Tamoni
State Fiscal Policy and Municipal Credit Risk Premia | July 2022
with Howard Kung and Ashish Sahay
Investor Betas | July 2022
with Ryan Lewis and Shrihari Santosh
Ricardian Business Cycles | November 2022
with Jesús Fernández-Villaverde and Simon Scheidegger
Passive Demand and Active Supply: Evidence from Maturity-mandated Corporate Bond Funds | February 2024
with Lukas Schmid and Tiange Ye
Winner of the XiYue Best Paper Award, CICF 2024