Lorenzo Bretscher

Swiss Finance Institute Junior Chair

HEC Lausanne & CEPR

Extranef 233

1015, Lausanne


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