Working papers

WP 89, Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence (Massimo Guidolin and Andrea Ricci)

WP 90, Can Investors Benefit from Hedge Fund Strategies? Utility‐Based, Out‐of‐Sample Evidence (Massimo Guidolin and Alexei G. Orlov)

WP 86, Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors (Massimo Guidolin and Manuela Pedio)

WP 85, Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment (Massimo Guidolin, Erwin Hansen and Martìn Lozano-Banda)

WP 84, Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas? (Alexander Berglund, Massimo Guidolin and Manuela Pedio)

WP 63, Volatility as an Alternative asset Class: Does It Improve Portfolio Performance? (Elvira Caloeiro and Massimo Guidolin)

WP 54, Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence (Massimo Guidolin and Francesco Chincoli)

WP 37, Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis (Giulia Dal Pra, Massimo Guidolin, Manuela Pedio and Fabiola Vasile)

WP 23, Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model (Massimo Guidolin, Alexei G. Orlov and Manuela Pedio)

WP 19, Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns? (Marta Giampietro, Massimo Guidolin and Manuela Pedio)