Andrea Tamoni
Associate Professor; Wade Family Faculty Director of the Notre Dame Institute for Global Investing (NDIGI)
Finance
574-631-0933
236 Mendoza College of Business
- Biography
- Background
- Publications
- Books
- Awards
- Media
Andrea Tamoni is an associate professor in the Department of Finance and the Wade Family Faculty Director of the Notre Dame Institute for Global Investing (NDIGI).
Andrea specializes in empirical asset pricing, macro-finance, and financial econometrics. His current research examines on the impact of investor demand on asset prices and returns. He has also investigated the dynamics of stock and bond returns, and the interaction between monetary and fiscal policy with the term structure of interest rates. His work has been published in top journals like the Journal of Financial Economics, Review of Financial Studies, and the Journal of Financial and Quantitative Analysis.
Andrea has designed and led courses on Investments, Financial Derivatives, Fixed Income Markets, and Financial Econometrics at the MSc., Executive, and Ph.D. levels.
Education
Ph D, Bocconi University, Milan, Italy
MS, Politencnico di Milano, Milan, Italy
BS, University of Ferrara, Ferrara, Italy
Areas of Expertise
Asset Pricing
Financial Econometrics
"Tradable Risk Factors for Institutional and Retail Investors", (With Andreas Johansson, Riccardo Sabbatucci), Review of Finance, 2025
"ESG risk and returns implied by demand-based asset pricing models", (With C. Zhang, X. Li, M. van Beek, A. Ang), Journal of Asset Management, 2024
"Persistent and Transitory Components of Firm Characteristics: Implications for Asset Pricing", (With M. Boons, F. Baba-Yara), Journal of Financial Economics, 2024
"Monetary Policy and Bond Prices with Drifting Equilibrium Rates", (With C. Favero, A. Melone), Journal of Financial and Quantitative Analysis, 2024
"When It Rains It Pours: Cascading Uncertainty Shocks", (With A. Hsu, A. Diercks), Journal of Political Economy, 2024
"Return Predictability with Endogenous Growth", (With F. Bandi, L. Bretscher), Journal of Financial Economics, 2023
"Business-Cycle Consumption Risk and Asset Prices", (With F. Bandi), Journal of Econometrics, 2023
"Dynamic Asset (Mis)Pricing: Build-Up Versus Resolution Anomalies", (With Jules van Binsbergen, M. Boons, C. Opp), Journal of Financial Economics, 2023
"The Real Response to Uncertainty Shocks: The Risk Premium Channel", (With L. Bretscher, A. Hsu), Management Science, 2023
"Spectral Financial Econometrics", (With F. Bandi), Econometric Theory, 38, 2022
"Bond Risk Premiums with Machine Learning", (With D. Bianchi, M. Buchner), Review of Financial Studies, 34, 2021
"Mind the (Convergence) Gap: Bond Predictability Strikes Back!", (With A. Berardi, M. Mrakovich, A. Plazzi), Management Science, 2021
"Expectations and aggregate risk", (With A. Malkhozov, L. Bretscher), Journal of Monetary Economics, 2021
"Spectral Factor Models", (With F. Bandi, S.E. Chaudhuri, Andrew Lo), Journal of Financial Economics, 142, 2021
"A Persistence-Based Wold-type Decomposition for Stationary Time Series", (With F. Ortu, F. Severino, C. Tebaldi), Quantitative Economics, 11, 2020
"COVID-19 and the Cross-Section of Equity Retruns: Impact and Transmission", (With L. Bretscher, A. Hsu, P. Simasek), The Review of Asset Pricing Studies, 10, 2020
"Fiscal policy driven bond risk premia", (With A. Hsu, L. Bretscher), Journal of Financial Economics, 2020
"Value Return Predictability across Asset Classes and Commonalities in Risk Premia", (With B. Fahiz, M. Boons), Review of Finance, 2020
"The scale of predictability", (With F. Bandi, B. Perron, C. Tebaldi), Journal of Econometrics, 2019
"Implications of Return Predictability for Consumption Dynamics and Asset Pricing", (With C. Favero, F. Ortu, H. Yang), Journal of Business & Economic Statistics, 46, 2019
"Implementing Stochastic Volatility to DSGE Models: A Comment", (With A. Hsu, L. Bretscher), Macroeconomics Dynamics, 24, 2018
"Long Run Risk and the Persistence of Consumption Shocks", (With F. Ortu, C. Tebaldi), Review of Financial Studies, 26, 2013
"Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns", (With C. Favero, A. Gozluklu), Journal of Financial and Quantitative Analysis, 46, 2011
"Demographics and Stock Market Fluctuations", (With C. ), CESifo Economic Studies, 57, 2011
"Sparse Predictive Regressions: Statistical Performance and Economic Significance", (With Daniele Bianchi), ISTE/Elsevier, 2024
Award
"ICPM Research Prize Award", International Centre for Pension Management (ICPM), 2025
"ESSEC-AMUNDI Best ESG paper award", ESSEC-AMUNDI, 2025
BlackRock, Citation of my work "Value Return Predictability Across Asset Classes and Commonalities in Risk Premia" (previously circulated as ``Value Return Predictability Across Asset Classes'') by BlackRock article on "Value Investing: The Long-Term Appeal Of The Underdog"., September 13, 2018