Search Results - "Rossi, Alberto G."

Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns by Bakshi, Gurdip, Gao, Xiaohui, Rossi, Alberto G

“…We show that a model featuring an average commodity factor, a carry factor, and a momentum factor is capable of describing the cross-sectional variation of…”
Get full text

Does It Pay to Pay Attention? by Gargano, Antonio, Rossi, Alberto G.

“…We employ a novel brokerage account data set to investigate which individual investors are the most attentive, how investors allocate their attention, and the…”
Get full text

The Promises and Pitfalls of Robo-Advising by D’Acunto, Francesco, Prabhala, Nagpurnanand, Rossi, Alberto G.

“…We study the introduction of a wealth-management robo-adviser that constructs portfolios tailored to investors’ holdings and preferences. Adopters are similar…”
Get full text

Network centrality and delegated investment performance by Rossi, Alberto G., Blake, David, Timmermann, Allan, Tonks, Ian, Wermers, Russ

“…We show a positive relation between network centrality and risk-adjusted performance in a delegated investment management setting. More connected managers take…”
Get full text

Goal Setting and Saving in the FinTech Era by GARGANO, ANTONIO, ROSSI, ALBERTO G.

“…ABSTRACT We study the effectiveness of saving goals in increasing individuals' savings using data from a Fintech app. Using a difference‐in‐differences…”
Get full text

The diversification and welfare effects of robo-advising by Rossi, Alberto G., Utkus, Stephen

“…We study the diversification and welfare effects of a large US robo-advisor on the portfolios of previously self-directed investors and document five facts…”
Get full text

Regressive Mortgage Credit Redistribution in the Post-Crisis Era by D’Acunto, Francesco, Rossi, Alberto G

“…Abstract We document four secular trends about U.S. mortgage origination by traditional and FinTech lenders after the 2008-2009 financial crisis. First, since…”
Get full text

Crowdsourcing peer information to change spending behavior by D’Acunto, Francesco, Rossi, Alberto G., Weber, Michael

“…We isolate the information channel of peer effects in consumption in a setting that excludes a role for common shocks or social pressure—a spending panel…”
Get full text

Modeling Covariance Risk in Merton's ICAPM by Rossi, Alberto G., Timmermann, Allan

“…We propose a new method for constructing the hedge component in Merton's ICAPM that uses a daily summary measure of economic activity to track time-varying…”
Get full text

Robo-Advice: Transforming Households into Rational Economic Agents by D'Acunto, Francesco, Rossi, Alberto G

“…Robo-advice uses big and open data to provide consumers with fully informed and rational-expectation benchmarks in all realms of household finance, including…”
Get full text

The Freedom of Information Act and the Race Toward Information Acquisition by Gargano, Antonio, Rossi, Alberto G., Wermers, Russ

“…We document a little-known source of information exploited by sophisticated institutional investors: the Freedom of Information Act (FOIA), a law that allows…”
Get full text

Decentralized Investment Management: Evidence from the Pension Fund Industry by BLAKE, DAVID, ROSSI, ALBERTO G., TIMMERMANN, ALLAN, TONKS, IAN, WERMERS, RUSS

“…Using a unique data set, we document two secular trends in the shift from centralized to decentralized pension fund management over the past few decades…”
Get full text

A Spanning Series Approach to Options by Heston, Steven L., Rossi, Alberto G.

Get full text

GROUNDING FUTURE CONSOLIDATIONS: UNITED-US AIRWAYS CANCEL FLIGHT by Rossi, Alberto G.

“…Rossi explores the Department of Justice's analysis of the proposed United-US Airways merger under section 7 of the Clayton act and examines the importance of…”
Get full text