Roberto Marfè

Research Interests   •   Publications   •   Working Papers   •   Projects in Progress   •   Other Publications

 Research Interests

Publications in Financial Economics

Income Insurance and the Equilibrium Term Structure of Equity
Journal of Finance (forthcoming).
Presented at the 12th Swiss Doctoral Workshop in Finance (2013), at the 11th International Paris Finance Meeting (AFFI/EUROFIDAI) 2013, at the Collegio Carlo Alberto, at the 41st European Finance Association (EFA) Annual Meeting 2014, at the 18th Annual Conference of the Swiss Society for Financial Market Research (SGF) 2015, at the 32nd International Conference of the French Finance Association (AFFI) 2015, at the CSEF/EIEF/SITE Finance and Labor Conference 2015, and at the BI-SHoF Conference in Asset Pricing and Financial Econometrics 2016.
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Disaster Recovery and the Term Structure of Dividend Strips with Michael Hasler
Journal of Financial Economics 122(1), 116-134, 2016.
Presented at the 42nd EFA Annual Meeting 2015.
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Corporate Fraction and the Equilibrium Term Structure of Equity Risk
Review of Finance 20(2), 855-905, 2016.
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Publications in Financial Mathematics

Multivariate Lévy Processes with Dependent Jump Intensity
Quantitative Finance 14(8), 1383-1398, 2014.
Presented at the IV MAF International Conference 2010 and at the III International Risk Management Conference 2010.
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A Multivariate Pure-Jump Model with Multi-Factorial Dependence Structure
International Journal of Theoretical and Applied Finance, 15(4), 2012.
Presented at the II International Risk Management Conference 2009.
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A Generalized Variance Gamma Process for Financial Applications
Quantitative Finance, 12(1), 75-87, 2012.
Presented at the Collegio Carlo Alberto (seminar 2009).
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Working Papers

Labor Rigidity and the Dynamics of the Value Premium [ New version ]
Best paper award at the 13th International Paris Finance Meeting 2015.
Presented at the SAFE Asset Pricing Workshop 2015, at the 13th International Paris Finance Meeting (AFFI/EUROFIDAI) 2015, at the NBER Summer Institute Asset Pricing, Boston 2016, at the Luxembourg School of Finance (seminar), at the Collegio Carlo Alberto (seminar), at the University of Geneve (seminar), at the University of Lugano (seminar), at the Bocconi University (seminar), and to be presented at the Society for Economic Dynamics (SED) Annual Meeting, Edinburgh 2017 (scheduled) and at the 44th European Financial Association (EFA) Annual Meeting, Mannheim 2017 (scheduled).
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Should Investors Learn about the Timing of Equity Risk? [ New paper ]
with Michael Hasler and Mariana Khapko
R&R Journal of Financial Economics
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The Time-Varying Risk of Macroeconomic Disasters [ New paper ]
with Julien Penasse
Presented at the Luxembourg School of Finance and at the Columbia Business School.
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Survey Expectations and the Equilibrium Risk-Return Trade Off [ New version coming soon ]
Previously titled as Asset Prices and the Joint Formation of Habit and Beliefs.
Presented at the Duke Finance and Economics Workshop (seminar, 2012), at the FMA Conference 2012, at the 11th Swiss Doctoral Workshop in Finance 2012 and at the Collegio Carlo Alberto (seminars, 2012 & 2013).
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Labor Rigidity, Inflation Risk and Bond Returns [ New paper ]
Presented at the 14th International Paris Finance Meeting (AFFI/EUROFIDAI) 2016. Download | Show abstract | BibTeX

Demand Shocks, Timing Preferences and the Equilibrium Term Structures
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Projects in Progress

Do workers and shareholders share business-cycle risk? (co-authors: M. Della Seta, J. Penasse).
Presented at the Safe research center, Goethe University.

Learning about the joint dynamics of consumption and dividends (co-authors: M. Hasler, M. Khapko).

The smile that doesn't last: equilibrium option pricing (co-authors: C. Meinerding, C. Schlag).

Equilibrium exchange rates (co-authors: J. Penasse).

Labor rigidity and credit risk (co-authors: M. Della Seta).

Disagreement and the timing of risk (co-authors: E. Luciano).

The timing of macroeconomic volatility. (co-authors: A. Tamoni).

Labor, Growth, and Participation.

Transitory risk and diversification.

Other Publications

Multivariate Jump Arrivals: the Variance Gamma Case
in Mathematical and Statistical Methods for Actuarial Sciences and Finance, ed. by C. Perna and M. Sibillo, Springer Verlag 2011.

Pure Jump Models for Energy Prices
Energy Risk, 7(6), 2010.
Presented at the II FIMA International Conference 2008.