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Tony Berrada

Personal Details

First Name:Tony
Middle Name:
Last Name:Berrada
Suffix:
RePEc Short-ID:pbe693
[This author has chosen not to make the email address public]
http://www.hec.unige.ch/berrada/

Affiliation

(50%) Swiss Finance Institute

Genève/Zürich, Switzerland
http://www.swissfinanceinstitute.ch/
RePEc:edi:fameech (more details at EDIRC)

(50%) Geneva Finance Research Institute (GFRI)
Université de Genève

Genève, Switzerland
http://www.gfri.ch/
RePEc:edi:frigech (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Tony Berrada & Peter Bossaerts & Giuseppe Ugazio, 2024. "Investments and Asset Pricing in a World of Satisficing Agents," Swiss Finance Institute Research Paper Series 24-05, Swiss Finance Institute.
  2. Tony Berrada & Jerome Detemple & Marcel Rindisbacher, 2023. "Volatility during the COVID-19 Pandemic," Swiss Finance Institute Research Paper Series 23-95, Swiss Finance Institute.
  3. Tony Berrada & Leonie Engelhardt & Rajna Gibson & Philipp Krueger, 2022. "The Economics of Sustainability Linked Bonds," Swiss Finance Institute Research Paper Series 22-26, Swiss Finance Institute.
  4. Tony Berrada, 2021. "Can the variance after-effect distort stock returns?," Swiss Finance Institute Research Paper Series 21-16, Swiss Finance Institute.
  5. Tony Berrada & Jerome Detemple & Marcel Rindisbacher, 2013. "Asset Pricing with Regime-Dependent Preferences and Learning," Swiss Finance Institute Research Paper Series 13-44, Swiss Finance Institute, revised Oct 2013.
  6. Tony BERRADA & Julien HUGONNIER, 2008. "Incomplete information, idiosyncratic volatility and stock returns," Swiss Finance Institute Research Paper Series 08-23, Swiss Finance Institute.
  7. Tony Berrada, 2006. "Bounded Rationality and Asset Pricing," Swiss Finance Institute Research Paper Series 06-07, Swiss Finance Institute.
  8. Tony Berrada & Julien Hugonnier & Marcel Rindisbacher, 2005. "Trading Volumes in Dynamically Efficient Markets," FAME Research Paper Series rp139, International Center for Financial Asset Management and Engineering.

Articles

  1. Berrada, Tony & Detemple, Jérôme & Rindisbacher, Marcel, 2018. "Asset pricing with beliefs-dependent risk aversion and learning," Journal of Financial Economics, Elsevier, vol. 128(3), pages 504-534.
  2. Gianluca Oderda & Tony Berrada & Reda Jurg Messikh & Olivier Pictet, 2015. "Beta-arbitrage strategies: when do they work, and why?," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 185-203, February.
  3. Berrada, Tony & Hugonnier, Julien, 2013. "Incomplete information, idiosyncratic volatility and stock returns," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 448-462.
  4. Tony Berrada, 2009. "Bounded Rationality and Asset Pricing with Intermediate Consumption," Review of Finance, European Finance Association, vol. 13(4), pages 693-725.
  5. Berrada, Tony & Hugonnier, Julien & Rindisbacher, Marcel, 2007. "Heterogeneous preferences and equilibrium trading volume," Journal of Financial Economics, Elsevier, vol. 83(3), pages 719-750, March.
  6. Tony Berrada, 2006. "Incomplete Information, Heterogeneity, and Asset Pricing," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 136-160.

Chapters

  1. Tony Berrada, 2005. "Valuing American Contingent Claims when Time to Maturity is Uncertain," Springer Books, in: Michèle Breton & Hatem Ben-Ameur (ed.), Numerical Methods in Finance, chapter 0, pages 143-158, Springer.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Tony Berrada & Peter Bossaerts & Giuseppe Ugazio, 2024. "Investments and Asset Pricing in a World of Satisficing Agents," Swiss Finance Institute Research Paper Series 24-05, Swiss Finance Institute.

    Cited by:

    1. Jiaoying Pei, 2024. "Reference Model Based Learning in Expectation Formation: Experimental Evidence," Papers 2404.08908, arXiv.org, revised May 2024.

  2. Tony Berrada & Leonie Engelhardt & Rajna Gibson & Philipp Krueger, 2022. "The Economics of Sustainability Linked Bonds," Swiss Finance Institute Research Paper Series 22-26, Swiss Finance Institute.

    Cited by:

    1. Hinsche, Isabelle Cathérine & Klump, Rainer, 2023. "Mirror, mirror on the wall, who is transitioning amongst them all?," CFS Working Paper Series 712, Center for Financial Studies (CFS).
    2. Giannetti, Mariassunta & Jasova, Martina & Loumioti, Maria & Mendicino, Caterina, 2023. "“Glossy green” banks: the disconnect between environmental disclosures and lending activities," Working Paper Series 2882, European Central Bank.
    3. Georgeta Ilie, PhD, Researcher III & PhD, Claudia Gabriela Baicu, PhD, Researcher III, 2023. "Green Finance €“ International Initiatives And Relevant Practices In Supporting Global Sustainable Goals," Social-Economic Debates, Association for Entreprenorial Spirit Promotion, vol. 12(1), pages 1-10, octombrie.
    4. Dahlen, Niklas & Fehrenkötter, Rieke & Schreiter, Maximilian, 2024. "The new bond on the block — Designing a carbon-linked bond for sustainable investment projects," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 316-325.

  3. Tony Berrada & Jerome Detemple & Marcel Rindisbacher, 2013. "Asset Pricing with Regime-Dependent Preferences and Learning," Swiss Finance Institute Research Paper Series 13-44, Swiss Finance Institute, revised Oct 2013.

    Cited by:

    1. Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
    2. Roberto Marfè, 2016. "Corporate Fraction and the Equilibrium Term Structure of Equity Risk," Review of Finance, European Finance Association, vol. 20(2), pages 855-905.
    3. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
    4. Roberto Marfè, 2015. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 407, Collegio Carlo Alberto.
    5. TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2018. "An Equilibrium Model of Term Structures of Bonds and Equities," Working Paper Series G-1-19, Hitotsubashi University Center for Financial Research.

  4. Tony BERRADA & Julien HUGONNIER, 2008. "Incomplete information, idiosyncratic volatility and stock returns," Swiss Finance Institute Research Paper Series 08-23, Swiss Finance Institute.

    Cited by:

    1. Aman, Hiroyuki & Moriyasu, Hiroshi, 2017. "Volatility and public information flows: Evidence from disclosure and media coverage in the Japanese stock market," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 660-676.
    2. Ma, Chaoqun & Wang, Hailong & Cheng, Fengchao & Hu, Duni, 2017. "Asset pricing and institutional investors with disagreements," Economic Modelling, Elsevier, vol. 64(C), pages 231-248.
    3. Gider, Jasmin & Westheide, Christian, 2016. "Relative idiosyncratic volatility and the timing of corporate insider trading," Journal of Corporate Finance, Elsevier, vol. 39(C), pages 312-334.
    4. Diogo Silva & António Cerqueira, 2021. "Financial Reporting Quality and Investors' Divergence of Opinion†," Accounting Perspectives, John Wiley & Sons, vol. 20(1), pages 79-107, March.
    5. Uppal, Raman & Bhamra, Harjoat Singh, 2013. "Asset Prices with Heterogeneity in Preferences and Beliefs," CEPR Discussion Papers 9459, C.E.P.R. Discussion Papers.
    6. Jungshik Hur & Cedric Mbanga Luma, 2017. "Aggregate idiosyncratic volatility, dynamic aspects of loss aversion, and narrow framing," Review of Quantitative Finance and Accounting, Springer, vol. 49(2), pages 407-433, August.
    7. Xiang Zhang & Han Zhou, 2020. "Leverage structure and stock price synchronicity: Evidence from China," PLOS ONE, Public Library of Science, vol. 15(7), pages 1-15, July.
    8. Yi-Shu Wang & Ting-Chen & Zhen-Jia-Liu, 2020. "The Relationship between Accounting Information Quality and Idiosyncratic Volatility: An Empirical Study on Chinese A-Share Listed Companies," Eurasian Journal of Business and Management, Eurasian Publications, vol. 8(2), pages 150-166.

  5. Tony Berrada, 2006. "Bounded Rationality and Asset Pricing," Swiss Finance Institute Research Paper Series 06-07, Swiss Finance Institute.

    Cited by:

    1. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
    2. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," NBER Working Papers 11803, National Bureau of Economic Research, Inc.
    3. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," NBER Working Papers 13401, National Bureau of Economic Research, Inc.

Articles

  1. Berrada, Tony & Detemple, Jérôme & Rindisbacher, Marcel, 2018. "Asset pricing with beliefs-dependent risk aversion and learning," Journal of Financial Economics, Elsevier, vol. 128(3), pages 504-534.

    Cited by:

    1. Arthur Beddock & Elyès Jouini, 2021. "Live fast, die young: equilibrium and survival in large economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 961-996, April.
    2. Andrea C. Hupman & Jay Simon, 2023. "The Legacy of Peter Fishburn: Foundational Work and Lasting Impact," Decision Analysis, INFORMS, vol. 20(1), pages 1-15, March.
    3. Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo, 2021. "Optimal portfolio strategies in the presence of regimes in asset returns," Journal of Banking & Finance, Elsevier, vol. 123(C).
    4. Georges Prat & Remzi Uctum, 2021. "Modeling ex-ante risk premia in the oil market," Post-Print hal-03318785, HAL.
    5. Guihai Zhao, 2020. "Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields," Staff Working Papers 20-14, Bank of Canada.
    6. Alsheikh, Muna Ibrahim, 2020. "Beliefs-dependent utilities do influence firm-specific wealth (executives’ inside equity holdings)," Journal of Economics and Business, Elsevier, vol. 109(C).
    7. Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.

  2. Gianluca Oderda & Tony Berrada & Reda Jurg Messikh & Olivier Pictet, 2015. "Beta-arbitrage strategies: when do they work, and why?," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 185-203, February.

    Cited by:

    1. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.

  3. Berrada, Tony & Hugonnier, Julien, 2013. "Incomplete information, idiosyncratic volatility and stock returns," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 448-462.
    See citations under working paper version above.
  4. Tony Berrada, 2009. "Bounded Rationality and Asset Pricing with Intermediate Consumption," Review of Finance, European Finance Association, vol. 13(4), pages 693-725.

    Cited by:

    1. Cvitanic, Jaksa & Malamud, Semyon, 2011. "Price impact and portfolio impact," Journal of Financial Economics, Elsevier, vol. 100(1), pages 201-225, April.
    2. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
    3. Xue-Zhong He & Lei Shi, 2012. "Disagreement in a Multi-Asset Market," International Review of Finance, International Review of Finance Ltd., vol. 12(3), pages 357-373, September.
    4. Gau, Yin-Feng & Hua, Mingshu & Wu, Wen-Lin, 2010. "International asset allocation for incompletely-informed investors," Journal of Financial Markets, Elsevier, vol. 13(4), pages 422-447, November.
    5. Jaksa CVITANIC & Elyès JOUINI & Semyon MALAMUD & Clotilde NAPP, 2009. "Financial Markets Equilibrium with Heterogeneous Agents," Swiss Finance Institute Research Paper Series 09-45, Swiss Finance Institute.
    6. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
    7. Shi, Lei, 2016. "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 30-46.
    8. Xue-Zhong He & Lei Shi, 2010. "Differences in Opinion and Risk Premium," Research Paper Series 271, Quantitative Finance Research Centre, University of Technology, Sydney.
    9. Wen-Lin Wu & Yin-Feng Gau, 2017. "Home bias in portfolio choices: social learning among partially informed agents," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 527-556, February.
    10. Xue-Zhong He, 2012. "Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets," Research Paper Series 316, Quantitative Finance Research Centre, University of Technology, Sydney.
    11. He, Xue-Zhong & Shi, Lei, 2017. "Index portfolio and welfare analysis under heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 64-79.
    12. Michael Hasler & Mariana Khapko & Roberto Marfè, 2020. "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks 622, Collegio Carlo Alberto.
    13. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
    14. Raman Uppal & Harjoat Bhamra, 2016. "Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?," 2016 Meeting Papers 1358, Society for Economic Dynamics.
    15. Xue-Zhong He & Lei Shi, 2016. "A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs," Published Paper Series 2016-4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    16. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.

  5. Berrada, Tony & Hugonnier, Julien & Rindisbacher, Marcel, 2007. "Heterogeneous preferences and equilibrium trading volume," Journal of Financial Economics, Elsevier, vol. 83(3), pages 719-750, March.

    Cited by:

    1. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
    2. Weihong HUANG & Wanying Wang, 2012. "Price-Volume Relations in Financial Market," Economic Growth Centre Working Paper Series 1209, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    3. Jaksa CVITANIC & Elyès JOUINI & Semyon MALAMUD & Clotilde NAPP, 2009. "Financial Markets Equilibrium with Heterogeneous Agents," Swiss Finance Institute Research Paper Series 09-45, Swiss Finance Institute.
    4. Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
    5. Curatola, Giuliano & Dergunov, Ilya, 2023. "International capital markets with interdependent preferences: Theory and empirical evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 403-421.
    6. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
    7. Martin Larsson, 2013. "Non-Equivalent Beliefs and Subjective Equilibrium Bubbles," Papers 1306.5082, arXiv.org.
    8. Curatola, Giuliano & Dergunov, Ilya, 2017. "International capital markets with time-varying preferences," SAFE Working Paper Series 176, Leibniz Institute for Financial Research SAFE.
    9. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.

  6. Tony Berrada, 2006. "Incomplete Information, Heterogeneity, and Asset Pricing," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 136-160.

    Cited by:

    1. Elyès Jouini & Clotilde Napp, 2010. "Unbiased Disagreement in Financial Markets, Waves of Pessimism and the Risk-Return Trade-off," Review of Finance, European Finance Association, vol. 15(3), pages 575-601.
    2. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
    3. Jonas Heipertz & Amine Ouazad & Romain Rancière & Natacha Valla, 2017. "Balance-Sheet Diversification in General Equilibrium: Identification and Network Effects," NBER Working Papers 23572, National Bureau of Economic Research, Inc.
    4. Michael Hasler & Mariana Khapko & Roberto Marfè, 2020. "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks 622, Collegio Carlo Alberto.
    5. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," NBER Working Papers 13401, National Bureau of Economic Research, Inc.
    6. Berrada, Tony & Hugonnier, Julien, 2013. "Incomplete information, idiosyncratic volatility and stock returns," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 448-462.
    7. Jonas Heipertz & Amine Ouazad & Romain Rancière, 2019. "The Transmission of Shocks in Endogenous Financial Networks: A Structural Approach," NBER Working Papers 26049, National Bureau of Economic Research, Inc.
    8. Tianhao Wu, 2024. "Consumption with Imperfect Income Expectations," Journal of Economics and Behavioral Studies, AMH International, vol. 16(1), pages 12-30.
    9. Elyès Jouini & Jean-Michel Marin & Clotilde Napp, 2010. "Discounting and Divergence of Opinion," Post-Print halshs-00176636, HAL.
    10. Uppal, Raman & Bhamra, Harjoat Singh, 2013. "Asset Prices with Heterogeneity in Preferences and Beliefs," CEPR Discussion Papers 9459, C.E.P.R. Discussion Papers.
    11. Han, Tian & Peng, Qinke & Zhu, Zhibo & Shen, Yiqing & Huang, Huijun & Abid, Nahiyoon Nabeel, 2020. "A pattern representation of stock time series based on DTW," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
    12. Li Lin, 2024. "Quantum Probability Theoretic Asset Return Modeling: A Novel Schr\"odinger-Like Trading Equation and Multimodal Distribution," Papers 2401.05823, arXiv.org.

Chapters

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More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (3) 2008-11-11 2021-03-08 2022-04-04
  2. NEP-BEC: Business Economics (1) 2008-11-11
  3. NEP-FIN: Finance (1) 2005-04-16
  4. NEP-HME: Heterodox Microeconomics (1) 2024-02-26
  5. NEP-MIC: Microeconomics (1) 2005-04-16
  6. NEP-UPT: Utility Models and Prospect Theory (1) 2024-02-26

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