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Economists


Photo of Cesare RobottiCesare Robotti

Financial Economist

Research Department
Federal Reserve Bank of Atlanta
1000 Peachtree Street N.E.
Atlanta, Georgia 30309-4470
404-498-8543
Cesare.Robotti@atl.frb.org

To interview economists, press should contact Public Affairs at 404-498-8748.

  • Biography
  • Research
  • Curriculum Vitae

Biography

Cesare Robotti is a financial economist with the financial group of the research department of the Federal Reserve Bank of Atlanta. Dr. Robotti concentrates his research on empirical asset pricing and portfolio management.

Before joining the Bank in 2001, Dr. Robotti was a teaching fellow at Boston College and an adjunct faculty member at Brandeis University. He has also worked in the dealing room of Novara International Bank in Luxembourg and as a financial analyst at Cariplo Bank in Milan, Italy. He has published works in the Review of Financial Studies, the Journal of Business and Economic Statistics, the Journal of Empirical Finance and has presented papers and served as a discussant at a number of professional conferences.

He received a bachelor's degree in economic and social sciences and a master's of science in economics from L. Bocconi University of Milan. He earned a master's degree and his doctorate in economics from Boston College.

Research

Research Interests

Empirical Asset Pricing
Portfolio Management

Publications

"Model Comparison Using the Hansen-Jagannathan Distance" (with Raymond Kan). Forthcoming Review of Financial Studies.

"Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models," Journal of Business and Economic Statistics 26, no. 3:354–68.

"Specification Tests of Asset Pricing Models Using Excess Returns" (with Raymond Kan). Journal of Empirical Finance 15, no. 5:816–38.

Papers at the Revise and Resubmit Stage

"The Exact Distribution of the Hansen-Jagannathan Bound" (with Raymond Kan). Review of Financial Studies 2008. (Earned WRDS award for best empirical paper at the 2008 Meeting of the Northern Finance Association.)

"Asset-Pricing Models and Economic Risk Premia: A Decomposition" (with Pierluigi Balduzzi). Journal of Empirical Finance 2008.

"Playing the Field: Geomagnetic Storms and International Stock Markets" (with Anna Krivelyova). The Review of Finance, 2007.

In Progress

"Two-Pass Cross-Sectional Regressions under Potentially Misspecified Models" (with Raymond Kan and Jay Shanken). 2008.

"Comparing Linear and Nonlinear Asset Pricing Models Using the Hansen-Jagannathan Distance" (with Raymond Kan). 2008.

"Out-of-Sample Evaluation and Model Comparison of Factor Asset Pricing Models," (with Nikolay Gospodinov). 2008.

Fed Publications

"Financial Market Frictions." Federal Reserve Bank of Atlanta Economic Review, Third Quarter 2007.
Abstract || Full text in PDF (134 KB)

"The News in Financial Asset Returns." Federal Reserve Bank of Atlanta Economic Review, First Quarter 2004.
Abstract || Full text in PDF (242 KB)

"Asset Returns and Economic Risk." Federal Reserve Bank of Atlanta Economic Review, Second Quarter 2002.
Abstract || Full text in PDF (203 KB)


Atlanta Fed Working Papers

2012-18
Analytical Solution for the Constrained Hansen-Jagannathan Distance under Multivariate Ellipticity

Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
November 2012
Abstract || Full text in PDF (266 KB)

2012-17
Robust Inference in Linear Asset Pricing Models

Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
November 2012
Abstract || Full text in PDF (474 KB)

2011-8
Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models

Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
March 2011
Abstract || Full text in PDF (383 KB)

2010-11
Further Results on the Limiting Distribution of GMM Sample Moment Conditions

Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
July 2010
Abstract || Full text in PDF (312 KB)

2010-4
On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint

Nikolay Gospodinov, Raymond Kan, and Cesare Robotti
February 2010
Abstract || Full text in PDF (465 KB)

2009-12
A Note on the Estimation of Asset Pricing Models Using Simple Regression Betas
Raymond Kan and Cesare Robotti
March 2009
Abstract || Full text in PDF (256 KB)

2009-11
Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
Raymond Kan, Cesare Robotti, and Jay Shanken
March 2009
Abstract || Full text in PDF (425 KB)

2008-9
The Exact Distribution of the Hansen-Jagannathan Distance
Raymond Kan and Cesare Robotti
February 2008
Abstract || Full text in PDF (115 KB)

2007-4
Model Comparison Using the Hansen-Jagannathan Distance
Raymond Kan and Cesare Robotti
February 2007
Abstract || Full text in PDF (377 KB)

2006-10
Specification Tests of Asset Pricing Models using Excess Returns
Raymond Kan and Cesare Robotti
August 2006
Abstract || Full text in PDF (304 KB)

2005-13
Asset-Pricing Models and Economic Risk Premia: A Decomposition
Pierluigi Balduzzi and Cesare Robotti
July 2005
Abstract || Full text in PDF (535 KB)

2005-4
Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-beta Models
Pierluigi Balduzzi and Cesare Robotti
February 2005
Abstract || Full text in PDF (340 KB)

2003-6
Dynamic Strategies, Asset Pricing Models, and the Out-of-Sample Performance of the Tangency Portfolio
Cesare Robotti
February 2003
Abstract || Full text in PDF (931 KB)

2003-5b
Playing the Field: Geomagnetic Storms and International Stock Markets
Anna Krivelyova and Cesare Robotti
Revised October 2003
Abstract || Full text in PDF (298 KB)

2001-26
The Price of Inflation and Foreign Exchange Risk in International Equity Markets
Cesare Robotti
November 2001
Abstract || Full text in PDF (524 KB)

2001-24
Minimum-Variance Kernels, Economic Risk Premia, and Tests of Multi-beta Models
Pierluigi Balduzzi and Cesare Robotti
November 2001
Abstract || Full text in PDF (390 KB)


Translations
Econometria delle Serie Storiche J. D. Hamilton. Translated into Italian from Time Series Analysis. Mulino, eds. 1995. ISBN: 88-323-5430-6.

Conference Presentations
EFA, 35th Annual Meeting of the European Finance Association, Athens, Greece, 27–30 August 2008. Paper presented: "Asset Pricing Models and Economic Risk Premia: A Decomposition." Paper discussed: "The Effect of Relative Wealth Concerns on the Cross-Section of Stock Returns," by Juan-Pedro Gomez, Richard Priestly, and Fernando Zapatero.

SoFiE, 1st Annual Meeting of the Society for Financial Econometrics, 4–6 June 2008. Paper presented: "Model Comparison Using the Hansen-Jagannathan Distance."

EFA, 34th Annual Meeting of the European Finance Association, Ljubljana, Slovenia, 22–25 August 2007. Paper presented: "Specification tests of Asset Pricing Models Using Excess Returns." Paper discussed: "Predictive Systems: Living with Imperfect Predictors," by Lubos Pastor and Robert F. Stambaugh.

All-Georgia Finance Conference, 6 October 2006. Paper presented: "Model Comparison Using the Hansen-Jagannathan Distance."

EFA 33rd Annual Meeting of the European Finance Association, Zurich, Switzerland, 23–26 August 2006. Discussant of paper: "Do Distributions Justify Share Prices? Evidence from the NYSE, AMEX, and NASDAQ," by Lucas Roth and Claudio Loderer.

Topics in Financial Econometrics Conference, April 2006, Atlanta Fed. Paper presented: "Specification Tests of Asset Pricing models Using Excess Returns."

AFA, 2006 Meetings of the American Finance Association, Boston, 6–8 January 2006. Paper presented: "mimicking Portfolios, Economic risk Premiums, and Tests of Multi-Beta Models."

XIII Tor Vergata Financial Conference, 1–3 December 2004. Paper presented: Mimicking Portfolios, Economic Risk Premiums, and Tests of Multi-Beta Models."

All-Georgia Finance Conference, Atlanta, 17 September 2004. Paper presented: "Mimicking Portfolios, Economic Risk Premiums, and Tests of Multi-Beta Models," joint with Pierluigi Balduzzi.

All-Georgia Finance Conference, Atlanta, 17 September 2004. Paper presented: "Mimicking Portfolios, Economic Risk Premiums, and Tests of Multi-Beta Models," joint with Pierluigi Balduzzi.

APEE, Meetings, Nassau, Bahamas, April 2004. Paper presented: "Emiprical Likelihood Estimation of Asset Pricing Models," joint with Mark Fisher.

SNDE Meetings, Atlanta, March 2004. Paper presented: "Empirical Likelihood Estimation of Asset Pricing models," joint with Mark Fisher.

Eastern Finance Association, Orlando, 9–12 April 2003. Discussant of paper: "Pricing Inflation-Indexed Convertible Bonds with Credit Risk," by Yoram Landskroner and Alon Raviv.

All-Georgia Finance Conference, Atlanta, 11 October 2002. Paper presented: "The Price of Inflation and Foreign Exchange Risk in International Equity Markets."

EFA, 28th Annual Meeting of the European Finance Association, Berlin, 22–24 August 2002. Paper presented: "The Price of Inflation and Foreign Exchange Risk in International Equity Markets." Discussant of the paper: "Lazy Entrepreneurs or Dominant Banks? An Empirical Analysis of the Market for SME Loans in TH UK," by Otto Toivanen and Robert Cressy.

EFA, 28th Annual Meeting of the European Finance Association, Berlin, 22–24 August 2002. Paper presented: "The Price of Inflation and Foreign Exchange Risk in International Equity Markets." Discussant of the paper: "Lazy Entrepreneurs or Dominant Banks? An Empirical Analysis of the Market for SME Loans in TH UK," by Otto Toivanen and Robert Cressy.

SCIEA, Meetings, Federal Reserve Bank of New York, 18–19 April 2002. Discussant of paper: "Cross-Border Listings, Capital Controls, and Equity Flows to Emerging Markets," by Hail J. Edison and Francis E. Warnock.

X Tor Vergata Financial Conference, 5–6 December 2001. Paper presented: "Economic Risk Premia and Tests of International Asset Pricing Models."

WFA, 2001 Meetings of the Western Finance Association, Tucson, 20–23 June 2001. Paper presented: "Dynamic Strategies, Asset Pricing Models, and other Out-of-Sample Performance of the Tangency Portfolio."

FMA, 2000 Meetings of the Financial Management Association, Seattle, 26–28 October 2000. Papers presented: "Minimum-Variance Kernels, Economic Risk Premia and Tests of Multi-Beta Models" (with Pierluigi Balduzzi) and "The Price of Inflation and Foreign Exchange Risk in International Equity Markets." Discussant of paper: "Corporate Risk Management of US Multinational Corporations: Financial and Operational Hedges and Foreign Exchange Exposure," by David A. Carter, Christos E. Pantzalis, and Betty J. Simkins.
EFA, 27th Annual Meeting of the European Finance Association, London, 23–26 August 2000. Paper presented: "Minimum-Variance Kernels, Economic Risk Premia, and Tests of Multi-Beta Models" (with Pierluigi Balduzzi). Discussant of paper: "Online Investors: Do the Slow Die First?" by Terrance Odean and Brad Barber.

CEF, 1999 Meetings of the Society for Computational Economics and Finance, Boston, 24–26 June 1999. Paper presented: "Minimum-Variance Kernels, Economic Risk Premia and Tests of Multi-Beta Models" (with Pierluigi Balduzzi), Working Paper 823.

Invited Presentations

Federal Reserve Bank of New York (July 2008)
Board of Governors of the Federal Reserve System (July 2008)
Federal Reserve Bank of Chicago (May 2008)
National University of Ireland, Maynooth (October 2006)
Concordia University (May 2006)
University of Minnesota (September 2005)
Concordia University (April 2005)
York University (November 2004)
University of Arizona (October 2003)
University of Michigan (April 2003)
George Washington University (April 2003)
Georgia State University (April 2003)
Boston College (March 2003)
University of Virginia (2003)
University of California, Irvine (2001)
University of Toronto (2001)
Stockholm School of Economics (2001)
Norwegian School of Management (2001)
Federal Reserve Bank of Atlanta (2001)
L. Bocconi University (2001)
Nanyang Technological University (2001)
University of New Hampshire (2001)
AlphaSimplex Investment Technology Group (2001)
Clark University (2001)
Mellon Capital Management (2001)

Referee

Computational Economics, Econometrica, European Economic Review, Financial Review, Journal of Banking and Finance, Journal of Empirical Finance, Journal of Financial Econometrics, Journal of Econometrics, Journal of Finance, Management Science, Review of Financial Studies

Curriculum Vitae

Education

Ph.D., Economics, Boston College, September, 2001

M.A., Economics, Boston College, May, 1998

M.Sc., Economics, L. Bocconi University of Milan (Italy), July, 1996

B.A., Economic and Social Sciences (Summa cum Laude), L. Bocconi University of Milan (Italy), March, 1994

Experience

Academic

July, 2000–August, 2000 Adjunct faculty member, Brandeis University Graduate School of International Economics and Finance. Course taught: Investments
September, 1998–May, 2001 Teaching fellow, Boston College Department of Economics of the Wallace E. Carroll School of Management, College of Advancing Studies. Instruction in principles of macroeconomics; statistics for business and economics; money and capital markets; and monetary theory and policy.
September, 1996–June, 1998 Teaching/Research Assistant, L. Bocconi University, Department of Econometrics. Instruction in applied econometrics and monetary economics
September, 1995–July, 1996 Teaching Assistant, L. Bocconi University Department of Econometrics. Instruction in advanced econometrics.

Non-Academic

Summer, 2001–present Financial Economist and Assistant Policy Adviser, Research department of the Federal Reserve Bank of Atlanta
March–June, 1994 Dealing Room trainee with Novara International Bank, Luxembourg
January, 1993–March, 1994 Financial Analyst at Cariplo Bank, Milan, Italy

Professional Activities

American Economic Society member
Society for Economic Dynamics, member
Royal Economic Society, member

Conference Organization

2006: "Topics in Financial Econometrics Conference," Held at Federal Reserve Bank of Atlanta.

2002, 2003, 2004, 2005, 2006, 2007: "All Georgia Finance Conference," Held at Federal Reserve Bank of Atlanta.

2003: Program Committee member, Eastern Finance Association Meetings.

Scholarships and Awards

Dissertation Fellowship, Graduate School of Arts and Sciences, Boston College, 2000–01 academic year.

Summer Dissertation Award, Department of Economics, Boston College, Summer, 1999.

Graduate Fellowship, Department of Economics, Boston College, September 1996– June, 2001.

Amici della Bocconi Research Fellowship, L. Bocconi University, March, 1996–March, 1997.

Fondazione Invernizzi Scholarship, L. Bocconi University, September, 1995–July, 1996.

Gold medal for graduating with maximum score, L. Bocconi University, October, 1994. 1995–July, 1996.

Ente L. Einaudi Fellowship, Rome, Italy, 1988.

Professional Memberships

American Economic Association
American Finance Assocation
Eastern Finance Association