Federico Nardari

Do Commodities Add Economic Value in Asset Allocation? New Evidence from Time-Varying Moments

F NARDARI, X Gao

Journal article  |  2018  |  Journal of Financial and Quantitative Analysis

We conduct a comprehensive out-of-sample assessment of the economic value adding of commodities in multiasset investment strategie..

Parcel Size and Land Value: A Comparison of Approaches

Karl L Guntermann, Alex R Horenstein, Federico Nardari, Gareth Thomas

Journal article  |  2015  |  JOURNAL OF REAL ESTATE RESEARCH

The analysis presented here uses simulated and real data sets toinvestigate the relative merits of parametric, semi- parametricand..

Investor behavior in the mutual fund industry: Evidence from gross flows

GD Cashman, F Nardari, DN Deli, SV Villupuram

Journal article  |  2014  |  Journal of Economics and Finance

Using a large sample of monthly gross flows from 1997 to 2003, we uncover several previously undocumented regularities in investor..

Investors Do Respond to Poor Mutual Fund Performance: Evidence from Inflows and Outflows

George Cashman, Daniel Deli, Federico Nardari, Sriram Villupuram

Journal article  |  2012  |  FINANCIAL REVIEW

We examine the relation between mutual fund performance and gross flows for a large sample of actively managed U.S. mutual funds. ..

Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets

John M Griffin, Patrick J Kelly, Federico Nardari

Journal article  |  2010  |  REVIEW OF FINANCIAL STUDIES

Using data from 56 markets, we find that short-term reversal, post-earnings drift, and momentum strategies earn similar returns in..

Do investors trade more when stocks have performed well? evidence from 46 countries

JM Griffin, F Nardari, RM Stulz

Journal article  |  2007  |  Review of Financial Studies

This article investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets ..

Explaining the early years of the euro exchange rate: An episode of learning about a new central bank

M Gómez, M Melvin, F Nardari

Journal article  |  2007  |  European Economic Review

Many observers were surprised by the depreciation of the euro after its launch in 1999. Handicapped by a short sample, explanation..

Bayesian analysis of linear factor models with latent factors, multivariate stochastic volatility, and APT pricing restrictions

F Nardari, JT Scruggs

Journal article  |  2007  |  Journal of Financial and Quantitative Analysis

We analyze a new class of linear factor models in which the factors are latent and the covariance matrix of excess returns follows..

Analysis of high dimensional multivariate stochastic volatility models

S Chib, F Nardari, N Shephard

Journal article  |  2006  |  Journal of Econometrics

This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time series models ..

Are daily cross-border equity flows pushed or pulled?

JM Griffin, F Nardari, RM Stulz

Conference Proceedings  |  2004  |  Review of Economics and Statistics

We investigate the conditions under which an intertemporal equilibrium model based on investors' portfolio decisions can explain t..