Selected Academic Papers Authored by Parala Partners
Pettenuzzo, D. and A. Timmermann (2015). Forecasting Macroeconomic Variables under Model Instability, Journal of Business and Economic Statistics
Elliott, G., A. Gargano, and A. Timmermann (2015). Complete Subset Regressions with Large Dimensional Sets of Predictors. Journal of Economic Dynamics and Control 54, 86-110
Brown, N. K. Wei and R. Wermers (2014). Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices. Management Science (Lead Article)
Hunter, D., E. Kandel, S. Kandel & R. Wermers (2014). Mutual Fund Performance Evaluation with Active Peer Benchmarks. Journal of Financial Economics
Pettenuzzo, D., A. Timmermann, and R. Valkanov (2014). Forecasting Stock Returns under Economic Constraints. Journal of Financial Economics 114, 517-553
Gargano, A., and A. Timmermann (2014). Forecasting Commodity Price Indexes Using Macroeconomic and Financial Predictors. International Journal of Forecasting 30, 825-843
Banegas, A., B. Gillen, A. Timmermann, and R. Wermers (2013). The Cross-Section of Conditional Mutual Fund Performance in European Stock Markets. Journal of Financial Economics 108, 699-726
Blake, D., A. Rossi, A. Timmerman, I. Tonks & R. Wermers (2013). Decentralized Investment Management: Evidence from the Pension Fund Industry. Journal of Finance
Genre, V., G. Kenny, A. Meyler, and A. Timmermann (2013). Combining Expert Forecasts: Can Anything Beat the Simple Average?, International Journal of Forecasting 29, 108-121. (Outstanding Paper award for papers published in International Journal of Forecasting 2012- 13)
Li, D., M. Markov & R. Wermers (2013). Monitoring Daily Hedge Fund Performance with Monthly Data. Journal of Investment Consulting
Ang, A.A., and A. Timmermann (2012). Regime Changes and Financial Markets. Annual Review of Financial Economics 4:313-337.
Cenesizoglu, T., and A. Timmermann (2012). Do Return Prediction Models Add Economic Value? Journal of Banking and Finance 36 (11), 2974-2987
Wermers, T. Yao & J. Zhao, J (2012). Forecasting Stock Returns through an Efficient Aggregation of Mutual Fund Holdings. Review of Financial Studies
Jones, R. & R. Wermers (2011). Active Managament in Mostly Efficient Markets. Financial Analysts Journal.
Wermers, R. (2011). Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts. Annual Review of Financial Economics
Pettenuzzo, D. and A. Timmermann (2011). Predictability of Stock Returns and Asset Allocation under Structural Breaks. Journal of Econometrics 164, 60-78
Pesaran, M.H., A. Pick, A. Timmermann (2011). Variable Selection, Estimation and Inference for Multi-period Forecasting Problems. Journal of Econometrics 164, 173-187
Barras, L., O. Scaillet & R. Wermers. (2010). False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas. Journal of Finance
Patton, A. J., & A. Timmermann (2010). Monotonicity in Asset Returns: New Tests with Applications to the Term Structure, the CAPM and Portfolio Sorts. Journal of Financial Economics 98, 3, 605-625
Aiolfi, M., Rodrigues, M., & A. Timmermann (2010). A. Understanding analysts’ earnings expectations: biases, nonlinearities and predictability. Journal of Financial Econometrics 8(3), 305-334
Guidolin, M., & A. Timmermann (2009). Forecasts of US short-term interest rates: A flexible forecast combination approach. Journal of Econometrics, 150(2), 297-311
Guidolin, M., & A. Timmermann (2008). International asset allocation under regime switching, skew, and kurtosis preferences. Review of Financial Studies, 21(2), 889-935
Guidolin, M., & A. Timmermann (2008). Size and value anomalies under regime shifts. Journal of Financial Econometrics, 6, 1-48
Guidolin, M., & A. Timmermann (2007). Asset allocation under multivariate regime switching. Journal of Economic Dynamics & Control, 31, 3503-3544
Kosowski, R., A. Timmermann, R. Wermers & H. White (2006). Can mutual fund “Stars” really pick stocks? New evidence from a bootstrap analysis. Journal of Finance, 61(6), 2551-2595. [Lead article, finalist for 2007 Smith Breeden Prize]
Aiolfi, M., & A. Timmermann (2006). Persistence in forecasting performance and conditional combination strategies. Journal of Econometrics, 135(1), 31-53
Avramov, D. & R. Wermers. (2006). Investing in Mutual Funds When Returns Are Predictable. Journal of Financial Economics.
Wermers, R. (2006). Performance Evaluation with Portfolio Holdings Information. North American Journal of Economics and Finance
Guidolin, M., & A. Timmermann (2006). Term structure of risk under alternative econometric specifications. Journal of Econometrics, 131(1), 285-308
Guidolin, M., & A. Timmermann (2005). Economic implications of bull and bear regimes in UK stock and bond returns. Economic Journal, 115, 111-143
Elliott, G., & A. Timmermann (2005). Optimal forecast combination under regime switching. International Economic Review, 46(4), 1081-1102
Pesaran, M. H., & A. Timmermann (2005). Small sample properties of forecasts from autoregressive models under structural breaks. Journal of Econometrics, 129(1), 183-217
Timmermann, A., & D. Blake (2005). International asset allocation with time-varying investment opportunities. Journal of Business, 78(1), 71-98
Pesaran, M. H., & A. Timmermann (2004). How costly is it to ignore breaks when forecasting the direction of a time series? International Journal of Forecasting, 20(3), 411-425. [Best Paper Award, 2004-2005, International Journal of Forecasting]
Granger, C. W. J., & A. Timmermann (2004). Efficient market hypothesis and forecasting. International Journal of Forecasting, 20(1), 15. [Outstanding Paper Award, 2004-2005, International Journal of Forecasting]
Guidolin, M., & A. Timmermann (2003). Option prices under Bayesian learning: Implied volatility dynamics and predictive densities. Journal of Economic Dynamics & Control, 27(5), 717-769
Pesaran, M. H., & A. Timmermann (2002). Market timing and return prediction under model instability. Journal of Empirical Finance, 9(5), 495-510
Perez-Quiros, G., & A. Timmermann (2001). Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities. Journal of Econometrics, 103(1), 259-306
Perez-Quiros, G., & A. Timmermann (2000). Firm size and cyclical variations in stock returns. Journal of Finance, 55(3), 1229-1262
Chen, H., N. Jegadeesh, & R. Wermers (2000). The Value of Active Mutual Management: An Examination of the Stockholdings and Trades of Fund Managers. Journal of Financial and Quantitative Analysis
Wermers, R. (2000). Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transaction Costs, and Expenses, Journal of Finance
Blake, D., B.N. Lehmann & A. Timmermann (1999). Asset allocation dynamics and pension fund performance. Journal of Business, 72(4), 429-461
Miles, D., & A. Timmermann (1999). Risk sharing and transition costs in the reform of pension systems in Europe. Economic Policy, 14(29), 253
Blake, D., A. Lunde & A. Timmermann (1999). The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis. Journal of Empirical Finance, 121-152
Wermers, R. (1999). Mutual Fund Herding and the Impact on Stock Prices. Journal of Finance
Daniel, K., M. Grinblatt, S. Titman & R. Wermers (1997). Measuring Mutual Fund Perofrmnace with Characteristic Based Benchmarks. Journal of Finance
Grinblatt, M., S.Titman, S., & R. Wermers (1995). Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behaviour. American Economic Review
Pesaran, M. H., & A. Timmermann (1995). Predictability of stock returns: Robustness and economic significance. Journal of Finance, 50(4), 1201-1228. [Reprinted in T.C. Mills (Ed.) Forecasting Financial Markets. Edward Elgar Publishing, 2001]
Pesaran, M. H., & A. Timmermann (1994). Forecasting stock returns. Journal of Forecasting, 13(4), 335-367
Timmermann, A. (1994). Why do Dividend Yields Forecast Stock Returns? Economics Letters, 46, 149-158
Timmermann, A. (1993). How learning in financial markets generates excess volatility and predictability in stock prices. Quarterly Journal of Economics, 108(4), 1135-1145
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