Research

PUBLISHED PAPERS

1. Cash Flow News and Stock Price Dynamics
   Co-authors: Davide Pettenuzzo and Allan Timmermann
   The Journal of Finance, 75, August 2020, 2221-2270  

→  Winner of the INQUIRE 2017 Europe Research Grant 

Conference presentations: LBS Summer Finance Symposium (2019), Market Microstructure and High Frequency Data Conference (University of Chicago) (2019), Utah Winter Finance Conference (2019), SFS Asia Pacific (2018), BI-SHOF (2018), TSE Financial Econometrics Conference (2018), NBER-NSF SBIES (2018), IAAE (2018)

Data:  Filtered Dividend Growth Series (various frequencies)

2. Geographic Lead-Lag Effects
   Co-authors: Christopher A. Parsons and Sheridan Titman
   The Review of Financial Studies, 33 (10), October 2020, 4721-4770

Conference presentations: AFA (2020), SFS Asia Pacific (2018), HKUST Finance Symposium (2018), EFA (2017), CEPR Gerzensee (2017), FIRS (2017), Financial Research Association (FRA 2016), Miami Behavioral Finance Conference (2016)

Data: Economic Areas to Zipcodes

3. Dividend Suspensions and Cash Flows During the Covid-19 Pandemic: A Dynamic Econometric Model
   Co-authors: Davide Pettenuzzo and Allan Timmermann
   Journal of Econometrics, 235(2), August 2023, 1522-1541 

Conference presentations: Real-Time Analysis, Methods and Application (Banque de France) (2021), IAAE - International Association for Financial Econometrics (2020), North American Summer Meeting of the Econometric Society (2021)

4. Payout Suspensions during the Covid-19 Pandemic
   Co-authors: Davide Pettenuzzo and Allan Timmermann
   Economics Letters, 224, March 2023, 111024

5. Tradable Risk Factors for Institutional and Retail Investors
   Co-authors: Andreas Johansson and Andrea Tamoni
   Review of Finance, 29(1), January 2025, 103-139

→  Winner of the GWIM Research Grant
→  ICPM Award Honorable Mention

Conference presentations: MFA (2022), NFN Young Scholars (2020), Eastern Finance Association (2021), BI-SHoF (2021), NFA (2021)
Data: Tradable risk factors up to March 2024:  Tradable Factors (daily)  Tradable Factors (monthly)

WORKING PAPERS

6. Financial Statements and Macroeconomic Dynamics (November 2024)  
   Website: https://corporateactivitytracker.com
   Co-authors: Davide Pettenuzzo and Allan Timmermann

Abstract: What do companies' 10-Q filings reveal about the state of the macro economy and do specific accounting variables contain particularly relevant information? To address these questions, we analyze the lead-lag patterns of more than twenty accounting variables in relation to aggregate economic activity. We develop new daily corporate account business activity indices that aggregate firm-level accounting information while controlling for shifts in the composition of announcers and reducing firm-specific noise. Our new indices show that firm liquidity becomes significantly lower while corporate debt grows significantly faster several months prior to recessions, and thus can be used as leading indicators. Conversely, operations, earnings, and profitability measures tend to be significantly lower after recessions, suggesting they are mostly lagging, pro-cyclical indicators of economic activity. 

7. Are Dividends and Stock Returns Predictable? New Evidence Using M&A Cash Flows (November 2022) (R&R at The Review of Financial Studies)

Conference presentations: FIRS (2017), Utah Winter Finance Conference (2016), European Finance Association (EFA 2015), USC Marshall Ph.D. Conference in Finance (2015), Southern California Finance Conference (2015)

→  Winner of the Best paper award at USC Marshall Ph.D. Conference (2015)

Abstract: The lack of predictability of aggregate dividends by the traditional dividend-price ratio has long been considered a puzzle - “the dog that did not bark,” Cochrane (2008a). I show that this evidence is due to the mismeasurement of dividends used in empirical work. If M&A cash dividends are taken into account, the adjusted R2 from a regression of dividend growth on the lagged dividend-price ratio goes from being negative (-1.07%) to positive (17.47%), and coefficients become highly statistically significant. Strong improvements are also found for consumption growth (-1.09% to 10.63%), and out-of-sample return predictability. I also document that dividend-price variation is strongly linked to cash flow news and not only to discount rate news. Lastly, I find stronger predictability in industries with the largest M&A activity. 

8. Shifting From Active to Passive: How Retirement Plans Impact Equity Prices  (June 2025)
   Co-author: Andrea Tamoni and Song Xiao 

Conference presentations: ICPM (2025), Inquire Europe Autumn Seminar (2025), NFA (2025), Alpine Finance Summit (2025), AFA (2024)

Abstract: Defined contribution plans have become the dominant form of retirement savings in the United States with $12tn of assets at the end of 2024. Concurrently, many institutional investors have shifted toward passive investment strategies in their portfolios. This study investigates how the reallocation from active to passive strategies within 401(k) plans impacts equity prices. Using granular data on 401(k) fund offerings, we find that the transition to passive investing leads to aggregate price changes of around 35%, with stocks overweighted by active funds declining due to both direct outflows and reduced stock-level 401(k) ownership, a key determinant of investor demand. Our findings highlight the critical implications of changes in pension plan investment behavior for equity markets.      

9. Return Heterogeneity in Retirement Accounts  (June 2025)
   Co-authors: Lorenzo Bretscher, Francisco Gomes, and Andrea Tamoni 

Conference presentations: 9th Cherry Blossom Financial Education Institute (2024), SFS Cavalcade (2024), WFA (2023)

Abstract: We study the performance of investment retirement accounts (IRAs) and provide estimates of its impact on wealth inequality. We show that IRAs owned by high-income individuals significantly outperform those held by low-income groups, with the return differential nearly quintupling in “tax-free returns” Roth IRAs. These returns cannot be matched by equity market returns but are consistent with high-income individuals having exposure to private assets in their Roth IRAs. This heterogeneity can explain up to 7% of the increase in financial wealth share over our sample period. We conclude by exploring different counterfactuals in the context of a life-cycle model. 

Media: Investopedia, ThinkAdvisor

10. The Term Structure of Cash Flow Risk  (October 2022)
    Co-author: Davide Pettenuzzo 

→  Winner of the INQUIRE 2020 Europe Research Grant 

Conference presentations: SoFie (2023), European Winter Finance Summit (2023)

Abstract: We estimate cash flow news, cash flow betas, and their price of risk for the most prominent equity anomalies, at different frequencies, by directly modeling the dividend growth process instead of relying on a VAR-residual approach. We find the term structure of cash flow betas to be upward sloping for most anomaly portfolios. Moreover, the price of cash flow risk appears to be anomaly-specific -- different anomalies tend to display heterogeneous sensitivity to cash flow news -- and frequency-dependent -- for a given anomaly, this sensitivity varies with the horizon at which portfolios are evaluated.

11. Firm Value and Payout Suspensions During Financial Market Distress  (August 2022)
    Co-authors: Davide Pettenuzzo and Allan Timmermann 

Conference presentations: Finance Workshop @ Ca' Foscari University of Venice (2023), 8th Conference on New Developments in Business Cycle Analysis (Danmark Nationalbank/Deutsche Bundesbank/Norges Bank joint conference (2021),  Corporations and Covid-19 (2021)

Abstract: We use high-frequency data on firms’ dividend and buyback suspensions to estimate the effect on firm value from preserving cash during periods of financial market distress such as the Global Financial Crisis and the Covid-19 pandemic. Our results suggest that saving one percent in cash by suspending dividends is associated with a 2.5 percent increase in firm value. New dynamic tests based on the sequencing of firms’ financing decisions suggest that firm behavior was more in line with the Myers and Majluf (1984) pecking order theory during the pandemic than during the Global Financial Crisis.

12. Do Private Firms' Dividends Predict Stock Returns? (October 2015)

Abstract: In this paper I show that information about fundamentals of the aggregate economy derived from closely held firms help predict stock returns. I construct a new economy-wide dividend price ratio that takes into account dividends and market capitalization of both listed (public) and non-listed (private) U.S. companies and show that it strongly predicts stock returns with in-sample and out-of-sample annual adjusted R2 of 15.35% and 16.28%, compared to the standard dividend price ratio values of 5.32% and -1.14%, respectively. I also find that changes in dividends of private firms lead those of public firms and that the economy-wide dividend price ratio subsumes the standard dividend price ratio.

WORK IN PROGRESS (ADVANCED)

• 401(k) Plans
  Co-authors: Andrea Tamoni