Research

Equity investment strategies exploiting cross-country return predictability by politics-policy uncertainty generate abnormal returns as large as 15% per annum with significant low-cost diversification benefits. A global multi-factor model including a tradeable political risk factor successfully prices country returns.

Novel, robust, and empirically successful valuation model accounting for multiple sources of firm value, including intangibles. On average, labor accounts for about 23% of firm market value, physical capital accounts for 30%, knowledge capital accounts for 38% and brand capital accounts for 9%. Direct empirical evidence of the importance of labor and intangibles for firm valuation.

New robust applied method to successfully estimate dynamic models of investment behavior based on empirical policy functions. Suitable for analysis of both public and private firms. 

Novel robust evidence on predictable impact of political cycles on US stock returns. ‘Presidential’ long-short equity investment strategies provide large risk-adjusted returns with significant low-cost diversification benefits.

• Crowell Memorial Third Prize, PanAgora Asset Management, 2011

• Media: London Business School Review, 25 July 2013; Emarat Alyoum (EmiratesToday), 10 Nov. 2012; The Financial, 5 Nov. 2012; Financial Times, 2 Nov. 2012; London Business School Press, 2 Nov. 2012; Financial Times, 30 Oct. 2012; The Source, 9 Nov. 2016; The Conversation, 9 Nov. 2016; The FastCompany, 10 Nov. 2016; Forbes, 5 Nov. 2018

• Summary Business Strategy Review, Vol. 24 (2), 76-77, 2013. Executive summary here

Critical review of proposed explanations of the equity premium puzzle highlighting the limitations of partial equilibrium models for understanding risk premia.

Novel robust model-free method to efficiently estimate the marginal value of capital - key predictor of investment behavior - based on empirical value functions. Successfully explain dynamic investment policies.

Novel investment strategies exploiting cross-country return predictability by political uncertainty generate large abnormal returns within and across equity, bond, and FX markets. A global multi-factor model including a tradeable (multi-asset) political risk factor successfully prices country returns within and across asset classes.  

Investment-based asset pricing model explaining quantitatively the value and size premia, and the success of empirical multi-factor models of equity returns. Provide economic foundations for factor-based strategies.

• Lehman Brothers Fellowship for Research Excellence in Finance, Finalist Prize, 2004 & 2005 

• Sanford J. Grossman Fellowship in Honor of Arnold Zellner, 2005 

• Fondazione IRI Fellowship, 2004

Robust empirical evidence of size effects in corporate investments - small firms have significantly higher investment rates than large firms. Contrary to common wisdom, firm size proxies for decreasing returns to scale rather than firms’ financing conditions. Using simulated method of moments, we estimate a neoclassical model of investment replicating successfully the empirical evidence on size effects.

New applied method to efficiently estimate dynamic models of firm behavior based on empirical value functions. New approach dominates existing methodologies as it allows to achieve more, more easily, and with less assumptions. Provide robust estimates of shadow values of firm resources as key predictors of corporate policies and returns. 

A secular decline in productivity growth, a tightening of financial constraints, and an increase in policy uncertainty are all quantitatively important to account for the sudden investment collapse during the Great Recession. However only slow productivity growth can best account for the long-term decline in corporate investment.

Quantitative empirical analysis of the impact of the joint distribution of firm investment rates and firm size on aggregate investment. Higher moments of the cross-sectional distribution of firm size are key predictors of aggregate US investment.

Public information may trigger allocative inefficiency and liquidity crises in presence of uninsurable aggregate liquidity shocks.

Theoretical and empirical analysis of the political and economic determinants of US states' choices of homestead exemptions.