Understanding Households’ Bank Bond Holdings (with Ugo Rigoni, Ca’ Foscari University of Venice), Review of Finance, 2025, 3: 819-850.
Non-Standard Errors (with 342 co-authors from 34 countries and 207 institutions), The Journal of Finance, 2024, 79: 2339-2390.
I'll Trade, Just Not Today: Individual Investor Trading Activities around Birthdays (with Emanuele Bajo, University of Bologna, and Otto Randl, WU Vienna University of Economics and Business), European Financial Management, 2024, 30: 2164–2194.
Market Discipline on Bank Bond Issues Through the Lens of a New Forward – Looking Measure of Loan Quality (with Siva Nathan, Georgia State University, Ugo Rigoni and Elisa Cavezzali, Ca’ Foscari University of Venice), European Financial Management, 2020, 26: 1350– 1384.
Pricing and Constructing International Government Bond Portfolios (with Josef Zechner and Otto Randl, WU Vienna University of Economics and Business), Accepted at the Journal of Financial Economics.
In developed government bond markets, even simple diversification strategies are shown to offer significant benefits due to imperfectly correlated term-structure dynamics. We derive a stochastic discount factor to price this asset class by projecting returns onto the unconditional mean-variance efficient portfolio. The resulting market price of risk varies substantially over time, peaking during crises and periods of inflation rate dispersion. International bond returns exhibit a strong factor structure, but common sources of return variation show little connection to priced risks. Hedging unpriced risks from naive or factor-based strategies enhances Sharpe ratios significantly, even when portfolio weight limits are imposed.
Presented at: Einaudi Institute for Economics and Finance (EIEF) Seminar; Birkbeck, University of London, Seminar (online); EFA Annual Meeting (Barcelona, Spain); FMA Annual Meeting (Atlanta, USA); JEF Conference (Amsterdam, Netherlands); DGF Conference (Marburg, Germany); University of Bologna (Bologna, Italy), EPFL (Lausanne, Switzerland), University of Cambridge (virtual seminar), AFFI Conference (Saint-Malo, France), AsianFA Annual Meeting (virtual conference), CIRF Conference (virtual conference).
Beyond the Ticker: Female Brands and Fund Manager Investment Decisions (with Emanuele Bajo, University of Bologna, Otto Randl, WU Vienna University of Economics and Business, and Nicoletta Marinelli, University of Macerata)
Using machine learning and image recognition techniques on over 300,000 images, we classify 138 top brands based on their level of femininity or masculinity. Our study reveals that professional fund managers tend to include stocks in their portfolios that align with their own gender, with a particular inclination towards brands targeted at females. To establish causality, we implement an identification strategy that focuses on changes in fund management. Specifically, we examine single-managed funds transitioning from male to female management. These transitions show a significant increase in the allocation of holdings towards stocks associated with female-centric brands, compared to those remaining under male management.
Presented at: EFMA Annual Meeting (Lisbon), German Finance Association (Aachen), University of Sassari, European Securities and Markets Authority (ESMA).