Giulio Trigilia

Assistant Prof. of Finance

University of Rochester

Simon Business School

email: open CV

Welcome to my webpage. I am a researcher interested in:

  • Financial and Information Economics
  • Contracts and Securities Design
  • History of Finance
  • Theory of Economic policy


Working papers:

  • Is there a paradox of pledgeability? with Dan Bernhardt and Kostas Koufopoulos, 2019 (R&R at the JFE)
      • Abstract: Donaldson, Gromb and Piacentino (2019) argue that, in the presence of limited commitment, increasing the fraction of a firm’s cash flows that can be pledged as collateral might make the firm worse off. To the contrary, we show that in their framework the set of firms that are hurt by having greater pledgeable cash flows is empty. We also show that in their model the first-best can always be implemented by non-state contingent collateralized debt contracts that differ from the ones they consider.
  • Optimal leverage, profitability & the decision to go public, 2019
      • Abstract: I introduce heterogeneous degrees of transparency in a standard costly-state-verification model. I show that the optimal capital structure can be implemented by a simple mixture of debt and equity. Optimal leverage decreases with profitability (both past and expected), in contrast to most competing theories -- such as trade-off models. When firms can choose their degree of transparency at a cost, the model delivers a theory about the decision to go public.
  • Voluntary disclosure, moral hazard & default risk with S. Fu, 2018
      • Abstract: In a dynamic agency model, we study the implication of introducing voluntary disclosure opportunities. Main findings are: (1) PPS falls, because disclosure insures against bad luck; (2) credit spreads in secondary markets fall, because disclosure is associated with lower default probabilities; however (3) credit spreads in primary markets increase for a set of low profitability firms. In this case, disclosure opportunities exhacerbate the rent vs. efficiency conflict and induce higher probability of default
      • Scheduled talks: AFA (solicited), MFA, Alberta
  • Exchange rates and political uncertainty: the Brexit case with P. Manasse and G. Moramarco, 2020
      • Abstract: We study the impact of political risk on exchange rates. We focus on the Brexit Referendum as it provides a natural experiment where both ex- change rate expectations and a time-varying political risk factor can be measured directly. We build a simple portfolio model which predicts that an increase in the Leave probability triggers a depreciation of the British Pound, both on account of exchange rate expectations and of political risk. We estimate the model for multilateral and bilateral British Pound exchange rates. The results confirm the model’s main implications.
  • Strategic default, investment & the resolution of financial distress with N. Koreli, 2018
      • Abstract: We study a costly-state-verification model with limited commitment. We characterize the optimal amount of strategic default and micro-found the frequency with which default turns into bankruptcy, as oposed to triggering an out-of-court restructuring
  • Momentum, echo and predictability: Evidence from the London Stock Exchange (1820-1930) with P. Wang, 2019
      • Abstract: We study momentum and its predictability within equities listed at the London Stock Exchange (1820-1930). At the time, this was the largest and most liquid stock market and it was thinly regulated, making for a good laboratory to perform out-of-sample tests. Cross-sectionally, we find that the size and market factors are highly profitable, while long-term reversals are not. Momentum is the most profitable and volatile factor. Its returns resemble an echo: they are high in long- term formation portfolios, and vanish in short-term ones. We uncover momentum in dividends as well. When controlling for dividend momentum, price momentum loses significance and profitability. In the time-series, despite the presence of a few momentum crashes, dynamically hedged portfolios do not improve the performance of static momentum.
  • Credit failures with H. Polemarchakis and L. Zavalloni - under revision ⚠️

Work in progress:

  • Transaction costs in a 19th century stock market (with P. Wang), 2019
  • Strategic transparency (with D. Orlov), 2019
  • Endogenous leverage cycles, 2018
  • Estimating teacher's value added, evidence from a randomization procedure at a UK university (with R. d'Este and G. Gaete-Romeo), 2017
  • Sharing hidden profits and losses, 2017