Working papers
Coordinating bank dividend and capital regulation, (2025), with S. Federico and A. Modena.
Abstract: We study the impact of state-contingent dividend taxes (and bans) and capital regulation on a firm’s optimal strategy and value. In the model, the firm generates stochastic income under time-varying macroeconomic conditions. Its manager distributes dividends and issues costly equity to maximize shareholder value. We solve the manager’s stochastic control problem and derive the firm’s reserve distribution in closed form. Imposing dividend taxes (or bans) during crises generates a trade-off, as it encourages reserve accumulation in bad states but promotes payouts in good ones. Also, the policy undermines financial stability by reducing the firm’s value and its recapitalization incentives across states. Coordinating dividend taxes with counter-cyclical capital regulation can mitigate value losses and ameliorate the trade-off, but it also creates additional recapitalization disincentives.
Leverage and Interest Rates, (2023), with G. Nicodano.
Abstract: We study the sensitivity of optimal leverage to the level of the risk-free interest rate. Our trade-off model implies a heterogeneous response depending on the presence of a sponsor backing company debt. A highly-leveraged, backed company optimally increases debt when interest rates fall, while a company without a sponsor reduces it despite having lower initial leverage. This heterogeneity implies divergent bankruptcy probability and recovery-upon-default, in the same interest rate scenarios, for the two company types. We also show that a lower risk-free rate reduces the sponsor's incentive to issue debt.
Recent publications (2019- )
Non-Standard Errors, (2024), Journal of Finance 79 (3), 2339-2390, with A. Menkveld et al..
Capital risk, fiscal policy and the distribution of wealth, (2024), Mathematics and Financial Economics , with A. Modena.
Spatial Natural Hedging: a general framework with application to the mortality of U.S. states, (2024), Scandinavian Actuarial Journal, with K. Cupido, P. Jevtic and K. Zhou.
An analysis of the Dutch-style pension plans proposed by UK policy-makers, (2022), Journal of Social Policy 51 (2), 325-345, with I. Owadally and R.Ram.
Geographical diversification and longevity risk mitigation in annuity portfolios, (2021), ASTIN Bulletin 51 (2), 375-410, with C. De Rosa and E. Luciano.
Optimal life-cycle labour supply, consumption, and investment: the role of longevity-linked assets, (2020), Journal of Banking and Finance 120, with F. Menoncin.
A trade-off theory of ownership and capital structure, (2019), Journal of Financial Economics 131, 715-735, with G. Nicodano.
Communities and regularities in the behavior of investment fund managers, (2019), Proceedings of the National Academy of Sciences of the United States of America 116 (14) 6569-6574, with A. Flori, F. Pammolli, S. Buldyrev and Eugene H. Stanley.
