Stock market responses to monetary policy shocks: Firm-level evidence, joint with Kerim Peren Arin, Efstathios Polyzos and Nicola Spagnolo, Journal of Macroeconomics, 2025, 83, 103646.
Using a firm-level data set for the U.S., we investigate the stock price responses to unanticipated and unconventional monetary policy shocks. Our results show that indebtedness/leverage is more important than size or age in explaining the cross-firm variation in responses to monetary policy. We also show that the magnitude of the indebtedness is important while the debt structure is not, and the third quartile of firms drives our results. We assess the robustness of our empirical findings across several dimensions..
Price of a Surprise: The Effects of Election Outcomes on Stock Market Returns and Volatility, joint with Kerim Peren Arin, Suzanna El-Massah and Nicola Spagnolo , Review of Economics, 2022, 73(3), 211-221 .
By utilizing a novel data set of 24 democracies for the 1972–2018 period, we investigate how election outcomes, including election surprises, are priced by the stock market. We show that an election surprise increases volatility but has no significant effect on excess returns. A win by a coalition announced prior to the election decreases volatility, however, a large winning percentage for the lead party within the coalition decreases excess returns. An unexpected winning margin over the closest competitor by the lead party decreases volatility by consolidating power, but only in parliamentary elections. Party orientation for the winning party affects neither excess returns nor volatility, even if it is unexpected.
Stock Returns and Their Distribution: An Empirical Assessment of the US and Argentina’s Stock Market for the Period 2002/18, joint with Carlos Swoboda, Journal of Applied Business and Economics, Vol. 22(8), 2020.
We present a set of analytical tools to characterize the nature of the distribution of monthly returns of the stocks that compose Argentina’s Merval index in the period 2002-2018, and at the same time compare the results with those for the US stock market, where the same analysis will be performed for the 30 equities that comprise the Dow Jones Industrial Index. Both univariate and multivariate tests will be resorted to, accounting for correlations between assets and considering the cross third and fourth moments, concluding with the estimation of a Markov switching model.