Since 2023, I am a Research Fellow at the Economics Department of the University of Bologna (IT).

Research

I am fascinated by economic growth, the natural environment, and the act of lending. In my work I study aggregate economic phenomena related to these themes, primarily applying statistical tools, such as cointegration models and dimension-reduction techniques, to financial markets data.

Working papers

The long-run innovation risk component (under revision) [Abstract] [Paper]

This paper provides empirical evidence that aggregate Research and Development (R&D) drives persistent fluctuations in productivity growth and that these embody a risk priced in financial markets. The analysis relies on a definition of R&D intensity that is cast in a semi-endogenous growth framework, where its deviations from the long-run equilibrium level are reflected in the Error Correction Term of the cointegration between R&D and Total Factor Productivity. This R&D measure results having more desirable statistical properties compared to the fully endogenous case, such as a persistence that matches previous evidence on productivity long-run risk and, more importantly, a stationary behavior. Stationarity allows to reliably document key theoretical predictions, the most notable of which is a significant cross-sectional risk premium associated to stocks' cash-flows sensitivities.

Does CAPM overestimate more the risk or its price? [Abstract] [Paper]

CAPM is known to empirically underestimate expected returns of low-risk assets and overestimate those with high risk. This paper studies how risks omission and funding tightness jointly contribute to explaining this anomaly, with the former affecting the definition of assets’ riskiness and the latter affecting how risk is remunerated. Theoretically, the two effects are shown to counteract each other. Empirically, the spread related to binding leverage constraints is found to be significant at 2% yearly. Nonetheless, average returns of portfolios that exploit this anomaly are found to mostly reflect omitted risks, contrasting how they have been used in previous analysis.

Research in progress

Are you betting on sustainability? [Abstract]

When sustainability of assets is appreciated, its effect on discount rates does not only depend on the sustainability of the asset priced, but it is intrinsically mediated by the risk profile of the asset. This has implications for the assessment of the sustainability-related spread and for hedging shocks to sustainability concern. Specifically, (1) long-short portfolios of assets sorted on sustainability can average returns with a sign unrelated to the actual sustainability spread and, consequently, (2) the effectiveness of more sustainable assets in hedging changes to sustainability concerns depends on their ‘sustainability intensity’ and their risk jointly. Estimations employing the Refinitiv ESG scores for US stocks shows a weak sustainability premium, whose significance, importantly, diverges from that of average return of a plain long-short portfolio.

On the impact of climate uncertainty

Education

2024: PhD in Economics at University of Bologna (IT)

• Advisors: M. Gonzalez-Eiras (U of Bologna) and M.M. Croce (Bocconi U)
• PhD students’ representative in the Council of Department
• Organizer of the DSE Reading Group in Macro-Finance

2022-23: Visiting Student at London Business School (UK), sponsor: H. Kung
2020-21: Visiting Student (virtual) at Bocconi University (IT), sponsor: M.M. Croce
2020: Visiting Student (virtual) at Vienna Graduate School of Finance (AT), sponsor: C. Wagner

2018: MSc in Advanced Economics and Finance at Copenhagen Business School (DK)
2016: BSc in Business Administration at University of Bologna (IT)
2013: HSD in Mechanical Engineering at I.I.S. Aldini Valeriani (Bologna, IT)

Teaching experience

 At University of Bologna (IT):

2022, 23, 24: Asset Pricing (Grad), TA to Prof. M. Gonzalez-Eiras

2024: Financial Econometrics (Grad), TA to Prof. G. Moramarco

2021: Asset Pricing (Grad), TA to Prof. G. Camera

2020: Financial Instruments and Markets (UndGrad), TA to Prof. G. Camera

 At Copenhagen Business School (DK):

2018: Macroeconomics 2 (UndGrad), TA to Prof. A. Sørensen

Work experience

2017: Research assistant at Copenhagen Economics A/S (DK)

2014: Planning and Control internship at Bologna Local Health Authority (IT)

Contacts

Office: Room 7 (former DiSA library) – Piazza Scaravilli 1, 40126 Bologna, Italy

Institutional webpage

SSRN

LinkedIn

Twitter

References

Martín Gonzalez-Eiras
Associate Professor
University of Bologna

Mariano Massimiliano Croce
Professor of Finance
Bocconi University

Giuseppe Cavaliere
Full Professor
University of Bologna

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