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

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

This paper provides evidence that aggregate Research and Development (R&D) investment drives a persistent component in productivity growth and that this embodies a risk priced in financial markets. In a semi-endogenous growth model, this component is identified by the R&D in excess of equilibrium levels and can be approximated by the Error Correction Term in the cointegration between R&D and Total Factor Productivity. Empirically, the component results being well defined and it satisfies all key theoretical predictions: it exhibits appropriate persistency, it forecasts productivity growth, and it is associated with a cross-sectional risk premium.

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.

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

LinkedIn

Twitter

References

Martín Gonzalez-Eiras
Associate Professor
University of Bologna
mge -> alum.mit.edu

Mariano Massimiliano Croce
Professor of Finance
Bocconi University
mmc287 -> gmail.com

Giuseppe Cavaliere
Full Professor
University of Bologna
giuseppe.cavaliere -> unibo.it

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