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Andrea Barbon

http://usi.to/tvh

Biography

I was born in Venice in 1988 and I’m a sociable and friendly person. I got a degree in pure and applied mathematics at the University of Padova, then I enrolled in the Master in pure mathematics at the University of Amsterdam. Now I am a PhD Student at the department of finance of USI in Lugano. Beyond economics, finance and math, my interests extend to music, politics, software and web engineering. My friends and colleagues appreciate me for being honest, reliable, creative and ready to face complex problems, but also for my calmness and my attitude to mediate and synthesize between conflicting opinions.

Research

My paper Brokers and Order Flow Leakage: Evidence from Fire Sales, joint work with F. Franzoni, M. Di Maggio and A. Landier, is one of my best scientific achievements. The paper exposes an unpleasant practice by large brokerage firms in the US equity markets.

Our results suggest that whenever brokers understand that one of their clients' mutual fund is in distress and needs to liquidate part of its portfolio, they share this information with some of their best clients. Those, in turn, predate on the distressed fund by adding selling pressure and driving prices down, thus imposing a significant loss on the victim.

The paper was presented at a conference organized by the Financial Industry Regulatory Authority (FINRA), a non-governmental organization that regulates member brokerage firms and exchange markets. Moreover, it was featured in the financial press, with quotes by the CNBC, by The Economist and by Bloomberg. Hence me and my co-authors succeeded in exposing such a negligent behavior of brokers, with the hope that the regulators will act accordingly.

My other paper Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan, joint work with V. Gianinazzi is also a great achievement. First of all, this is my first research work with no supervision, since my co-author is also a PhD Student.

The contribution of the paper is three-fold. First, we develop a parsimonious asset pricing model to describe the effect of the Central Bank open market purchases on stock prices. Second, we take the model to the data and show that it is consistent with the portfolio balance channel — which is sound from a theoretical perspective but that lacks empirical evidence — thus shedding light on the transmission mechanism of quantitative easing policies. Third, we criticize the implementation of the program by the Bank of Japan arguing that it leads to distortions of market prices, and we propose a simple solution to the issue.

We presented the paper in a conference in Paris, where we had the opportunity to present our findings to central bankers from the ECB and the FED. They supported our views and helped us to develop our research further.