Ilaria Piatti

Ilaria Piatti is a PhD candidate at the Finance Institute of the University of Lugano and she will be on the PhD Job Market in January 2014. She recently visited the Economics Department at Duke University and the Financial Market Group (FMG) at the London School of Economics, thanks to a fellowship of the Swiss National Science Foundation (SNSF). Her research interests are in the field of empirical and theoretical asset pricing, financial econometrics and term structure modeling. In particular, her job market paper investigates the asset pricing implications of disagreement about the probability of a systemic disaster. Starting from a multi-tree Lucas economy, it studies how heterogeneous beliefs about rare event risk affect the equity and variance risk premia and the relation between them, both for the market and in the cross-section of stock returns. Two recent working papers, co-authored with Fabio Trojani, focus on understanding return and cash flow growth predictability. The first extends the present-value model literature; introducing latent time-varying features of return and dividend growth risks, and studies the implications for the detection of predictive relations and the estimation of time-varying risk features. The second shows that standard testing procedures of present-value models with latent variables tend to over-reject the null of no predictability and develops a consistent testing framework, based on nonparametric resampling methods, with more reliable finite-sample properties.

Empirical and theoretical asset pricing, term structure modelling and financial econometrics.