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Essays on financial markets predictability

Pisati, Matteo Maria ; Barone Adesi, Giovanni (Dir.) ; Mira, Antonietta (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO007.

Empirical indicators of sentiment are commonly employed in the economic literature while a precise understanding of what is sentiment is still missing. Exploring the links among the most popular proxies of sentiment, fear and uncertainty this paper aims to fill this gap. We show how fear and sentiment are specular in their predictive power in relation to the aggregate market and to...

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Asset prices and demand shocks

Barbon, Andrea ; Franzoni, Francesco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO002.

My dissertation consists of three chapters, each of which focuses on a different area of research in asset pricing. The first chapter deals with the informational role of brokerage firms during fire sales in the equity market. The second chapter exploits the ETF program by the bank of Japan as a quasi-natural experiment to measure the slope of the equity demand curve. The last chapter presents...

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