Università della Svizzera italiana

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...

Università della Svizzera italiana

Essays in empirical finance

Parise, Gianpaolo ; Franzoni, Francesco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2015 ; 2015ECO006.

This thesis contains three essays on the role of incentives in financial decisions. The first essay documents how airlines financial choices are affected by the threat of future competition. The second essay explores the role of cross-trading in mutual fund families. The third essay shows the effect of stock undepricing on innovation spending.

Università della Svizzera italiana

Essay on asymmetry and tails : different approaches

Cazzaniga, Sofia ; Franzoni, Francesco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO012.

This thesis investigates the role of extreme events and of tails in financial asset returns distribution. It is composed of three parts. Chapter 1 details the application of a fast convolution algorithm to compute high dimensional integrals in the context of multiplicative noise stochastic processes describing financial return. Chapter 2 deals with downside risk in the currency markets by means...

Università della Svizzera italiana

Essays on liquidity and asset pricing

Vovchak, Volodymyr ; Franzoni, Francesco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO001.

The thesis is comprised of two parts. First part is devoted to liquidity of the stock market and its interaction with holding horizon. I start from investigating relative importance of liquidity level and liquidity risk. I find that liquidity level is more important for explaining stock returns. I notice that liquidity risk gains some explanatory power during recent decade, and it seems to...