Gabriele Confalonieri

Field: Finance
Research Interests: Asset Pricing, Macro-finance, Machine Learning
(Expected) Graduation: June 2024
 

 

References

• Carlo Favero carlo.favero@unibocconi.it
  
• Massimiliano Marcellino massimiliano.marcellino@unibocconi.it
  
• Michael McMahon michael.mcmahon@economics.ox.ac.uk
  

Contact

Email: gabriele.confalonieri@unibocconi.it 

JOB MARKET PAPER
Price Trends and Return Predictability

This paper investigates why large cross-sections of long-short anomaly portfolios predict the market excess return. I develop an econometric model for the prices of the long and short legs of the anomalies. Using dimension reduction techniques, I show that their deviations from equilibrium predict the aggregate market return. This result holds at multiple horizons and is mostly driven by the long components of the anomaly portfolios. I interpret these findings through an asymmetric limits of arbitrage model with slow-moving capital.

WORKING PAPERS

Mispricing Proxies (joint with C. A. Favero and I. Leoni)
News Headlines (joint with M. Marcellino)
Social Insurance and the Amplification of Business Cycles (joint with A. Repele)