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)