November 2012 – May 2017
Supervisor: Nicola Borri
Financial Economics, International Finance, Asset Pricing
acagnazzo [at] luiss.it
His current research explores market-timing strategies in international mutual fund markets, measuring their profitability and identifying key determinants of short-term capital flows in Emerging Markets. Further analysis develops an asset pricing model with heterogeneous agents. The inclusion of subjective beliefs that extrapolate information on future returns from past performance, in equilibrium matches key empirical regularities on mutual fund prices and investors’ expectations. His previous work on macro effects of financial derivatives received the Prize Arturo Nattino 2012 from Accademia dei Lincei.
Thesis: Chasing stock market returns. Mutual funds extrapolative flow, performance and asset pricing implications (2017).
Current Position and Institution: Economist at Treasury Department, Italian Ministry of Economy and Finance.