Ilaria Piatti obtained a PhD in Economics in May 2014 from the University of Lugano. During her PhD she also visited the Economics Department at Duke University and the Financial Market Group at LSE, thanks to a fellowship of the Swiss National Science Foundation.
Her main research interests are in the field of empirical and theoretical asset pricing, financial econometrics and term structure modeling. In particular, her research focuses on heterogeneos beliefs about rare event risk, on present value models for predictability of market returns and dividend growth, and on bond risk premia.
Her current work investigates the asset pricing implications of disagreement about the probability of a systemic disaster. Starting from a multi-tree Lucas economy, it studies how heterogeneous beliefs about rare event risk affect the equity and variance risk premia and the relation between them, both for the market and in the cross section of stock returns.
Two recent working papers, co-authored with Fabio Trojani, focus on understanding return and cash flow growth predictability. The first extends the present-value model literature introducing latent time-varying features of return and dividend growth risks. The second proposes a bootstrap methodology to test predictability hypotheses in this setting.
Ilaria is also an associate member of the Oxford-Man Institute of Quantitative Finance.
Her paper Rationality and subjective bond risk premia, co-written with Andrea Buraschi and Paul Whelan, won the Arthur Warga Award for the ‘best paper in fixed income’ at the SFS Cavalcade Asia-Pacific 2017.
Saïd Business School
Park End Street