Gabriele La Spada
Transcription
Gabriele La Spada
Gabriele La Spada Department of Economics | Princeton University | Princeton, NJ 08544-1021 Phone: (505) 204-6885 | Email: gla@princeton.edu | Website: http://scholar.princeton.edu/glaspada Placement Director: Steve Redding Graduate Administrator: Laura Hedden reddings@princeton.edu lhedden@princeton.edu (609) 258-4016 (609) 258-4006 Education Ph.D. Candidate in Economics, Princeton University, 2009 to present General Examinations: Financial Economics, Econometrics M.S., Physics, Universit` a degli Studi di Roma “La Sapienza”, Summa Cum Laude, 2007 B.S., Physics, Universit` a degli Studi di Milano, Summa Cum Laude, 2004 Research Interests Primary Fields Secondary Fields Financial Economics, Financial Intermediation, Delegated Portfolio Management Financial Econometrics and Market Microstructure Research Experience September 2014–present July 2013 June 2013 2007–2010 2007–2009 Research Assistant for Professor Hyun S. Shin, Princeton University Visiting Researcher, Scuola Normale Superiore di Pisa, Quantitative Finance Group Visiting Researcher, INET at the Oxford Martin School Visiting Researcher, Santa Fe Institute Research Assistant for Professor J. Doyne Farmer, LUISS University Teaching Experience Spring 2013, 2014 Spring 2014 Fall 2011, 2012 Spring 2012 Spring 2008 FIN 591, Cases in Financial Risk Management (Graduate), Princeton University Teaching Assistant for Professor Hyun S. Shin ECO 363, Corporate Finance and Financial Institutions (Undergraduate), Princeton University Teaching Assistant for Professor Hyun S. Shin ECO312, Econometrics: A Mathematical Approach (Undergraduate), Princeton University Teaching Assistant for Professor Andriy Norets ECO 101, Introduction to Microeconomics (Undergraduate), Princeton University Teaching Assistant for Professor Uwe E. Reinhardt Quantitative Analysis of Financial Markets (Graduate), LUISS University Teaching Assistant for Professor J. Doyne Farmer Invited Presentations Workshop “Games and Decisions”, Scuola Normale Superiore di Pisa, E. De Giorgi Mathematical Research Center, July 2013 Professional Activities Referee for Journal of Statistical Mechanics: Theory and Experiment. 2 Honors, Scholarships, and Fellowships Towbes Prize for Outstanding Teaching, Princeton University, 2012 Princeton University, Doctoral Fellowship, 2009–2014 Universit` a degli Studi di Roma “La Sapienza”, Scholarship, 2004–2007 Universit` a degli Studi di Milano, Scholarship, 2001–2004 Job Market Paper “Competition, Reach for Yield, and Money Market Funds” Abstract: There is a concern about asset managers “reaching for yield” in a low rate environment, in particular in competitive industries such as the money market fund industry. In this paper, I propose a tournament model of money market funds to study this issue. I show that funds with different costs of default react differently to macroeconomic shocks. The model points out that it is important to distinguish low risk-free rates from high spreads. Low risk-free rates decrease risk taking. High risk premia, on the contrary, are key to trigger risk taking. The effect, however, is heterogeneous: funds with low default costs take on more risk, but a high cost of default might actually reduce risk taking. I show these predictions are consistent with the risk taking behavior of MMFs during the 2006-2008 period: when risk premia increased, funds with low sponsor’s reputation concerns increased risk taking, while funds with high sponsor’s reputation concerns decreased risk taking. Further, I confirm the differential role of risk-free rate and spread to explain changes in fund portfolios. Work in Progress “Round-off Error on Nonstationary Long Memory Processes ” (with Fabrizio Lillo) Abstract available at http://scholar.princeton.edu/glaspada/publications Publications “The Effect of Round-off Error on Long Memory Processes” (with Fabrizio Lillo), Studies in Nonlinear Dynamics and Econometrics, 18 (4), 445–482, 2014. Pre-Doctoral Work “Tick size and price diffusion” (with J. Doyne Farmer and Fabrizio Lillo), Econophysics of Order-driven Markets, in F. Abergel, B.K. Chakrabarti, A. Chakraborti, and M. Mitra (eds.), Springer, 2011. “The non-random walk of stock prices: The long-term correlation between signs and sizes” (with J. Doyne Farmer and Fabrizio Lillo), European Physical Journal B, 64, 607–614, 2008. Computer Skills C, R, MATLAB, Mathematica, Stata, and Fortran Languages Italian (native), English (fluent), French (basic) 3 References Professor Hyun S. Shin (main advisor) Economic Adviser and Head of Research Bank for International Settlements hsshin@princeton.edu Professor Markus K. Brunnermeier Department of Economics Princeton University (609) 258-4050, markus@princeton.edu Professor David Sraer Haas School of Business, Finance Group UC Berkeley (510) 642-8363, sraer@berkeley.edu Professor Atif R. Mian Department of Economics Princeton University (609) 258 6718, atif@princeton.edu Last updated: October 30, 2014