The standard disclaimer in the prospectus of any mutual fund reminds investors that "past performance is not necessarily indicative of future results." Despite the disclaimer, arguably a large fraction of investors looks at recent past performance to form expectations about future returns and...

This paper empirically investigates the performance of market-timing strategies effectively used by investors in Emerging Markets (EMs). We identify short-term determinants of mutual fund flows into EM equity and fixed income, finding a well established flows-performance relation. Hence, we...

In response to the Covid-19 outbreak, among other previous "non-pharmaceutical interven-tions", on March 22, 2020 the Italian Government imposed an economic lockdown and ordered the closing of all non-essential economic activities. This paper estimates the causal effect of this measure on...

In this paper I develop a model of sovereign lending with default and long-duration coupon bonds. Long-duration bonds offer an insurance benefit to the borrower because countries are not required to frequently roll-over outstanding debt. However, investors anticipate that countries might default...

This paper investigates the dynamic interdependencies between the European insurance sector and key financial markets-equity, bond, and banking-by extending the Generalized Forecast Error Variance Decomposition framework to a broad set of performance and risk indicators. Our empirical analysis,...

Emerging country governments increasingly issue local currency denominated bonds and foreign investors have been increasing their holdings of these assets. By issuing debt denominated in local currency, emerging country governments eliminate exchange rate risk. The growing stock of local...

I fondi obbligazionari governativi area Euro costituiscono una componente fondamentale del portafoglio finanziario delle famiglie italiane. In questa ricerca analizziamo le caratteristiche di questi fondi e la loro performance con particolare attenzione al periodo della crisi del 2007-2009....

This paper studies the systemic risk contribution of a set of large publicly traded European banks. Over a sample covering the last twenty years and three different crises, we find that all banks in our sample significantly contribute to systemic risk. Moreover, larger banks and banks with a...