Doctoral thesis

Essays in information and market efficiency

  • 2022

PhD: Università della Svizzera italiana

English The dissertation consists of three essays in the fields of information and market efficiency. In the first chapter, I show that institutional investors exhibit and exploit an informational advantage that allows them to trade profitably on the stock market ahead of FOMC meetings. These findings contribute to an information-based explanation of the pre-FOMC drift and have large policy implications. In the second chapter, co-authored with Sirio Aramonte, we investigate the liquidity supply ecosystem in the corporate bond market, with a focus on insurance companies. Our work suggests that policy efforts to address mutual-fund fragility should consider insurance companies as important players in the liquidity provision ecosystem. In the third chapter, co-authored with Laurent Frésard, Silvia Dalla Fontana, and Roberto Tubaldi, we focus on the relationship between sell-side analysts and sustainability, shedding light on the consequences on firms’ information environment of the increasing demand for sustainability.
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