Daniele Bianchi
Department of Finance
Bocconi University
Via Roentgen 1
20136, Milan, Italy
EDUCATION
Email: daniele.bianchi@unibocconi.it
Web: https://sites.google.com/site/dbianchi001/
Office: (+39) 02 5836 3354
Mobile: (+39) 348 9283419
Bocconi University, Ph.D. in Finance
Dissertation: “Essays in Asset Pricing”
Advisor: Prof. Massimo Guidolin
March 2014 (Expected)
McCombs School of Business, UT Austin,TX, US
Visiting PhD student
Aug 2012 - Jan 2013
Oct 2010 - Jul 2011
Insubria University, Varese, Italy
M.Sc. in Economics (with distinction)
B.Sc. in Economics (with distinction)
2008
2006
RESEARCH
INTERESTS
Primary: Asset Pricing
Secondary: Real Estate Finance, Macroeconomics, Bayesian Econometrics
JOB MARKET
PAPER
Real-Time Learning, Macroeconomic Uncertainty, and the Variance Risk
Premium
The variance risk premium represents the compensation paid to index option sellers
for the risk of losses following upward movements in realized market return volatility.
Common wisdom connects these spikes with elevated uncertainty on economic fundamentals. I incorporate this link within a single-agent general equilibrium model,
embedding real-time learning on state variables and parameters. I show that infrequent, large and relatively transitory macroeconomic uncertainty shocks produce
a sizable and volatile variance risk premium. These shocks coincide with major
events such as the LTCM/Russian crisis, the onset of the second Gulf War, and
the great financial crisis of 2008-2009. I compute macroeconomic uncertainty as
the dispersion of the agent’s belief about the expected growth rate of consumption.
Its time-varying nature reflects in the variance risk premium, generating short-term
predictability for market excess returns, consistent with the data. In addition, the
model matches the higher order moments of the realized equity premium, with a
reasonably low level of relative risk aversion equal to five.
REFERENCES
Massimo Guidolin (Advisor)
Department of Finance and IGIER
Bocconi University
(+39) 02 5836 3463
massimo.guidolin@unibocconi.it
Carlos M. Carvalho (Co-Advisor)
McCombs School of Business
University of Texas at Austin
(+1) 512 471 5823
carlos.carvalho@mccombs.utexas.edu
Paolo Colla
Department of Finance
Bocconi University
(+39) 02 5836 5346
paolo.colla@unibocconi.it
Francesco Ravazzolo
Norges Bank and
BI Norwegian Business School
(+47) 2231 6172
francesco.ravazzolo@norges-bank.no
WORKING
PAPERS
Macroeconomic Factors Strike Back: A Bayesian Change-Point Model
of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
(with Massimo Guidolin and Francesco Ravazzolo)
Under review at: Journal of Business and Economic Statistics
Conventional wisdom and most of asset pricing research argues that macroeconomic
factors can hardly explain the dynamics of asset valuations for U.S. stock and bond
portfolios. Such a disconnect clashes with a body of theoretical work that shows
that on average, excess returns (risk premia) should be driven by macroeconomic
forces. We reconcile this puzzle by proposing and estimating a flexible asset pricing
model in which both risk exposures and risk premia are time-varying and effectively
explain the cross-section of U.S. stock and bond returns.
Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?
(with Massimo Guidolin and Francesco Ravazzolo)
During 2009 and 2010, a number of commentators have emphasized that the nonresidential real estate market had suffered from a fall-out from the sub-prime crisis,
but it had not bled as deeply as the residential/housing segment. We investigate
whether this differential dynamics comes from a heterogeneous evolution of risk exposures across real estate segments, and whether this corresponds to a correction
of pervasive mispricing that had endogenously emerged in the residential sector but
that had not occurred in the non-residential segment of the U.S. real estate market.
Structural Uncertainty and Higher Moments of Asset Returns
Existing asset pricing research posits an apparent lack of close connection between
higher moments of market returns and the smooth dynamics of economic fundamentals. I show in this paper that, such a puzzling disconnect may be explained
by the compounding effect of real-time learning about the structure of the economy
and time-varying macroeconomic risk.
RESEARCH IN
PROGRESS
Risk Assessment in Large Portfolios: Why Imposing the Wrong Constraints Hurts (with Carlos M. Carvalho)
Extending the Black-Litterman Portfolio Allocation Strategy
(with Carlos M. Carvalho)
PUBLICATIONS
Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios, (with Massimo Guidolin)
forthcoming in the Journal of Real Estate Finance and Economics
Can Long-Run Dynamic Optimal Strategies Outperform Fixed-Mix Portfolios? Evidence from Multiple Data Sets”, (with Massimo Guidolin)
conditionally accepted in the European Journal of Operational Research
TEACHING
EXPERIENCE
Instructor
Financial Econometrics and Empirical Finance, II (Graduate)
Matlab course
Fall 2011
Teaching Assistant
Financial Econometrics and Empirical Finance, II (Graduate)
Theory of Finance (Graduate)
Financial Econometrics and Empirical Finance, I (Graduate)
Spring 2013
Fall 2011
Fall 2011
PROFESSIONAL
ACTIVITIES
Conferences and Seminars (* Presentation by co-author)
European Economic Association, American Economic Association*,
ESOBE, World Finance Conference, CFE London (Scheduled, Invited),
Bocconi Lunch Seminar, Vienna IHS Time-Series Workshop
2013
CFE Oviedo (Invited), Bocconi Lunch Seminar,
McCombs Lunch Seminar
2012
Bocconi Lunch Seminar, CFE London (Invited),
McCombs Lunch Seminar
2011
Referee (ad-hoc)
Journal of Empirical Finance, International Journal of Forecasting,
Computational Economics, Quarterly Review of Economics and Finance
GRANTS,
SCHOLARSHIPS
AND AWARDS
Bocconi University, Honors Prize, PhD School
Journal of Applied Econometrics, ESOBE Travel Grant
Bocconi University, Dissertation Completion Fellowship
Bocconi University, PhD Fellowship
Bocconi University, Honors Prize, PhD School
Insubria University, Merit Scholarship
CCIAA Scholarship
OTHER
EMPLOYMENT
Ernst & Young, Global Finance Risk Management, Milan
(Analyst, OTC Derivatives)
2013
2013
2012-2013
2008-2012
2009
2007
2007
2008