PhDing @ Warwick. Interested in asset pricing and financial econometrics
Joined January 2017
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Giulio Rossetti retweeted
🚨 JMP alert
Worried about the exogeneity of a macro structural shock with respect to omitted variables?
⚠️Testing the correlation between past of omitted variables and present of shocks might mislead conclusions.
↪️ Add a correction term!
🧵 #EconTwitter #EconJobMarket
1/11
Giulio Rossetti retweeted
Amedeo Andriollo's (@amedandr) JMP proposes a test for exogeneity of macroeconomic structural shocks, robust to omitted variable dynamics. Do shocks to uncertainty about economic policy leads to higher/lower future inflation? To find out: buff.ly/3V1IE8o
#EconJobMarket
Giulio Rossetti retweeted
What have been the underlying drivers of a potential "replication crisis" in corporate bond asset pricing research over the last decade?
Our updated working paper, papers.ssrn.com/sol3/papers.…, documents some root causes:
(1) Not adjusting signals for potential microstructure noise (bonds trade OTC)
(2) Ex-post trimming/winsorization of t+1 (future) bond returns (i.e., kicking out data that destroys strategy profitability ex-post)
The entirety of our paper can be replicated with our open-source data on openbondassetpricing.com/, the WRDS Bond database, and the accompanying portfolio/factor construction software package PyBondLab (pypi.org/project/PyBondLab/).
The PyBondLab package also contains brand new functionality for:
- Computing portfolio turnover
- Implementing various cost mitigation methods: staggered holding periods and buy-hold spreads (see Novy-Marx & Velikov, 2016)
Check out our new Python package developed with @dickerson_phd -- great working with him! Have a look at pypi.org/project/PyBondLab/ or see the GitHub repo github.com/GiulioRossetti94/…. More info: openbondassetpricing.com/dat…. Any feedback is more than welcome!
Excited to announce PyBondLab, a new Python package co-developed with my talented co-author @Gi_R94 . Try it out directly in Python: pypi.org/project/PyBondLab/
Detailed examples available on the GitHub repo here: github.com/GiulioRossetti94/…
The software (properly) handles corporate bond data uncertainty. It generates bond data samples with ex-ante filters to avoid look-ahead bias and subsequently generates potentially hundreds of bond factors/portfolios based on any underlying signal.
Additional information and an example applied to non-investment grade bond momentum can be found on the openbondassetpricing.com/dat… website.
Look-ahead bias from ex-post filtering has played havoc in the bond literature … hopefully this package addresses this.
Many more corporate bond code and data initiatives to be announced this week! 😊 All hosted on openbondassetpricing.com
Giulio Rossetti retweeted
👉🏼 CALL for papers!
The 4th SASCA PhD Conference in #Economics 2024 will take place in #Venice (Sept 23-24). Submissions in any field in Economics & Finance are welcome by June 15th. Check out the keynote speakers:
sites.google.com/view/sassar…
@CaFoscari @unissTweet @DipEcoUnive
This and other new insights in the latest version of our paper! Check it out here papers.ssrn.com/sol3/papers.…
It is well-known that equity momentum has disappeared over the last 2-decades. Want to revive it? No problem. Just asymmetrically (ex post) winsorize/trim returns at the 99.50th percentile (right-tail) of the return distribution… (data mine) 😉, i.e., kick-out the "winners" that end up in the short-leg of the portfolio sort (works great for corporate bonds too).
Giulio Rossetti retweeted
(3) The majority of our code and data are publicly available on openbondassetpricing.com/
Giulio Rossetti retweeted
(2) We have several follow-up papers including research on microstructure bias in corporate bond asset pricing (papers.ssrn.com/sol3/papers.… with @Gi_R94) and where we estimate over 500 trillion possible models in a Bayesian framework (papers.ssrn.com/sol3/papers.… with @Chris_Julliard )
Giulio Rossetti retweeted
(1) I recently wrote a paper exploring asset pricing in corporate bonds with Cesare Robotti and Philippe Mueller.
It has been published in the @J_Fin_Economics and was made the Editor’s Choice for November 2023.
The published article is available here: sciencedirect.com/science/ar…
When a PhD student failed to replicate a seminal paper about bond factors, his detective work led to the first-ever retraction for a prestigious journal.
My story today on his discovery, the replication debate in finance and what makes bonds so hard:
bloomberg.com/news/articles/…
Giulio Rossetti retweeted
Il mio primo, e probabilmente ultimo, commento positivo sul governo. Non c'è Tremonti.
Giulio Rossetti retweeted
Thread on "In Search of the Origins of Financial Fluctuations" by @xgabaix and @rkoijen. One of the most exciting agendas in asset pricing. See video (youtube.com/watch?v=OQnHosZP…). They estimate $1b investment in market -> $10b increase in price. How? 1/
Giulio Rossetti retweeted
@holtbt also gave a tutorial first on how to create container from scratch before introducing docker and it was really amazing like how this tweet demystify that container isn't that scary blackbox . btholt.github.io/complete-in…
Giulio Rossetti retweeted
My lunch breaks recently have been in the company of Yaser Abu Mostafa's "learning from data" lectures. What an amazing teacher. Ht @economeager
youtube.com/playlist?list=PL…
Giulio Rossetti retweeted
Prima o poi doveva arrivare questo giorno. E’ stato un percorso lungo, ma ho preso la mia decisione. E mentre aspetto che mi chiamino, seduto nello spogliatoio, la mente corre a quando tutto è iniziato. A quel “soldo di cacio” che crebbe mangiando gnocchi, lasagne e salsicce”.
Giulio Rossetti retweeted
I love this podcast on HANK models @dan_hinge made with @GregWKaplan - it has a nice, easy to understand and succinct summary of the het agent macro & wealthy hand-to-mouth concepts and more broadly, how the transmission channels of monetary policy...1/n bit.ly/2D8PW1R