Working Papers

One Factor to Bind the Cross-Section of Returns
With Denis Chetverikov, Yukun Liu and Aleh Tsyvinski, April 2024 [NBER Working Paper #32365 | ungated pdf]

Crypto Risk Premia
with Daniele Massacci, Mirco Rubin and Dario Ruzzi, July 2022 [pdf]

Media coverage:, August 5 2022

The Economics of Non-fungible Tokens
With Yukun Liu and Aleh Tsyvinski, March 2022 [pdf]

Media coverage: Financial Times, May 13 2022 | Financial Times, May 22 2022 | Pour l'Eco, June-July 2022 | Chainlink Research Report, June 2022 | Investor's Chronicle, September 8 2022

Redistributive Taxation with Skill Biased Technologies

With Pietro Reichlin, February 2022 [pdf]

Crypto Premium: Higher-Order Moments and Tail Risk

Cryptomarket Discounts

With Kirill Shakhnov, February 2018 [pdf][BibTeX]

Limited participation and local currency sovereign debt

With Kirill Shakhnov, June 2017 [pdf+online appendix][BibTeX]

Sovereign Risk Premia (Revise and Resubmit RFS)

With Adrien Verdelhan, February 2012 [pdf,appendix,data]

2010 WRDS Best Paper Award (EFMA Conference)

ABI Country Risk Forum Best Paper Award 2010 (IRMC Conference)

Published Papers

The Cross-Section of Cryptocurrency Returns 

With Kirill Shakhnov, [pdf+online appendix], Review of Asset Pricing Studies (forthcoming)

Breakup and Default Risks in the Great Lockdown

With Giovanni Bonaccolto and Andrea Consiglio, Journal of Banking & Finance (2021) [pdf+online appendix] [published version]

The Great Lockdown: Inactive Workers and Mortality by Covid-19 

With Francesco Drago, Chiara Santantonio, and Francesco Sobbrio, Health Economics (2021) [published version] [pdf]

[also available as CEPR DP15317][VoxEu column on our paper]

Global Risk in Long-Term Sovereign Debt 

With Kirill Shakhnov, Review of Asset Pricing Studies (2021) [pdf+online appendix] [published version] [slides] [video]

Systemic Risk and the COVID Challenge in the European Banking Sector

with Giorgio di Giorgio, Journal of Banking & Finance, (2021) [pdf] [published version]

Optimal Taxation with Homeownership and Wealth Inequality

With Pietro Reichlin, Review of Economic Dynamics, Vol. 40, April 2021, pp. 64-84 [pdf] [published version]

[CEPR DP14144 version]

Regulation Spillovers across Cryptocurrency Markets

With Kirill Shakhnov, Finance Research Letters, October 2020 [pdf][Media Coverage: Mondato]

Financial Intermediaries' Asset-Liability Dependency and Low-Interest Rate Environment: Evidence from EU Life Insurers

With Rosaria Cerrone, Rosa Cocozza and Domenico Curcio, Journal of Financial Management, Markets and Institutions, Vol. 7, No. 1, 2019

Conditional Tail-Risk in Cryptocurrency Markets

Journal of Empirical Finance (Lead Article), Vol. 50, January 2019 [published version][pdf][BibTeX]

Redenomination-Risk Spillovers in the Eurozone

Economic Letters, Vol. 174, January 2019 [pdf] [policy version for in Italian]

Life Insurers' Asset-Liability Dependency and Low Interest-Rate Environment

With Rosaria Cerrone, Rosa Cocozza and Domenico Curcio, in M. Corazza, M. Durban, A. Grane', C. Perna and M. Sibillo, eds. Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, 2018

The Housing Cost Disease

With Pietro Reichlin, Journal of Economic Dynamics and Controls, Vol. 87, February 2018 [pdf][BibTeX]

[CEPR WP DP10756 version][Voxeu column based on this paper (September 8, 2015)]

Local Currency Systemic Risk 

Emerging Markets Review, Vol. 34, 2018 [pdf][BibTeX]

The Performance of Market-Timing Strategies of Italian Mutual Funds Investors 

With Alberto Cagnazzo, Economics Notes, Vol. 47: No.1, pp 5-20, 2018 [pdf]

[featured on 6/22/2015, "Why Chasing Stock Returns Could Cost You $1.9 Million"]

Sensitivity, Moment Conditions, and the Risk-Free Rate in Yogo (2006) 

with Giuseppe Ragusa, Critical Finance Review, Vol. 6: No. 2, pp 381-393, 2017 [pdf][replication files] 

Systemic Risk in the Italian Banking Industry

With Marianna Caccavaio, Giorgio di Giorgio and Alberto Sorrentino, Economic Notes, Vol. 43, 1, pp. 21-38, 2014 [link]

Systemic Risk in the European Banking Sector

With Marianna Caccavaio, Giorgio di Giorgio and Alberto Sorrentino, Rapporto Fondazione Rosselli 2012 [link]

I debiti sovrani nell'area euro: implicazioni per la gestione e la distribuzione dei prodotti di risparmio

With Filippo Russo, Rivista Bancaria, 5-6, 2011 [pdf]

Other Papers

Wealth Taxes and Inequality

With Pietro Reichlin, July 2018 [pdf] [slides] [also available as CEPR DP13067]

Closed-End Fund Discounts and Aggregate Risk

With Adrien Verdelhan, July 2009

Japanese Medium Term Cycle

With Diego Comin, 2009

Discussions Slides

Inclusion and Democratization Through Web3 and DeFi? Initial Evidence from the Ethereum Ecosystem

By Lin Cong, Ke Tang, Yanxin Wang and Xi Zhao (2023)

ASSA 2024 Meetings, January 2024

The Cryptocurrency Elephant in the Room

By Ran Duchin, David H. Solomon, Jun Tu and Xi Wang (2023)

NBER Behavioral Finance Fall Workshop, November 2023

Barriers to Global Capital Allocation
By Bruno Pellegrino, Enrico Spolaore and Romain Wacziarg
Luiss workshop, June 2022

Bank Risk-Taking and the Real Economy: Evidence from the Housing Boom and its Aftermath

By Antonio Falato, Giovanni Favara, and David Scharfstein

Conference in Honor of Francesco Giavazzi, Bocconi, September 2019