Research

Research Papers

My papers are listed below.

Working Papers

  1. Trading Frictions in Dynamic Cap-and-Trade Markets
    with Yukun Liu, Aleh Tsyvinski and Xi Wu (Submitted). NBER Working Paper #35356, June 2026. arXiv SSRN. This paper subsumes the earlier Inefficiencies of Carbon Trading Markets (arXiv).

    Abstract

    We develop a dynamic stochastic model of markets with an externality and multiple trading frictions, and cap-and-trade as the leading application. Slow participation, limited intermediation, and heterogeneous information interact in equilibrium: agents choose costly market access, access determines residual compliance demand, intermediary constraints translate residual demand into a surrender-month premium, and the premium feeds back into access incentives. These interactions shape how effectively the market corrects the externality. We characterize access choices in closed form, prove that the equilibrium premium is unique, and show that endogenous access dampens the response to each friction in isolation, while the interaction of multiple frictions is non-additive and can amplify the price response. We quantify the model using 2.7 million EU ETS registry transactions and compliance records from 2005-2021. About 40% of operators do not trade annually, purchases concentrate in April when returns are systematically high, and operator flow predicts future returns.

  2. Forward Selection Fama-MacBeth Regression with Higher-Order Asset Pricing Factors
    with Denis Chetverikov, Yukun Liu and Aleh Tsyvinski (Submitted). NBER Working Paper #33663, April 2025. arXiv SSRN

    Abstract

    We show that the higher-order terms and interactions of the common sparse linear factors are significantly priced in the cross-section of equity returns. A higher-order model with only a small number of selected higher-order terms from six widely used factors outperforms traditional benchmarks both in-sample and out-of-sample. It also substantially reduces the alphas of the extensive factor zoo, suggesting that the pricing power of many zoo factors is attributable to their exposure to higher-order terms of common linear factors. We identify and rank the most relevant higher-order terms by developing a forward selection Fama-MacBeth procedure.

  3. One Factor to Bind the Cross-Section of Returns
    with Denis Chetverikov, Yukun Liu and Aleh Tsyvinski (Revise and Resubmit, Journal of Finance). NBER Working Paper #32365, April 2024. arXiv SSRN

    Abstract

    We propose a new non-linear single-factor asset pricing model. Despite its parsimony, this model represents exactly any non-linear model with an arbitrary number of factors and loadings - a consequence of the Kolmogorov-Arnold representation theorem. It features only one pricing component, comprising a nonparametric link function of the time-dependent factor and factor loading that we jointly estimate with sieve-based estimators. Using 171 assets across major classes, our model delivers superior cross-sectional performance with a low-dimensional approximation of the link function. Most known finance and macro factors become insignificant controlling for our single-factor.

  4. Crypto Risk Premia
    with Daniele Massacci, Mirco Rubin and Dario Ruzzi. Featured in Risk.net, August 5 2022.

  5. The Economics of Non-fungible Tokens
    with Yukun Liu and Aleh Tsyvinski (Submitted). Media coverage: Financial Times, Pour l’Eco, Chainlink Research Reports, and Investor’s Chronicle.

  6. Redistributive Taxation with Skill Biased Technologies
    with Pietro Reichlin.

  7. Crypto Premium, Higher-Order Moments and Tail Risk
    with Paolo Santucci de Magistris. Online Appendix

  8. Wealth Taxes and Inequality
    with Pietro Reichlin. CEPR Discussion Paper No. 13067, July 2018. Slides

  9. Limited Participation and Local Currency Sovereign Debt
    with Kirill Shakhnov.

  10. Sovereign Risk Premia
    with Adrien Verdelhan. Winner, WRDS Best Paper Award, EFM 2010; ABI Best Paper Award on Country Risk Assessment, 2010. Data

  11. Closed-End Funds and Aggregate Risk
    with Adrien Verdelhan.

Publications

  1. Cryptocurrency: Coming of Age as an Investable Asset Class
    with Yukun Liu, Aleh Tsyvinski and Xi Wu. Annual Review of Financial Economics, Vol. 18, 2026. arXiv SSRN

    Abstract

    We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find important similarities with traditional markets: risk-adjusted performance so far is broadly comparable, and the cross-section of returns can be summarized by a small set of factors. However, cryptocurrency also has its own distinct character: jumps are frequent and large, and blockchain information helps drive prices. This common set of stylized facts provides evidence that cryptocurrency is emerging as an investable asset class. Additionally, we discuss potential data quality issues and possible changes in future regulations and the cryptocurrency environment.

  2. Systemic Risk in the European Insurance Sector
    with Giovanni Bonaccolto, Andrea Consiglio and Giorgio Di Giorgio. Journal of Financial Stability, Vol. 84, 2026. arXiv

    Abstract

    This paper studies systemic-risk connectedness in the European insurance sector at three levels of granularity: across major segments of financial markets, across insurance subsectors, and across individual insurance companies. Using a common connectedness framework applied to returns, volatility, value-at-risk, and expected shortfall, we document that insurers are an important component of systemic-risk connectedness, especially during stress episodes. We also provide reduced-form evidence on economically relevant channels in the European institutional setting: aggregate insurer spillovers co-move with term spreads, sovereign spreads, and funding stress, and firm-level insurer-to-bank spillovers vary with sovereign risk and domestic sovereign-bond home bias in a way consistent with a balance-sheet channel. The analysis further reveals substantial heterogeneity across subsectors and identifies a stable core of systemically central insurers in firm-level networks.

  3. Cryptomarket Discounts
    with Kirill Shakhnov. Journal of International Money and Finance, 139, December 2023.

  4. The Cross-Section of Cryptocurrency Returns
    with Kirill Shakhnov. Review of Asset Pricing Studies, Vol. 12, No. 3, September 2022, pp. 667-705.

  5. Systemic Risk and the COVID Challenge in the European Banking Sector
    with Giorgio Di Giorgio. Journal of Banking & Finance, Vol. 140, July 2022.

  6. Breakup and Default Risks in the Great Lockdown
    with Andrea Consiglio and Giovanni Bonaccolto. Journal of Banking & Finance, September 2021. Published version

  7. The Great Lockdown: Inactive Workers and Mortality by Covid-19
    with Francesco Drago, Chiara Santantonio and Francesco Sobbrio. Health Economics, Vol. 30, No. 10, September 2021, pp. 2376-2382. VoxEU column

  8. Global Risk in Long-Term Sovereign Debt
    with Kirill Shakhnov. Review of Asset Pricing Studies, Vol. 11, No. 3, September 2021, pp. 654-693. Published version

  9. Optimal Taxation with Homeownership and Wealth Inequality
    with Pietro Reichlin. Review of Economic Dynamics, Vol. 40, April 2021, pp. 64-84.

  10. Regulation Spillovers across Cryptocurrency Markets
    with Kirill Shakhnov. Finance Research Letters, Vol. 36, October 2020.

  11. Conditional Tail-Risk in Cryptocurrency Markets
    Journal of Empirical Finance, Vol. 50, January 2019, pp. 1-19.

  12. Redenomination-Risk Spillovers in the Eurozone
    Economics Letters, Vol. 174, January 2019, pp. 173-178.

  13. The Housing Cost Disease
    with Pietro Reichlin. Journal of Economic Dynamics and Control, Vol. 87, February 2018, pp. 106-123.

  14. Local Currency Systemic Risk
    Emerging Markets Review, Vol. 34, 2018, pp. 111-123.

  15. 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. Replication files

Books and Chapters

  1. A Bloomberg Terminal Primer: Revised Edition, I Quaderni di Minerva Bancaria, 2024.

  2. A Bloomberg Terminal Primer, I Quaderni di Minerva Bancaria, 2018.

  3. Corporate Finance in the Age of Fintech, in Topics in Corporate Finance: Challenges, Opportunities, Debates, and Trends, Springer Nature Switzerland, Cham, 2026, pp. 151-170. arXiv

    Abstract

    Blockchain is a technological innovation that has the potential to radically change our financial markets by providing an alternative management approach to the “promise market”, which is the foundation of our financial systems. Its disruptive potential also extends to corporate finance, where blockchain is beginning to influence valuation methods and capital allocation strategies, offering new perspectives on how companies are assessed and financed. However, for a new financial architecture based on blockchain and advancements in technology - what is commonly referred to as Fintech - to replace, in whole or in part, traditional finance, it will need to overcome significant challenges such as regulation, environmental sustainability, its association with illegal activities, and achieving greater efficiency in cryptocurrency markets. For this reason, the future of Fintech is likely to be more conventional - yet also more transparent, efficient, and regulated - ultimately evolving to resemble the traditional finance we know.

  4. The COVID-19 Challenge to European Financial Markets. Lessons from Italy, in M. Billio and S. Varotto, eds., A New World Post COVID-19, Edizioni Ca’ Foscari, 2020, pp. 137-148.

  5. 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.

Other Publications

  1. European Equity Markets, SMEs and the Growth Challenge
    with Giorgio Di Giorgio. Rivista Bancaria, 1, pp. 9-52, 2024.

  2. Fintech: scenari possibili e sfide per una possibile finanza del futuro
    Rivista di Politica Economica, Vol. 2, 2022.

  3. 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.

  4. The Performance of Market-Timing Strategies of Italian Mutual Fund Investors
    with Alberto Cagnazzo. Economic Notes, Vol. 47, No. 1, pp. 5-20, 2018.

  5. L’asset allocation in presenza di tassi di interesse negativi
    with Enrico Maria Cervellati, Domenico Curcio and Antonio Fasano. I Quaderni di Minerva Bancaria, 2016.

  6. Systemic Risk in the Italian Banking Industry
    with Marianna Caccavaio, Giorgio Di Giorgio and Alberto Sorrentino. Economic Notes, 43, 1, pp. 21-38, 2014.

  7. 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.

  8. System Risk in the European Banking Sector
    with Marianna Caccavaio, Giorgio Di Giorgio and Alberto Sorrentino, in G. Bracchi and D. Mascianadaro, eds., La Banca Commerciale nella Crisi dei Mercati, Fondazione Rosselli, EDIBANK, 2012.

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Nicola Borri