Giuliano Graziani
Field: Empirical Asset Pricing, Market Microstructure
Research Interests: Market Microstructure, Applied Game Theory, Empirical Asset Pricing, Financial Econometrics
(Expected) Graduation: June 2025
References
- Barbara Rindi barbara.rindi@unibocconi.it
- Mariano (Max) Croce mariano.croce@unibocconi.it
- Pasquale Della Corte p.dellacorte@imperial.ac.uk
- Riccardo Sabbatucci rsab@wharton.upenn.edu
Contact
Bocconi University,
Department of Finance, Via G. Roentgen 1, 20136, Milan (Italy)
giuliano.graziani@phd.unibocconi.it
Personal Website
JOB MARKET PAPER
"Time Series Reversal: An End-of-the-Month Perspective "
This paper introduces a novel aggregate reversal strategy that exploits monthly calendar effects. Specifically, I show that the end-of-the-month return of the S&P500 negatively correlates with one-month ahead returns. Contrary to the cross-sectional findings, strategies based on the novel aggregate pattern are extremely cost-effective, easy to implement, cyclical, and do not require short-selling. This novel pattern is consistent with pension funds’ liquidity trading to meet pension payment obligations.
WORKING PAPERS
- "Optimal Tick Size" - joint with Barbara Rindi (Bocconi University) and Bart Zhou Yueshen (SMU Singapore)
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"Manipulation-Free Trading Mechanisms: Auction Design Approach" - joint with Stefano Lovo (HEC Paris) and Barbara Rindi (Bocconi University)