Giulio Rossetti

PhDing @ Warwick. Interested in asset pricing and financial econometrics

[Giulio Rossetti @Gi_R94]

@amedandr @halperentosun @brunoss42 @immanuelfeld @ccardonaandrade @AruhanRS @nurlan_lv @EdoardoTolva @gokul_gr @ozaneakbas @ricc_matt Congrats Ame! Very well deserved

[Amedeo Andriollo @amedandr]

🚨 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

[Warwick Economics @warwickecon]

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: https://t.co/wfwNUiu297

#EconJobMarket

[Alex Dickerson @dickerson_phd]

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, https://t.co/t7nskM5U7C, 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 https://t.co/oL4uiT0ffz, the WRDS Bond database, and the accompanying portfolio/factor construction software package PyBondLab (https://t.co/eIlLzlMxbH).
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)

[Giulio Rossetti @Gi_R94]

Check out our new Python package developed with @dickerson_phd -- great working with him! Have a look at https://t.co/Kc7adyWZ8N or see the GitHub repo https://t.co/J1upKmq90H. More info: https://t.co/zGRfz6hGqp. Any feedback is more than welcome!

[Alex Dickerson @dickerson_phd]

Excited to announce PyBondLab, a new Python package co-developed with my talented co-author @Gi_R94 . Try it out directly in Python: https://t.co/eIlLzlMxbH
Detailed examples available on the GitHub repo here: https://t.co/Rh3pmYbRA4

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 https://t.co/rPm0nFejot 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 https://t.co/VLRgkC2Hta

[Riccardo Mattiello @ricc_matt]

👉🏼 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:
https://t.co/xkyZWodLOT

@CaFoscari @unissTweet @DipEcoUnive

[Giulio Rossetti @Gi_R94]

This and other new insights in the latest version of our paper! Check it out here https://t.co/BJQiWRDFBV

[Alex Dickerson @dickerson_phd]

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).

[Alex Dickerson @dickerson_phd]

(3) The majority of our code and data are publicly available on https://t.co/PdFSkzodpa

[Alex Dickerson @dickerson_phd]

(2) We have several follow-up papers including research on microstructure bias in corporate bond asset pricing (https://t.co/WNcacSd4fm with @Gi_R94) and where we estimate over 500 trillion possible models in a Bayesian framework (https://t.co/36Mn8LxFwX with @Chris_Julliard )

[Alex Dickerson @dickerson_phd]

(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: https://t.co/9JYtEQfqUr

[Khoa Vu @KhoaVuUmn]

Why are economists upset about *causality*

[Sandro Brusco @brusco_sandro]

Il mio primo, e probabilmente ultimo, commento positivo sul governo. Non c'è Tremonti.

[Giulio Rossetti @Gi_R94]

@andrepaltry Spiegazione di contango e discussione su nat gas .. mancavano solo i futures sul succo di arancia ed era un tuffo nel passato a TOMA 2016 a uniud 😂

[Arpit Gupta @arpitrage]

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 (https://t.co/2ZuSPWi4f3). They estimate $1b investment in market -> $10b increase in price. How? 1/

[Joshua Bezaleel @joshuabezaleel]

@b0rk @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 . https://t.co/Ox1m2sfOe7

[Cyrus Samii @cdsamii]

My lunch breaks recently have been in the company of Yaser Abu Mostafa's "learning from data" lectures. What an amazing teacher. Ht @economeager

https://t.co/Ij6lKW02e2

[Johannes Bückler @JohannesBuckler]

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”.

[Marco Belinelli @marcobelinelli]

My hero

[Nike @Nike]

Mamba Forever.

[ESPN @espn]

Dear Kobe: