MONIA MAGNANI

 

MONIA MAGNANI

 

PERSONAL INFORMATION

Place and date of birth        Carpi (Italy), 24/01/1992

Nationality                            Italian

E-mail address                     monia.magnani@unibocconi.it

Telephone                            (+39) 3495816850

 

CURRENT POSITION

·      2024 – present: Post-doctoral researcher, Bocconi University, Milan

                GREEN research centre: “Fin4Green – Finance for a Sustainable Green and Resilient Society” project

 

EDUCATION

·      2020 – 2024: PhD in Finance, University of Liverpool Management School (UK). Dissertation submitted and final defence pending

                PhD Thesis “The Information Content of Macroeconomic Variables for Asset Price Dynamics and Portfolio Decisions”

                Supervisory team: Prof Alex Kostakis and Prof Chardin Wese Simen

·      2015 – 2018: Master of Science in Finance, major: Quantitative Finance, Bocconi University, Milan

                MSc. Thesis “Testing the Economic Value of Debt Covenants: Evidence from European Data”

·      2012 – 2014: Bachelor in Business Administration and Management, Bocconi University, Milan

·      2013: Campus Abroad Undergraduate, Northwestern University, Evanston (IL) (USA)

·      2007 – 2011: High School Diploma, Liceo Scientifico PNI Rinaldo Corso, Correggio (Italy), specialising in scientific subjects

·      2009: Intercultural program STS Exchange Student, St Philip's Christian College, Gosford (Australia)

 

PRIVATE SECTOR EXPERIENCE

·      2019 – 2020: Associate, Credit Risk Analytics (ICAAP) and Stress Testing, UniCredit S.p.A., Milan

·      2017 – 2019: Analyst, Debt Pricing and Analysis, Intesa Sanpaolo S.p.A., Milan

·      2016 – 2017: Analyst, Internal Models Market Risk and Counterparty, Intesa Sanpaolo S.p.A., Milan

 

PEER-REVIEWED PUBLICATIONS

·      Strong vs. stable: the impact of ESG Ratings Momentum and Their Volatility on the Cost of Equity Capital (with I. Berk and M. Guidolin), Journal of Asset Management, forthcoming.

·      Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings (with M. Guidolin), Risks, 2024, 12(2), 41.

·      New ESG Rating Drivers in the Cross-Section of European Stock Returns (with I. Berk and M. Guidolin), Journal of Financial Research, 2023, 46, S133-S162.

 

PUBLISHED BOOKS

·      Guidolin, M., Magnani, M., & Mazza, P. (2021). Big Data e Sentiment Analysis: Il Futuro dell'Asset Management. EGEA SpA, Milano.

 

WORKING PAPERS

·      Can Monetary Policies Inflate a Stock Market Bubble? A Regime Switching Model of Periodically Collapsing Bubbles (Job Market Paper)

We study whether and how monetary policymakers may have contributed to inflate asset price bubbles and in general what are the potentially complex, non-linear linkages between short-term policy rates and the size and expected durations of equity bubbles. In particular, we extend empirical models of periodically collapsing, rational bubbles to test whether and to what extent the long cycle of rates at the zero lower bound and of quantitative easing policies may have increased the probability of bubbles inflating and persisting, with special emphasis on the US stock market. We find that the linkages between S&P returns and rate-based indicators of monetary policies contain evidence of recurring regimes that can be characterised as one of a persisting vs. one of a collapsing bubble. Moreover, the probabilities of financial markets transitioning from a bubble to a state of (partial) collapse turns out to depend on both the initial, relative size of the bubble and on monetary policy indicators. This implies that an easier (tighter) monetary policy will inflate (deflate) a bubble through a simple, regression-style effect, but also yield a non-linear, “concave” effect by which sufficiently low (high) rates are enough for a bubble to inflate (deflate) with high probability. Besides fitting the data, the resulting, parsimonious, regime switching models provide an accurate and economically valuable predictive performance, even when transaction costs are taken into account.

 

·      Does Macroeconomic Predictability Enhance the Economic Value of Hedge Funds to Risk-Averse Investors?

The academic literature has amassed overwhelming evidence indicating that investment opportunities are hardly driven in a simplistic way by business cycle conditions, when measured by standard macroeconomic aggregates (such as the output gap and inflation). Yet, an industry exists that routinely forecasts business cycle conditions and the policy measures routinely used to manage the length and persistence of recessions and expansions. In this paper, we ask whether standard macroeconomic variables such as measures of output and effective policy interest rates may lead to risk-adjusted economic value to an already well-diversified, risk-averse investor who selects how much of her wealth to allocate to a range of common hedge fund strategies, including hedge funds as a whole. We find that while both the inclusion of hedge funds and the modelling of macro-driven predictability patterns in asset risk premia can generate non-negligible economic value in recursive, out-of-sample portfolio back-testing exercises. Such effects are maximised when hedge fund strategies are available to exploit the forecasting power of macroeconomic predictors.

 

·      Can Monetary Policies Trigger Systematic Bubbles in the Cross-Section of US Equities?

Using univariate and (independent and dependent) double sorting methods applied to the cross-section of US stock returns we test whether bubble risk is priced, whether the shocks in Federal funds shadow rate are priced and whether the latter shock to the stance of monetary policy exercise an effect on the materiality and strength of bubble risk. We find that bubble risk is priced even though this occurs to a rather peculiar “tent-shaped” decile portfolio spread that goes long in intermediate deciles characterised by small or modest exposure and that goes short in deciles implying extreme exposures, both negatively and positively signed. On the opposite, taken in isolation, monetary policy risk fails to be priced in the cross-section. Finally, the shadow rate shocks render bubble shocks irrelevant as a risk factor when conditional double sorting is applied (we first sort stocks into deciles based on their exposure to monetary policy shocks and then in deciles based on bubble shocks). Instead, when an independent double sorting is applied, bubble shock risk appears to be heavily mediated by the exposure of stocks to monetary policy risk, in the sense that only stocks characterised by low exposure to the latter preserve the exposure to the bubble risk “tent-shaped” factor isolated when monetary policy is ignored.

 

RESEARCH IN PROGRESS

·      The Colour of an (Alleged) Equity Bubble: Brown or Green? (with M. Gasparini and M. Guidolin)

 

PUBLISHED MARKET COMMENTARIES

·      2022: “Conflicting Inflationary Winds Blowing in The Fintech Sails: Why Inflation Drivers Matter to Portfolio Strategies” with M. Guidolin, (Conflicting Inflationary Winds Blowing In The Fintech Sails | Seeking Alpha)

·      2019: “Gold Glitters Out of the 'Shadow'” with M. Guidolin, (https://seekingalpha.com/article/4303741-gold-glitters-shadow)

 

ACADEMIC EXPERIENCE

·      2023: Visiting Researcher, Research Department, De Nederlandsche Bank, Amsterdam

·      2023: Teaching Assistant for Financial Econometrics and Empirical Finance – Module 2 Graduate MSc. course (20192), Bocconi University, Milan

·      2021: Instructor for Statistics – Preparatory MSc. course (20356), Bocconi University, Milan

·      2020 – 2022: Instructor for Quantitative Methods for Finance – Preparatory MSc. course (20550), Bocconi University, Milan

·      2019 – to date: Member of Baffi CAREFIN Centre with Bocconi University, Asset and Risk Management Unit (People | Baffi Carefin (unibocconi.eu)), Milan

·      2019 – 2020: Teaching Assistant for Theory of Finance – Graduate MSc. course (20135), Bocconi University, Milan

 

CONFERENCE/SEMINAR PRESENTATIONS

·      International Conference in Finance, Accounting and Banking (Southampton, September 2024)

·      Adam Smith Sustainability Conference and 2nd Annual Conference of the British Accounting Review (Edinburgh, August 2024)

·      International Risk Management Conference 2024 (Milan, June 2024)

·      2nd Conference on Sustainable Banking & Finance 2024 (Naples, June 2024)

·      DNB Internal Research Seminar (Amsterdam, September 2023)

·      JFR First European Symposium (Milan, July 2023)

 

REFEREEING ACTIVITY

·      Applied Economics

·      International Review of Economics and Finance

·      Journal of Financial Research

·      Managerial Finance

 

LANGUAGES

·      Native language:       Italian

·      Other languages:    - English (fluent)

                                       - Spanish (intermediate)

                                       - German (basic)

 

COMPUTER SKILLS

·      Microsoft Office: excellent knowledge of the software package, certificate: ECDL

·      SQL, Bloomberg: high proficiency

·      Python, Matlab, R, E-Views, SAS: working knowledge

 

Modificato il 06/11/2024