Gabriele La Spada

Gabriele La Spada
Department of Economics | Princeton University | Princeton, NJ 08544-1021
Phone: (505) 204-6885 | Email: [email protected] | Website: http://scholar.princeton.edu/glaspada
Placement Director: Steve Redding
Graduate Administrator: Laura Hedden
[email protected]
[email protected]
(609) 258-4016
(609) 258-4006
Education
Ph.D. Candidate in Economics, Princeton University, 2009 to present
General Examinations: Financial Economics, Econometrics
M.S., Physics, Universit`
a degli Studi di Roma “La Sapienza”, Summa Cum Laude, 2007
B.S., Physics, Universit`
a degli Studi di Milano, Summa Cum Laude, 2004
Research Interests
Primary Fields
Secondary Fields
Financial Economics, Financial Intermediation, Delegated Portfolio Management
Financial Econometrics and Market Microstructure
Research Experience
September 2014–present
July 2013
June 2013
2007–2010
2007–2009
Research Assistant for Professor Hyun S. Shin, Princeton University
Visiting Researcher, Scuola Normale Superiore di Pisa, Quantitative Finance Group
Visiting Researcher, INET at the Oxford Martin School
Visiting Researcher, Santa Fe Institute
Research Assistant for Professor J. Doyne Farmer, LUISS University
Teaching Experience
Spring 2013, 2014
Spring 2014
Fall 2011, 2012
Spring 2012
Spring 2008
FIN 591, Cases in Financial Risk Management (Graduate), Princeton University
Teaching Assistant for Professor Hyun S. Shin
ECO 363, Corporate Finance and Financial Institutions (Undergraduate), Princeton University
Teaching Assistant for Professor Hyun S. Shin
ECO312, Econometrics: A Mathematical Approach (Undergraduate), Princeton University
Teaching Assistant for Professor Andriy Norets
ECO 101, Introduction to Microeconomics (Undergraduate), Princeton University
Teaching Assistant for Professor Uwe E. Reinhardt
Quantitative Analysis of Financial Markets (Graduate), LUISS University
Teaching Assistant for Professor J. Doyne Farmer
Invited Presentations
Workshop “Games and Decisions”, Scuola Normale Superiore di Pisa, E. De Giorgi Mathematical Research
Center, July 2013
Professional Activities
Referee for Journal of Statistical Mechanics: Theory and Experiment.
2
Honors, Scholarships, and Fellowships
Towbes Prize for Outstanding Teaching, Princeton University, 2012
Princeton University, Doctoral Fellowship, 2009–2014
Universit`
a degli Studi di Roma “La Sapienza”, Scholarship, 2004–2007
Universit`
a degli Studi di Milano, Scholarship, 2001–2004
Job Market Paper
“Competition, Reach for Yield, and Money Market Funds”
Abstract: There is a concern about asset managers “reaching for yield” in a low rate environment, in
particular in competitive industries such as the money market fund industry. In this paper, I propose a
tournament model of money market funds to study this issue. I show that funds with different costs of
default react differently to macroeconomic shocks. The model points out that it is important to distinguish
low risk-free rates from high spreads. Low risk-free rates decrease risk taking. High risk premia, on the
contrary, are key to trigger risk taking. The effect, however, is heterogeneous: funds with low default costs
take on more risk, but a high cost of default might actually reduce risk taking. I show these predictions are
consistent with the risk taking behavior of MMFs during the 2006-2008 period: when risk premia increased,
funds with low sponsor’s reputation concerns increased risk taking, while funds with high sponsor’s reputation
concerns decreased risk taking. Further, I confirm the differential role of risk-free rate and spread to explain
changes in fund portfolios.
Work in Progress
“Round-off Error on Nonstationary Long Memory Processes ” (with Fabrizio Lillo)
Abstract available at http://scholar.princeton.edu/glaspada/publications
Publications
“The Effect of Round-off Error on Long Memory Processes” (with Fabrizio Lillo), Studies in Nonlinear
Dynamics and Econometrics, 18 (4), 445–482, 2014.
Pre-Doctoral Work
“Tick size and price diffusion” (with J. Doyne Farmer and Fabrizio Lillo), Econophysics of Order-driven
Markets, in F. Abergel, B.K. Chakrabarti, A. Chakraborti, and M. Mitra (eds.), Springer, 2011.
“The non-random walk of stock prices: The long-term correlation between signs and sizes” (with J. Doyne
Farmer and Fabrizio Lillo), European Physical Journal B, 64, 607–614, 2008.
Computer Skills
C, R, MATLAB, Mathematica, Stata, and Fortran
Languages
Italian (native), English (fluent), French (basic)
3
References
Professor Hyun S. Shin (main advisor)
Economic Adviser and Head of Research
Bank for International Settlements
[email protected]
Professor Markus K. Brunnermeier
Department of Economics
Princeton University
(609) 258-4050, [email protected]
Professor David Sraer
Haas School of Business, Finance Group
UC Berkeley
(510) 642-8363, [email protected]
Professor Atif R. Mian
Department of Economics
Princeton University
(609) 258 6718, [email protected]
Last updated: October 30, 2014