Thesis Title: Asset prices formation and financial integration
Abstract: My research examines the impact of financial market integration on asset pricing, particularly within European markets. Building on key principles of empirical asset pricing, it acknowledges the compensation for systematic risk while exploring the challenges posed by market imperfections, which hinder full financial integration, leading to price disparities even among assets with similar characteristics. The European Union serves as a focal point, highlighting the importance of financial integration for effective monetary policy across the Eurozone. Despite the adoption of a single currency and efforts toward harmonization, significant disparities persist in financial markets among EU countries. This research seeks to understand how fluctuations in financial integration influence the fundamental determinants of asset prices. It will examine how market integration across countries affects the exposure of asset prices to various risk factors and the associated risk premia. By analyzing these dynamics, the study aims to provide insights into the evolving landscape of European financial markets. The findings will be relevant for both academics and policymakers, offering a deeper understanding of how financial integration, or the lack of it, impacts the pricing of assets across different economic environments.
Primary Supervisor: Paolo Zaffaroni
Publications: Casarin, R. and Veggente, V. (2021), Random Projection Methods in Economics and Finance. In Petr, H., Uddin, M.M., and Abedin, M. Z. (ed), The Essentials of Machine Learning in Finance and Accounting, Chapter 6, Routledge, Taylor & Francis.
Billio, M., Casarin, R., Costola, M., and Veggente, V. (2024), Learning from experts: Energy efficiency in residential buildings. Energy Economics, 136, 107650.
Social Media: www.linkedin.com/in/veronica-veggente-ba2476168