Professor of Econometrics
Patrick Gagliardini is Full Professor of Econometrics and Dean of the Faculty of Economics at the Università della Svizzera italiana. He has been an SFI faculty member since 2008 and held an SFI Junior Chair from 2008 to 2012. He obtained his PhD in Econometrics from the Università della Svizzera italiana. Prof. Gagliardini’s papers have been published in the top academic journals in finance, economics, and financial econometrics.
His main research interests lie in financial econometrics, with applications to credit risk and asset pricing models.
In recent research, Prof. Gagliardini and his co-authors seek to determine the way equity risk premia evolve with time. The novelty of their approach consists in using large panels of returns on individual stocks, instead of portfolios, to avoid possible aggregation biases. When using a conditional linear factor model estimated on the return histories of thousands of US stocks during a 45-year period, their study reveals that risk premia are large and volatile in crisis periods, and follow macroeconomic cycles. Further empirical analysis shows that asset pricing restrictions are rejected for a conditional four-factor model capturing market, size, value, and momentum effects.