Assistant Professor of Finance
Alberto Plazzi is SFI Assistant Professor of Finance at the Università della Svizzera italiana and held an SFI Junior Chair from 2010 to 2014. He obtained his PhD in Finance from the University of California, Los Angeles. Prof. Plazzi is a regular speaker at finance conferences worldwide and his papers have been published in top academic journals.
Listen to Prof. Alberto Plazzi speak about his research.
His research interests include empirical asset pricing, institutional investor behavior, and real estate finance.
In a recent paper, Prof. Plazzi and his co-authors investigate the profitability of investing in international stock markets by exploiting predictable asymmetries in return distributions. To this end, they propose a novel estimator for conditional skewness of long-horizon returns. In a large panel of international data, the optimal portfolio is tilted toward emerging countries, as they are more favorably skewed. The resultant weight on emerging markets is some 20–30 percent larger than that suggested by models based on mean-variance predictors. Much of the portfolio gains originate from the component of skewness that is unrelated to world skewness, and is unspanned by a country’s macroeconomic and financial variables. Investing in emerging markets seems to be about expectations of a higher upside than downside.