- Research Member
Professor Giovanna Nicodano
Biography
A Professor of Financial Economics at the University of Turin and a founding Fellow at Collegio Carlo Alberto (CCA), where I also co-founded the Master in Finance, Insurance, and Risk Management and the Centre for Research on Pensions and Welfare Policies, CeRP.
A Research Fellow of CEPR, I have served as member of the Advisory Scientific Committee of the European Systemic Risk Board. I am also Research Associate of the European Corporate Governance Institute, a Netspar International Fellow and a Steering Committee Member of the CEPR RPN in Household Finance. My main research interests are in corporate finance, household finance and asset pricing.
My research mainly deals with corporate finance and portfolio choice and was published in the Journal of Finance, the Journal of Financial Economics, the Journal of Public Economics, Management Science, the Review of Finance and Review of Financial Studies..
A recipient of the European Investment Bank Prize, I obtained my Ph.D. in Economics from Princeton University after beginning her career as assistant professor at Università Bocconi. I was a visiting scholar at CEMFI Madrid, Imperial College London, the London School of Economics, the University of Amsterdam, the University of Freiburg, the University of Haifa.
Current Projects
Our trade-off model studies optimal leverage responses to interest rates within a sponsor–backed unit structure. This setup captures organizational forms-including private equity, parent–subsidiary, and securitization arrangements- in which a sponsor provides contingent support to an affiliated unit. When interest rates fall below a cutoff, the sponsor chooses zero leverage, while the backed unit increases borrowing. Unlike stand-alone firms, whose leverage declines monotonically as interest rates fall, backed units generate higher expected default costs in low-interest-rate environments. Our results show how complex organizations can reallocate leverage toward less constrained entities, highlighting a new governance
channel shaping borrowing decisions.
Workers’ Beta and Optimal Portfolios: A Test, with F. Bagliano, R. Corvino and C. Fugazza
We test the portfolio theory with non-tradeable human capital. Our estimates reject the theory when estimates of the exposure of workers’ labour income growth to stock market returns rely solely on the temporal dimension of labour income shocks for each individual. The risk aversion parameter falls instead within the consensus range, for both stock market participants and non-participants, when we also exploit the cross-sectional covariation in income shocks. These results support the presence of local labour markets (LLM) where shocks to a part of the labour market propagate to the rest of the economy. With LLM, the worker's beta estimated for each agent over time fails to capture such propagation effects.
Interest Rates and Private Equity Pricing: A Structural Model, with M. Pisu and Luca Regis
A structural model of the PE fund and its target portfolio firm generates quantitative value predictions in line with observed ones. Lower interest rates lead to both higher valuations and higher optimal leverage.
