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Luca Pezzo, Ph. D.

Assistant Professor

Contact

504-280-6602
lpezzo@uno.edu
Personal Website
Education
  • Ph.D, Washington University in St. Louis - Olin Business School, St.Louis, MO
  • M.S. in Finance, Bocconi University, Milan, Italy
  • B.A. in Business Administration, Bocconi University, Milan, Italy
About

Courses Taught:

Undergraduate: Investments, Portfolio Analysis, Derivatives Analysis, Statistics, Econometrics.

Master of Finance: Portfolio Analysis, Derivatives Analysis.

MBA: Investments. DBA/MSF: Research Methods in Finance.

Ph.D.: Econometrics, Derivatives, Investment theory, Macroeconomics.

Research Interests

I am broadly interested in asset pricing theory and empirics. My agenda is structured around the following couple of questions:

  1. What are the determinants of the wedge between theoretical and actual prices in financial markets?
  2. What are the implications for investment decisions?

The pricing of a non-trivial class of equilibrium models is rejected besed on the last century of U.S. stock market data. and investors can profit from it. Transaction costs are one determinant of the wedge. They are typically neglected in theory models but far from being second order in many realities. For example, minimizing over transaction costs In the very liquid FX market dramatically increse the after cost performance. As another example, proportional and fixed costs in the much less liquid real estate market, in the form of brokerage fees and opportunity costs, can also play an important role in the investment decision process.

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