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Francesco Franzoni Professor of Finance, USI Lugano Senior Chair, Swiss Finance Institute Research Fellow, CEPR Ph.D.
in Economics, 2002, Massachusetts Institute of Technology Email: francesco.franzoni@usi.ch Twitter:
@FranzFranzoni Address: Via G.
Buffi 13 6904, Lugano - Switzerland Tel.: +41 58 666 4117 Fax: +41 58 666 4734 |
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Teaching Material (Ph.d.) Published
Research Papers ·
Ben-David I., Franzoni F.,
Moussawi R., Kim B. (2022), Competition for Attention in the ETF Space, Review of Financial Studies, Volume 36, Issue 3, 987–1042. Virtual Finance Seminar in Corporate Finance and
Investments (on youtube) In the news: -
MarketWatch, October 31, 2023, The new
spot-bitcoin ETFs are likely to disappoint, by Mark Hulbert -
Financial
Times Alphaville, October 23, 2023, ETFantasmagoria, by Robin Wigglesworth -
Financial
Times,
Op-Ed, February 2, 2023, From marijuana to the metaverse:
specialised ETFs underperform, by Francesco Franzoni - Barron’s, December 9, 2022, ARK Innovation and Others Offer Tempting ‘Thematic’
ETFs. Just Say No, by
Karishma Vanjani -
Financial
Times,
October 28, 2022, Five of the worst ETF first-year performances are
crypto-related, by Steve Johnson -
Financial
Times,
April 11, 2022, Thematic funds triple share of global investments in
a decade, by
Steve Johnson - ETF Stream, March 29, 2022, More timing than trend? Thematic ETFs yet to prove critics wrong, by Tom Eckett - CityWire, March 18, 2022, Are thematic ETFs stupid? by Alex Rosenberg -
Financial
Times,
March 03, 2022, Thematic ETFs tend to
launch just before a steep fall in returns, by Emma Boyde -
Rational
Reminder, January 27, 2022, Lighting your Money on Fire with Thematic ETFs (episode 185, minute
25) -
MarketWatch, May 04, 2021, Why you should worry
about the flood of new cash into U.S. stock funds, by Mark Hulbert -
Alpha
Architect,
May 03, 2021, Competition for attention in the ETF space, by Tommi Johnsen -
Financial
Times,
March 24, 2021, Thematic ETF assets surge to new record buoyed by
Ark funds, by Emma Boyde -
Wall
Street Journal,
February 5, 2021, New ETFs, Forced to Chase Trends, Shorten Their Own Lives, by Mark Hulbert -
Reuters, January 27, 2021, Column: Bubble-wary
markets eye ETF crush in tech and crypto, by Mike Dolan -
Financial
Times,
January 26, 2021, Thematic ETFs can deliver significant losses, academics find, by Emma Boyde -
Bloomberg, January 21, 2021, Day-Trader Frenzy for Trendy Stocks Is Defying
Decades of Losses, by Yakob Peterseil -
Wall
Street Journal,
January 15, 2021, The Story Behind the Market’s Hottest Funds, by Jason Zweig ·
Di Maggio M., Egan M., Franzoni F.
(2022), The Value of Intermediation in the Stock Market, Journal of Financial Economics, Volume 145, Issue 2, Part A,
208-233. ·
Ben-David I., Franzoni F.,
Moussawi R., Sedunov J. (2021), The Granular Nature of Large Institutional Investors, Management
Science, 67(11), 6629–6659, lead
article. Harvard Law School Forum on Corporate Governance and
Financial Regulation Post Stigler Center Pro-Market Blog Post ·
Cotelioglu E., Franzoni F. and
Plazzi A. (2021), What Constrains Liquidity Provision? Evidence From
Institutional Trades, Review of Finance, 25(2),
485–517. ·
Barbon
A., Di Maggio M., Franzoni F., Landier A. (2019), Brokers and Order Flow Leakage: Evidence from Fire
Sales, Journal
of Finance, 74(6), 2703-2705, lead article. ·
Ben-David I., Franzoni F.,
Moussawi R. (2019), A Note to “Do ETFs
Increase Volatility?”: An Improved Method to Predict Assignment of Stocks in
to Russell Indexes, Journal of Finance, Replications and Comments (web-only). ·
Franzoni F., Giannetti M. (2019), Costs and Benefits of Financial Conglomerate
Affiliation: Evidence from Hedge Funds, Journal of Financial Economics, 134(2), 355-380. ·
Di
Maggio M., Franzoni F., Kermani A., Sommavilla C.
(2019), The Relevance of Broker Networks for Information
Diffusion In the Stock Market, Journal of Financial Economics, 134(2), 419-446. ·
Ben-David I., Franzoni F.,
Moussawi R. (2018), Do ETFs Increase Volatility? Journal of Finance, 73(6), 2471-2535, lead article. ·
Franzoni F. and Schmalz M. (2017). Fund Flows and Market States. Review of Financial Studies,
30(8), 2621-2673. ·
Ben-David I., Franzoni F., Moussawi
R. (2017). Exchange Traded
Funds (ETFs). Annual Review of Financial
Economics, 169-189. NBER
Working Paper No. 22829 ·
Ben-David
I., Franzoni F., Landier A., Moussawi R. (2013). Do hedge funds
manipulate stock prices? Journal of Finance, 68(6),
2383-2434. ·
Ben-David I., Franzoni F., Moussawi
R. (2012). Hedge Fund Stock Trading in the Financial Crisis of
2007-2009. Review of Financial Studies, 25(1), 1-54, lead article. ·
Franzoni F., Nowak
E., Phalippou L. (2012). Private equity performance and liquidity risk, Journal
of Finance, December, 2341-2373. Internet Appendix ·
Franzoni F. (2009). Underinvestment vs.
Overinvestment: Evidence From Price Reactions To Pension
Contributions. Journal of Financial Economics,
92(3), June,
491-518. ·
Adrian T., Franzoni F. (2009). Learning about beta:
Time-varying factor loadings, expected returns, and the conditional CAPM. Journal of Empirical Finance, 16(4), September, 537-556. ·
Franzoni F., Marin J. (2006). Pension Plan Funding
and Stock Market Efficiency. Journal of Finance,
April, 921-956. ·
Franzoni F., Marin J. (2006). Portable Alphas From Pension Mispricing. Journal of Portfolio Management, Summer, 2006, 44-53. Working Papers ·
Franzoni F., Giannetti M., Tubaldi
R. (2023), Supply Chain Shortages, Large Firms’ Market Power,
and Inflation Abstract: We suggest an equilibrium
mechanism for the widely debated argument that “greedflation”
has fostered widespread price hikes. We construct firm and industry-level
measures of supply chain backlogs and delivery delays and provide evidence
that supply chain shortages lead to a decrease in competition at the industry
level. We show that “star” firms acquire market shares and increase their
markups and profitability relative to the smaller firms in the industry. We
also show that the large increase in supply chain backlogs during the
COVID-19 pandemic can help explain about 19% of the US inflation in
industries with more asymmetric firm size distribution, where supply chain
shortages are more likely to benefit large firms at the expense of smaller
firms. Economic magnitudes are comparable in the international sample. ·
Franzoni F., Obrycki D., Resendes
R. (2022), The Wealth Creation Effect in Stock Returns Abstract: In the asset pricing literature,
higher investment is associated with lower expected stock returns. On the
other hand, practitioners view investment as a value-creating activity when
it generates payoffs above the cost of capital. The paper reconciles these
views. Starting from a discounted cash-flow tautology, we argue that expected
returns correlate positively with expected investment whenever the return on
equity is large enough. We label this prediction the wealth creation effect.
The empirical evidence supports this channel. The interaction of
profitability and investment positively correlates with stock returns
controlling for the usual characteristics. A wealth creation factor earns a
premium of about 24bps per month leading to sizeable Sharpe ratio
improvements relative to popular factor models. ·
Di Maggio M., Franzoni F., Kogan
S., Xing R. (2021), Avoiding
Volatility: Institutional Trading Before Scheduled News Abstract: The paper studies institutional trading ahead of
scheduled information releases, notably earnings announcements. While
scheduled news are known to be preceded by sizeable stock returns, we find
that institutional investors on average forego part of these premia as they decrease their exposure to the stocks
involved in these events. This behavior appears to be motivated by the
avoidance of stock-level volatility and extreme downside risk. Although the
effect of a single stock holding on fund performance is small, we identify a
new friction that motivates institutional behavior. Specifically, strongly
negative earnings announcement returns for a single portfolio holding lead to
substantially larger outflows. Reducing the exposure to the stock before the
announcement mitigates these outflows. ·
Di
Maggio M., Franzoni F., Massa M., Tubaldi R. (2020), Strategic Trading as a Response to Short Sellers Abstract: We study empirically whether short
selling deters the incorporation of positive information. We find a sizeable
reduction of positive information impounding before earnings announcements
for stocks more exposed to short selling. The price pressure of short sales
cannot explain this effect. Rather, consistent with strategic behavior,
investors with positive views slow down their trades when short sellers are
also present. Furthermore, they break up their buy trades across multiple
brokers, suggesting they wish to prevent their information from leaking. The
findings suggest that short selling can hinder price discovery when investors
receive different information signals. ·
Franzoni F. (2008), The changing nature of market risk Abstract: In the first three decades of CRSP data, value stocks have higher
betas than growth stocks. Later on, the ranking is reversed and the gap in
beta widens. What makes growth strategies nowadays bear more market risk than
value strategies? What are the causes of the reversal in the ranking of
betas? The paper argues that the negative link between beta and BM is due to
growth options. The shift of listed firms towards more growth-oriented
businesses has progressively changed the nature of market risk. The ultimate
determinant of this evolution is conjectured to be financial market
development, which has lowered the cost of capital. For this reason, the
facts described in this paper resonate with other long-run phenomena, such as
the rise in idiosyncratic risk and the R&D boom. ·
Franzoni F. (2002), Where is beta going? The riskiness of value and small stocks (cite as:
Ph.d. Thesis, Massachusetts Institute of
Technology) Abstract: This paper finds that the market betas of value and
small stocks have decreased by about 75% in the second half of the twentieth
century. The path of beta can be closely tracked using variables that summarize
the state of the economy. On the basis of this analysis, the decline in beta
can be related to a long-term improvement in economic conditions that made
these companies less risky. Decomposing beta into the cash flow and expected
return news components confirms that the payoffs of these companies are less
sensitive to market conditions. This finding has implications for the debate
on the CAPM anomalies. Media clips MarketWatch, October 31, 2023, The new spot-bitcoin ETFs are likely to disappoint, by Mark Hulbert Financial Times Alphaville, October 23,
2023, ETFantasmagoria, by Robin Wigglesworth Alpha Architect, October 2, 2023, The democratization
of investing and the evolution of ETFs, by Tommi
Johnsen Roger Montgomery – Market Commentary, September 11, 2023, The Themed ETF Trap Clayton County Register, September 10, 2023, The Perils of
Investing in Thematic ETFs, by Emmanuel Ellerbee Behavioral Investment, July 25, 2023, Why do thematic
funds fail?, by Joe Wiggins Wall Street Journal, March 22, 2023, Credit Suisse
Write-Off Upends European Bank Capital Bonds, by Josh Mitchell and Anna Hirtenstein Corriere del Ticino,
February 18, 2023, ETF
«tematici»: più rischiosi, meno redditizi e sopravvalutati, by
Dimitri Loringett (in Italian) Financial Times, Op-Ed, February 2, 2023, From
marijuana to the metaverse: specialised
ETFs underperform, by Francesco Franzoni Barron’s, December 9, 2022, ARK Innovation and Others Offer Tempting ‘Thematic’
ETFs. Just Say No, by Karishma Vanjani Financial Times, October 28, 2022, Five of the worst ETF first-year performances are
crypto-related, by Steve Johnson Financial Times, October 17, 2022, IMF calls on policymakers to re-examine ETF risks, by Emma Boyde Financial Times, April 11, 2022, Thematic funds triple share of global investments in
a decade, by
Steve Johnson ETF Stream, March 29, 2022, More timing than trend? Thematic ETFs yet to prove
critics wrong, by Tom Eckett CityWire, March 18, 2022, Are thematic ETFs stupid? by Alex Rosenberg Financial Times, March 03, 2022, Thematic ETFs tend to
launch just before a steep fall in returns, by Emma Boyde Rational Reminder, January 27, 2022, Lighting your Money on Fire with Thematic ETFs (episode 185, minute
25) Finanz und Wirtschaft, November 24. 2021, Eine passive
Revolution mit Schönheitsfehlern (in German) MarketWatch, May 04, 2021, Why you should worry about
the flood of new cash into U.S. stock funds, by Mark Hulbert Financial Times, March 24, 2021, Thematic ETF assets surge to new record buoyed by
Ark funds, by Emma Boyde Wall Street Journal, February 5, 2021, New ETFs, Forced to Chase
Trends, Shorten Their Own Lives, by Mark Hulbert Reuters, January 27, 2021, Column: Bubble-wary
markets eye ETF crush in tech and crypto, by Mike Dolan Financial Times, January 26, 2021, Thematic ETFs can deliver significant losses, academics find, by Emma Boyde Bloomberg, January 21, 2021, Day-Trader Frenzy for Trendy Stocks Is Defying
Decades of Losses, by Yakob Peterseil Wall Street Journal, January 15, 2021, The Story Behind the Market’s Hottest Funds, by Jason Zweig Seeking Alpha, August 27, 2020, The Impact Of Concentration Of Assets At
Institutional Fund Managers, by Larry Swedroe Le Temps, August 24, 2020, Big is not beautiful, by Jean Keller (in French) Financial Times, August 8, 2020, Top 10 institutional investors fuel market
volatility, study finds, by Chris Flood Finnews.ch, October 2, 2019, Some Investors Have To Do The Heavy Lifting, by Claude Baumann Forbes, April 17, 2019, Concentration In The Asset Management Industry:
Implications For Corporate Engagement, by Bob Eccles Finanz und Wirtschaft, Institutionelles Anlegen, October 27, 2018, Gefahren Im ETF-Markt, (English translation) Investir, August 15, 2018, L’impact des ETF
sur la volatilité des marches, by Fabio Lopes (in French) Wall Street Journal, July 19, 2018, ETFs Ruffle Markets, by Asjylyn Loder Finanz und
Wirtschaft, June 23, 2018, Wenn passive Anlagen Sorgen bereiten (in German) Neue Zürcher Zeitung, June 21, 2018, ETF machen den Markt volatile, by Christof Leisinger (in German) Le Temps, June 20, 2018, Les ETF augmentent l’instabilité
des marchés, by
Mathilde Farine (in French) CNBC, February 14, 2018, Insider trading is still rampant on Wall Street, two
new studies suggest, by Thomas Franck The Economist, February 8, 2018, Insider trading has been rife on Wall Street,
academics conclude. Swiss National Radio (RSI 1), Modem, February 7, 2018, Discussing the Market Drop of February 5, 2018 (in Italian). Financial Times, February 5, 2018, ETF growth is in danger of devouring capitalism, by Robin Wigglesworth Bloomberg View, December 14, 2017, Broker Leaks, by Matt Levin MarketWatch, November 17, 2017, Fears grow that popularity of ETFs is a ticking time
bomb, by
Ryan Vlastelica Finanz und Wirtschaft, September 9, 2017, ETF führen zu stärkeren
Kursausschlägen, by Sandro Rosa Dealbreaker, July 11, 2017, In The Dog-Eat-Dog World Of Asset Management, Prime
Brokers Are Vultures, by Owen Davis Wall Street Journal, MoneyBeat Blog, June
21, 2017, Are Activists Being Sabotaged by Their Brokers?, by Alexander Osipovich Institutional Investor, June 20, 2017, Brokers May Be Giving Away Investors’ Best Ideas Bloomberg View, June 20, 2017, Bank Relationships and Index Rules (scroll down to
Leaky Brokers section), by
Matt Levine 6th Swiss Asset Management Day, April 6,
2017, Panel Discussion on Private Markets, Active
Management, and Hedge Funds ETF.com, December 28, 2016, ETFs A Double-Edged Sword, by Larry Swedroe Alpha Architect, December 8, 2016, A Really Cool Paper (and Graphic) on ETFs, by Wesley R. Gray Financial Times, November 17, 2016, Debate Intensifies over ETFs’ Impact on Markets. Bloomberg View, November 8, 2016, Broker Networks, by Matt Levine Chief Investment Officer, August 4, 2016, How Investment Management Giants Cause Volatility, by Amy White Financial Times, February 1, 2015, Has the death knell of active management been rung
too soon?, by
Robert Pozen and Theresa Hamacher PBS Newshour, September
12, 2014, Why is Wall Street becoming more bipolar? Alphaville (Financial Times), May 1, 2014, When ETFs make things
more volatile, by Izabella Kaminska Reuters, April 30, 2014, A volatile love affair with exchange funds and
indexes, by
Mike Dolan IFR, September 25, 2013, Investing when the tide goes out, by James Saft Wall Street Journal, December 6, 2012. Article citing the “Do Hedge Funds Manipulate Stock
Prices?” paper TheStreet.com, August 2, 2012, ETF Arbitrage May Be Driving Market Volatility Plus–Il
Sole 24 Ore, February 18, 2012, Rischio arbitraggi fra prezzi e Nav, by
Gianfranco Ursino WealthAdviser, February, 2012, ETFs, arbitrage and contagion: a potential link?, Wall Street Journal, The Intelligent Investor, December 24, 2011, Now That's Performance Art, by Jason Zweig HandelsZeitung, December, 2011, Alphatiere Auf Abwegen Research News at OSU, 25 August, 2011, Hedge Funds Sold Stocks Quickly During Financial Crisis,
Hurting Mutual Fund Investors, by Jeff Grabmeier Insider Monkey, June, 2011, Do hedge funds manipulate stock prices?, Il Mondo, June, 2011, Così l’Hedge gioca con i prezzi, by Fabio
Sottocornola AllAboutAlpha.com, March 2, 2011, Hedge
funds and “stock manipulation”: Perpetrators, accomplices or just in the wrong
place at the wrong time (again)?, Il Mondo, December, 2010, Mosse tattiche da Hedge, by Fabio
Sottocornola AllAboutAlpha.com, August 30, 2010, Under the hood: Ground breaking private equity study
examines actual investments, not just funds, AllaboutAlpha.com, AllAboutAlpha.com, March 14, 2010, Study: Hedge funds’ role in 2008 market drawdown
“questionable” CFA digest, 2006, Pension Plan Funding
and Stock Market Efficiency, by Lester C. Cheng |
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