Raife Giovinazzo: Finance Job Market Candidate

CURRICULUM VITAE

DOCTORAL COMMITTEE
Eugene F. Fama, 773-702-7282 eugene.fama@chicagogsb.edu.
Andrea Frazzini, 773-702-8471 andrea.frazzini@chicagogsb.edu.
Tobias J. Moskowitz, (co-chair) 773-834-2757 tobias.moskowitz@chicagogsb.edu.
Abbie J. Smith, 773-702-7295 abbie.smith@chicagogsb.edu.
Richard H. Thaler, (co-chair) 773-702-5208 richard.thaler@chicagogsb.edu.

JOB MARKET PAPER
• Asset Intensity and the Cross-Section of Stock Returns
This paper tests the hypothesis that many investors overlook persistent firm differences in the amount of investment required to grow sales and profits. I focus on asset-intensity (operating assets/sales) as a proxy for the net investment a firm needs to attain a given growth rate and show that firms with heavy (light) asset-intensity have lower (higher) subsequent stock returns. A long/short portfolio based on this effect yields abnormal returns around 0.4% per month. Asset-heavy stocks miss consensus analyst earnings forecasts 16% more often than asset-light stocks, suggesting investor forecast error is the source of the return difference. Consistent with the hypothesis that investors make a mistake about the investment required to grow, asset-intensity is a stronger predictor when expected or ex-post investment is high.

WORKING PAPERS
• Do Option Prices Contain Information Missing from Stock Prices?
Yes, insomuch as option prices forecast weekly and monthly stock returns. Using stock options from 1996 to 2004, I analyze put-call parity discrepancies by calculating the expected riskless return on a hedged portfolio of buying the stock and selling the synthetic forward. I find substantial variation in the riskless rate; about 30% of stock-option combinations have expected riskless returns above the risk-free rate. Using the expected riskless returns as a signal, an equal-weight strategy trading the top-decile-minus-bottom decile of stocks earns abnormal returns of about 0.8% per month. Options are better predictors of stock returns among stocks with low average trading volume, especially at times with abnormally high volume, suggesting that option prices may contain information about liquidity shocks in the underlying stock.

RESEARCH IN PROGRESS & ESSAYS
• Switching Between Value & Growth
Value stocks earn higher returns than growth stocks because some value stocks switch to being growth stocks. I build and calibrate a simple model of stocks switching from value to growth.
• Required Returns on Value & Growth Firms
I test the hypothesis that the high realized return on value stocks is due to an unexpected decline in the required return on value firms. First, earnings yields on value stocks have declined significantly since the 1960s and are now often negative. Second, the actual growth rate of dividends and earnings is much lower than the growth rate implied by prices. Third, value firms have low return-on-equity and low return-on-new-investment suggesting managers of value firms do not require a high return on investment.
• Compensation in the Form of Human Capital
By working, workers increase their future wages—i.e., their human capital is increased. If firms control the creation of this human capital, then firms can barter human capital for wages. Using a simple model and aggregate data, bartered human capital could be up to 25% of young peoples observed wages.
• Essay: Patents, Copyrights and the Supply of Invention
Patents and copyrights give a legal monopoly to charge high prices. High prices create deadweight loss on inventions we would have gotten anyway, but they create consumer surplus on inventions we only got because of the patent/copyright incentive. I propose a rule of thumb for estimating this loss and surplus.

TEACHING
Raife's Teaching Assistant Page for Veronesi

CONTACT
You may send Raife e-mail at: