Faculty Directory
Pierluigi Balduzzi
Professor
Pierluigi Balduzzi
Contact
Fulton Hall 326B
Telephone: 617-552-3976
Email: balduzzp@bc.edu
Education
- B.A., Bocconi University
- Ph.D., University of California at Los Angeles
Research Interests
Empirical asset pricing
Expertise
- Valuation, Asset Pricing, and Financial Statement Analysis
- Financial Institutions & Asset Management
- Household Finance
- Capital Markets
Google Scholar
Department
Publications
“Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-time Macro Fundamentals, and CDS Spreads.” (With R. Savona and L. Alessi.) Journal of Financial Econometrics, 21 (5), 1728-1758. Autumn, 2023.
“Heterogeneity in Target-date Funds: Optimal Risk Taking or Risk Matching?” (With J. Reuter.) Review of Financial Studies, 32 (1), 300–337. January, 2019.
“Financial Markets, Banks’ Cost of Funding, and Firms’ Decisions: Lessons from Two Crises.” (With E. Brancati and F. Schiantarelli.) Journal of Financial Intermediation, 36, 1–15. October, 2018.
“Economic Risk Premia in the Fixed Income Markets: The Intra-day Evidence.” (With F. Moneta.) Journal of Financial and Quantitative Analysis, 52, 1927–1950. June, 2017.
"U.S. Treasury Market: The High-frequency Evidence." (With F. Moneta.) Handbook of Fixed Income Securities. March, 2016.
"A Simple Test of the Affine Class of Term-structure Models." (With E. Chiang.) Review of Asset Pricing Studies, 2 (2), 203–244. December, 2012.
“Asset-pricing Models and Economic Risk Premia: A Decomposition.” (With Cesare Robotti.) Journal of Empirical Finance, 17 (1), 54-80. January, 2010.
“Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-beta Models.” (With Cesare Robotti.) Journal of Business and Economic Statistics, 26 (3), 354-368. July, 2008.
“Money and Asset Prices in a Continuous-time Lucas and Stokey Cash-in-advance Economy.” Journal of Economic Dynamics and Control, 31 (8), 2713-2743. August, 2007
“Testing Heterogeneous-agent Models: An Alternative Aggregation Approach.” (With T. Yao.) Journal of Monetary Economics, 54 (2), 369-412. March, 2007.
"Portfolio Choice and Trading in a Large 401 (k) Plan." (With J. Agnew and A. Sunden.) American Economic Review, 93 (1) 193-205. March, 2003.
Selected Appointments, Awards, and Grants
- Department of Finance, Boston College (Carroll). September 2008-: Full professor. September 2000-August 2008: Associate Professor. September 1997-August 2000: Assistant Professor.
- Department of Finance, New York University (Stern). September 1991-August 1997: Assistant Professor.
Professional Activities
His professional experiences include an internship at the International Monetary Fund, consulting for the Social Security Administration, executive teaching at Credit Suisse-First Boston, and serving on the board of advisors of Polaris Investments.
Editorial Positions
From 2006 until 2017, he served as an Associate Editor of the Journal of Business and Economic Statistics.