Job Market Candidates 2023/24
Ph.D. Program in Economics

Ruggero Jappelli

Contact Information

Goethe University Frankfurt
Financial Markets Department
Leibniz Institute SAFE
House of Finance
Theodor-W.-Adorno Platz 3
60323 Frankfurt am Main, Germany

Phone: +39 3383660554
E-Mail, Personal website


Ph.D., Economics, Goethe University Frankfurt, GSEFM program, 2024 (expected)
M.S., Economics, Goethe University Frankfurt, GSEFM program, 2021
M.A., Economics, Bocconi University, 2017
B.A., Economics, Bocconi University, 2014

Fields of Specialization

Asset Pricing, Macro Finance

Teaching Areas

Asset Pricing, Macroeconomics

Curriculum Vitae

Click here to download the CV.


Prof. Loriana Pelizzon, Ph.D
Deputy Scientific Director, Leibniz Institute for Financial Research SAFE
Chair of Law and Finance
Goethe University Frankfurt

Prof. Marti G. Subrahmanyam
Professor of Finance, NYU Leonard N. Stern School of Business
Professor of Finance, NYU Shanghai

Prof. Alberto Plazzi
Professor of Finance, USI Lugano
Faculty Member, Swiss Finance Institute

Prof. Florian Heider
Scientific Director, Leibniz Institute for Financial Research SAFE
Professor of Finance, Goethe University Frankfurt

Job Market Paper

Dynamic Asset Pricing with Passive Investing
Best Ph.D. paper award at the 6th Asset Pricing Conference hosted by the Long-Term Investors at Collegio Carlo Alberto.

Abstract: The paper presents and tests a tractable capital asset pricing model where active investors respond to news and interact with passive investors, defined as investors with asset allocation rules that are constant over time. The model shows that stock prices reflect the discounted value of future dividends plus the wealth passively allocated to them. Thus, the wealth of passive investors affects stock price dynamics, and vice versa. Passive investors automatically reinvest the proceeds of their portfolios, amplifying price responses to news. The precision of the information that stock prices convey about future fundamentals decreases when expected returns are low and volatile, since active investors have less incentive to trade stocks. These predictions are confirmed in the aggregate time series and cross section of stocks.

Other Papers

Liquidity Derivatives
with fellow GSEFM student Matteo Bagnara; Reject & Resubmit, The Review of Financial Studies.

Abstract: It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers. Introducing liquidity derivatives in Brunnermeier and Pedersen (2009) improves financial stability by mitigating liquidity spirals. We simulate liquidity option prices for a panel of NYSE stocks spanning 2000 to 2020 by fitting a stochastic process to their bid-ask spreads. These contracts reduce the exposure to liquidity factors. Their prices provide a novel illiquidity measure reflecting cross-sectional commonalities. Finally, stock returns significantly spread along simulated prices.


The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times
with Loriana Pelizzon and Alberto Plazzi; Revise & Resubmit, Review of Finance.

Abstract: We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary slackness, the pandemic had essentially no impact on such elasticity. This evidence is consistent with the disaster-induced repricing of government support, which we model through a rare-disaster asset pricing framework with government guarantees and defaultable public debt. The model implies that risk-adjusted guarantees were 2.6 times larger in the core than in the periphery, suggesting that fiscal capacity buffers provide relief to firms' financing costs.


Quantitative Easing, the Repo Market, and the Term Structure of Interest Rates
with Loriana Pelizzon and Marti G. Subrahmanyam

Abstract: We develop a quantity-driven general equilibrium model that integrates the term structure of interest rates with the repurchase agreements (repo) market to shed light on the combined effects of quantitative easing (QE) on the bond and money markets. We characterize in closed form the endogenous dynamic interaction between bond prices and repo rates, and show (i) that repo specialness dampens the impact of any given quantity of asset purchases due to QE on the slope of the term structure and (ii) that bond scarcity resulting from QE increases repo specialness, thus strengthening the local supply channel of QE.