Federico Mainardi
University of Chicago
Booth School of Business
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We define risk transfer as the percent change in the market risk exposure for a group of investors over a given period. We estimate risk transfer using novel data on U.S. investors' portfolio holdings, flows, and returns at the security level with comprehensive coverage across asset classes and...
We develop a segmented markets model which rationalizes the effects of monetary policy on the term structure of interest rates. When arbitrageurs portfolio features positive duration, an unexpected rise in the short rate lowers their wealth and raises term premia. A calibration to the U.S. economy...
April 1, 2024 - Article
How investors adjust their portfolios in response to movements in asset prices and other shocks is a key input to asset pricing models, yet data limitations mean there is relatively little evidence on these behavioral responses, particularly for high-net-worth households. In Asset Demand of US...
We use novel monthly security-level data on U.S. household portfolio holdings, flows, and returns to analyze asset demand across an extensive range of asset classes, including both public and private assets. Our dataset covers a broad range of households across the wealth distribution, notably...
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