Employee Profile

Giovanni Pagliardi

Lecturer - Department of Finance

Room number B4Y-063
Phone +4746410547
E-mail giovanni.pagliardi@bi.no

Publications

Scientific publications

Lotfi, Somayyeh; Pagliardi, Giovanni, Paparoditis, Efstathios & Zenios, Stavros A. (2024)

Hedging political risk in international portfolios

European Journal of Operational Research, s. 1- 18. Doi: 10.1016/j.ejor.2024.10.017

We show that internationally diversified portfolios carry sizeable political risk premia and expose investors to tail risk. We obtain political efficient frontiers with and without hedging political risk using a portfolio selection model for skewed distributions and develop a new asymptotic inference test to compare portfolio performance. Politically hedged portfolios outperform a broad market index and the equally weighted portfolio for US, Eurozone, and Japanese investors. Political risk hedging is not subsumed by currency hedging, and the diversification gains of politically hedged portfolios persist under currency hedging and transaction cost frictions. Hedging political risk induces equity home bias but does not fully explain the puzzle.

Gala, Vito D.; Pagliardi, Giovanni & Zenios, Stavros A. (2023)

Global political risk and international stock returns

Journal of Empirical Finance, 72, s. 78- 102. Doi: 10.1016/j.jempfin.2023.03.004 - Full text in research archive

Using novel measures of politics-policy uncertainty we document predictable variation in stock market returns across countries. Country characteristics and existing global and local risk factors do not account for such predictability, leading to large abnormal returns up to 15% per annum. We identify a global political risk factor (P-factor) commanding a risk premium of 11% per annum. High political uncertainty countries covary positively with the P-factor, earning higher average returns. Augmenting the global market portfolio with the P-factor significantly reduces pricing errors and improves cross-sectional fit. Politics-policy uncertainty affects returns through both cash-flow and discount rate channels.

Academic Degrees
Year	Academic Department	Degree
2017	ESSEC Business School, Paris-Singapore (FR)	PhD

Work Experience
Year	Employer	Job Title
2018 - Present	BI Norwegian Business School	Lecturer