Roberto Renò (University of Verona) (webinar)

“V-shapes”

Abstract: An insidious form of market inefficiency, by which prices lose their informativeness and wealth is distributed arbitrarily, translates into V-shapes, that is sudden changes of the sign of the price drift. We use this insight to develop a new tool for the detection of reverting drift, the V-statistic. We apply this tool to (i) quantify the extent of this kind of market inefficiency in the U.S. stock market during the Covid-19 pandemic; and (ii) show the harmful consequences of V-shapes on financial stability by estimating the huge loss suffered by Italian taxpayers (0.45B euros) in May 2018, when a transient crash hit the secondary bond market during a Treasury auction.

Joint with Maria Flora.

Zoom link

https://us02web.zoom.us/j/82590058916?pwd=VEowc2NUcm5rNmtFdWQ0MlMxUEVLQT09

Meeting ID: 825 9005 8916 Passcode: 055411