Caterina Santi

Caterina Santi
University of Liège | ulg · Department of Finance and Law

PhD in Economics

About

10
Publications
3,025
Reads
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30
Citations
Introduction
I am Assistant Professor in International Finance at HEC Liège. My research focuses on Climate Finance, Empirical Asset Pricing, and Behavioural Finance. Before joining HEC Liège, I was Lecturer in Finance at the Cork University Business School. During my PhD, I did two academic visits at the Department of Finance at the Vrije Universiteit Amsterdam, and at the Department of Economics at the University of Technology Sydney.
Additional affiliations
September 2021 - present
University of Liège
Position
  • Professor (Assistant)
January 2019 - August 2021
University College Cork
Position
  • Lecturer
January 2018 - September 2018
University of Technology Sydney
Position
  • Visiting Scholar
Education
October 2014 - December 2018
Scuola Superiore Sant'Anna
Field of study
  • Economics
September 2012 - May 2014
Università di Pisa
Field of study
  • Finance
September 2009 - July 2012
Università di Pisa
Field of study
  • Economics

Publications

Publications (10)
Article
Full-text available
We estimate the dynamics of a speculative bubble subject to a surviving and a collapsing regime together with the dynamics of dividends and returns in a tractable state space specification of the present-value model. To estimate this new high-dimensional model, we develop an efficient Markov chain Monte Carlo sampler to simulate from the joint post...
Article
Full-text available
This paper sheds light on the impact of public attitudes towards climate change and energy disruption on the pricing of emission (carbon-intensive) and clean (low-emission) stocks. We develop a regional indicator of worries about climate change and energy disruption using data from the European Social Survey Round 8. We classify European regions as...
Preprint
Full-text available
In this article, we aim to stress that the fight of COVID-19 needs clear and timely data collection plans. Without data to support decisions, we can only hope for a fortunate guess. We need synergies between different research communities, policy-makers, Official Statistics, health institutions, and private companies which may provide non-conventio...
Article
Full-text available
We propose to measure investor climate sentiment by performing sentiment analysis on StockTwits posts on climate change and global warming. In financial markets, stocks of emission (carbon-intensive) firms underperform clean (low-emission)stocks when investor climate sentiment is more positive. We document investors overreaction to climate change r...
Article
Full-text available
In this article, we aim to stress that the fight of COVID-19 needs clear and timely data collection plans. Without data to support decisions, we can only hope for a fortunate guess. We need synergies between different research communities, policy-makers, Official Statistics, health institutions, and private companies which may provide non-conventio...
Preprint
We incorporate a speculative bubble subject to a surviving and a collapsing regime into the present-value model by Binsbergen et al. (2010), who pioneer the latent variables approach to estimate expected returns and expected dividend growth rates. To estimate this new high-dimensional model, we develop an efficient Markov chain Monte Carlo sampler...
Article
Full-text available
We document that the interaction of the firm’s ability to innovate and R&D expenditure can predict future operating performance; moreover the magnitude of these effects are significantly and substantially higher for firms with an R&D spending above the optimum. We also show that a long-short portfolio strategy which exploits information on the firm...
Article
Full-text available
We investigate the relation between the introduction of innovation and subsequent firm growth employing a dataset representative of the Chilean productive structure. By means of quantile treatment effects (QTE), we estimate the effect of the introduction of innovation by comparing firms with a similar propensity to innovate for different quantiles...
Article
Full-text available
This paper analyses style herding in the value-growth and size dimensions of U.S. domestic equity mutual funds. We document that mutual fund herding in styles is significant and persistent. Furthermore, the results show that mutual fund herding tends to increase after periods of high cumulative returns and market volatility. A higher sentiment is f...