Alessia Menichetti

I am a Ph.D. student in the Finance Department at the Stockholm School of Economics (SSE) and the Swedish House of Finance.

My research is primarily theoretical, focusing on asset pricing, market microstructure and household finance. The questions I address also relate to information economics and behavioral finance. In my projects, I explore how the financial decisions of retail investors and households are influenced by the information they receive, under both full and bounded rationality.

I hold a BSc in International Economics, Management and Finance from Bocconi University, and a MSc Finance from Bocconi University and MSc Finance & Investments from Rotterdam School of Management (double degree). Before joining the Ph.D. program at SSE, I worked as a trainee in DG Monetary Policy at the European Central Bank (ECB) and in DG ECFIN at the European Commission.

I will be on the 2024-2025 Job Market.

 

Job market paper: Correlation neglect, information concentration, and financial markets

Abstract: Motivated by the widespread repetition of information in online media, this paper develops an asset pricing model in which agents receive information containing common noise but fail to recognize the correlation between their own signals and those of others. This misperception leads to heightened trading aggressiveness on new information, price overreactions, and increased price informativeness. The model consistently predicts excess trading volumes and return reversals, and may also account for excess volatility. By categorizing agents into belief groups based on shared group-level noise, the analysis links the severity of the foregone correlation adjustment to the quantity of original information, with the bias disappearing as the repetition of information approaches zero.