October 21, 2017 Louis R. Piccotti Massry Center for Business, Room 309 Department of Finance School of Business University at Albany, State University of New York, Albany, NY 12222 Tel: +1.518.956.8182 E-mail: lpiccotti@albany.edu SSRN Author Page: http://ssrn.com/author=1587889 Academic Employment Assistant Professor of Finance: Fall 2014 - Present School of Business Department of Finance University at Albany, State University of New York Albany, NY 12222 Education Ph.D. in Finance, Rutgers Business School, Newark, NJ, 2008 May 2014 Dissertation Committee: Yangru Wu (chair), Bob Patrick (member), Daniel Weaver (member), Ren-Raw Chen (outside member) B.S. in Finance, Auburn University, Auburn, AL, 2004 2008 B.A. in Economics, Auburn University, Auburn, AL, 2004 2008 Research Interests Empirical asset pricing, exchange rate determination, market microstructure, and applied time series analysis/econometrics Professional Affiliations American Financial Association Eastern Finance Association Econometric Society Financial Management Association Institute of Mathematical Statistics Northern Finance Association Southern Finance Association Research Publications
Piccotti, Louis R. (2017). Jumps, Cojumps, and Efficiency in the Foreign Exchange, Journal of Banking & Finance, Forthcoming. Piccotti, Louis R. (2017). ETF premiums and liquidity segmentation, Financial Review, Forthcoming. Patro, Dilip, Piccotti, Louis R. and Wu, Yangru. (2017). Exploiting closed-end fund discounts: a systematic examination of alphas, Journal of Financial Research, 223-248. Piccotti, Louis R. (2017). Financial contagion risk and the stochastic discount factor, Journal of Banking & Finance 77, 230-248. Piccotti, Louis R. (2016). Pricing errors and the geography of trade in the foreign exchange market, Journal of Financial Markets 28, 46-69. Piccotti, Louis R., and Ben Z. Schreiber. (2015). Information shares of two parallel currency options markets: trading costs versus transparency/tradability, Journal of Empirical Finance 32, 210-229. Working Papers Ambiguity Aversion and Asset Price Dynamics (with Yangru Wu) Expected Returns and Capital Structure Adjustment (with Na Dai) Portfolio Frequency Structures and Utility Mapping Information Shares in a Two-tier FX Market (with Ben Z. Schreiber) Strategic Trade When Securitized Portfolio Values Are Unknown Order Flows, Differential Risk Premiums, and the UIP Puzzle (with Rita Biswas and Ben Z. Schreiber) Works in Progress A multi-scale estimator for pricing errors in high-frequency financial markets The frequency structure of the equity risk premium: An empirical study Financial contagion: discount risk or cash-flow risk? Covariance matrix jumps
Awards and Grants SSRN Top 10 Downloads: Banking & Financial Institutions Capital Markets Capital Markets: Market Efficiency; Microeconomic Theory Econometric Modeling: International Financial Markets-Volatility and Financial Crises Econometric Modeling: International Financial Markets-Foreign Exchange Economics Research Network: All Papers Economics Research Network: Foreign Exchange Models (Topic) Economics Research Network: Other Econometric Modeling: Derivatives (Topic) Economics Research Network: Open Macroeconomics in Emerging Markets (Topic) Economic Research Network: Risk Premiums Economic Research Network: Trade & Foreign Exchange Policies in Developing Economies (Topic) Efficient Market Hypothesis Models; Foreign Exchange Models; Global Markets Emerging Markets Economics: Macroeconomic Issues & Challenges Financial Economics Network: All Papers Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets Mutual Funds, Hedge Funds, & Investment Industry. Best Paper Award: Semi-finalist, European Financial Management Association, 2014 Lawrence Fisher Doctoral Research Award, 2010 Dean s Summer Grant, 2010, 2012 Whitcomb Center for Research in Financial Services Grant, 2013 Teaching Experience Corporate Finance (Summer 2009) Financial Econometrics (Summer 2011, Summer 2012, and Summer 2014) Futures and Options (Summer 2010, Fall 2011, Fall 2012, Summer 2013, Fall 2014 - Present) International Financial Management (Spring 2012) Investment Management (Fall 2014 - Present) Conference Participation Presented Order Flows, Differential Risk Premiums, and the UIP Puzzle Eastern Finance Association Annual Meetings, Jacksonville, FL, April 2017 Financial Management Association Annual Meetings, Boston, MA, October 2017 Information Shares in a Two-tier FX Market Financial Management Association Annual Meetings, Las Vegas, NV,
October 2016 Ambiguity Aversion and Asset Price Dynamics Eastern Finance Association Annual Meetings, Baltimore, MD, April 2016 World Finance Conference, New York, NY, July 2016 Financial Management Association Annual Meetings, Las Vegas, NV, October 2016 Expected Returns and Capital Structure Adjustment Financial Management Association Annual Meetings, Orlando, FL, October 2015 Eastern Finance Association Annual Meetings, Baltimore, MD, April 2016 Currency Pricing Errors and Customer Trade Global Finance Conference, Monterey Bay, CA, May 2013 Financial Contagion Risk and the Stochastic Discount Factor Financial Management Association Doctoral Student Consortium, Chicago, IL, October 2013 Southwestern Finance Association Annual Conference, Dallas, TX, March 2014 Midwest Finance Association 2014 Annual Meeting, Orlando, FL, March 2014, European Financial Management Association Annual Meeting, Rome, Italy, June 2014 Financial Innovations and Bank Regulation Conference, Xiamen, China, December 2014 ETF Premiums and Liquidity Segmentation New York Accounting and Finance Forum, Albany, NY, September 2014 Northern Finance Association Annual Conference, Ottawa, Canada, September 2014 Southern Finance Association Annual Meetings, Key West, FL, November 2014 Eastern Finance Association Annual Meetings, New Orleans, LA, April 2015 Jumps, Cojumps, and Efficiency in the Foreign Exchange Market Financial Management Association Annual Meetings, Nashville, TN, October 2014 Session Chair Financial Management Association Annual Meetings, Nashville, TN, October 2014, Session 028: Alphas here, and there, and not there for long. Conference Program Committees Eastern Finance Association Annual Meetings, 2016 Refereeing (ad hoc)
Emerging Markets Finance and Trade Finance Research Letters Journal of Banking & Finance Journal of International Money and Finance Management Science Review of Quantitative Finance and Accounting Quarterly Review of Economics and Finance The Financial Review Service Faculty Advisor, Albany Currency Traders (Spring 2015 Present) Financial Economics Search Committee (Economics Department, Fall 2016) Office of Diversity and Inclusion Representative (Spring 2016/Fall 2016 Finance Department search committee) School of Business Research Committee (Fall 2014 Present) Chair (Fall 2016/Spring 2017)