Alessia Menichetti

I am a Ph.D. student at the Finance department of the Stockholm School of Economics and at the Swedish House of Finance. My research is mostly theoretical and my fields of interests include asset pricing, household finance, and information economics. In my research, I study how retail investors and households’ financial decisions are affected by the information they receive, under full and bounded rationality.

Prior to joining the PhD program at SSE, I was a trainee in DG-Monetary Policy at the European Central Bank and in DG-ECFIN at the European Commission. I hold a B.Sc. in International Economics, Management and Finance (major in Finance) from Bocconi University, a M.Sc. Finance from Bocconi University and a M.Sc. Finance and Investments from Rotterdam School of Management, Erasmus University (double-degree program).

Job market paper: Information concentration, correlation neglect and financial markets

Abstract: As the informational landscape grows increasingly intricate, forming accurate beliefs becomes progressively challenging, a concern exacerbated by the recent rise in
retail investors’ activity. One dimension of technologically driven informational complexity is the rapid and sizeable replication of information across online outlets, which
may result in misinterpreting repeated information as new. To address this question, I
propose an asset pricing model with agents categorized into belief groups that receive
a private signal containing group-level noise. Agents neglect the correlation between
the signals they receive and those of their peers, which results in an overreaction to
new information that positively affects price informativeness, reducing return volatility. Consistent with existing empirical evidence, this model predicts higher trading
and negative subsequent returns. Information concentration is crucially linked to the
severity of the bias, which is highest under concentrated yet non-unique information
and lowest when the information HHI approaches zero.