Riccardo Sabbatucci
Department of Finance, Stockholm School of Economics. Co-author of Moskowitz Sabbatucci Tamoni Uhl 2025 Nonlinear TSMOM and Parsons, Sabbatucci & Titman 2016/2018 — 地理引线-滞后效应.
Affiliations
- Stockholm School of Economics, Department of Finance.
Key contributions
- Nonlinear Time Series Momentum (2025) — the empirical ANN-based estimation of the nonlinear signal mapping in TSMOM, with the result that ML recovers a function close to the Ferson-Siegel Optimal Weighting theory.
- Geographic Lead-Lag Effects (Parsons, Sabbatucci & Titman, 2016/2018) — co-author of the paper that identifies lead-lag returns between co-headquartered firms in different sectors; co-proposes the "analyst coverage overlap" mechanism (see Analyst Coverage Overlap).
Research themes
- Lead-lag & information diffusion: links the geographic lead-lag paper to the broader literature on Cross-Sectional Momentum and analyst attention (Investor Attention).
- Nonlinear signal mapping in trend-following: see Nonlinear Signal Mapping.