Riccardo Sabbatucci

Stockholm School of Economics

Assistant Professor of Finance

PO Box 6501

Stockholm, 11383

Sweden

Swedish House of Finance

Drottninggatan 98

111 60 Stockholm

Sweden

  • Stockholm School of Economics

SCHOLARLY PAPERS

11

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7,204

TOTAL CITATIONS
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Top 12,577

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84

Scholarly Papers (11)

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1.

Geographic Lead-Lag Effects

Number of pages: 66 Posted: 17 May 2016 Last Revised: 22 Sep 2018
Christopher A. Parsons, Riccardo Sabbatucci and Sheridan Titman
Marshall School of Business, University of Southern California, Stockholm School of Economics and University of Texas at Austin - Department of Finance
Downloads 1,639 (22,342)
Citation 48

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Return predictability, geographic momentum, industry momentum, lead-lag effects, analyst coverage, limited attention

2.

Tradable Risk Factors for Institutional and Retail Investors

Swedish House of Finance Research Paper No. 20-21
Number of pages: 100 Posted: 24 Sep 2020 Last Revised: 09 Feb 2024
Andreas Johansson, Riccardo Sabbatucci and Andrea Tamoni
Lund University, Stockholm School of Economics and University of Notre Dame - Mendoza College of Business
Downloads 1,285 (32,137)

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Smart beta, factor investing, tradable factors, shorting costs, borrowing fees

3.

Dividend Suspensions and Cash Flows During the COVID-19 Pandemic: A Dynamic Econometric Model

Downloads 1,028 (44,339)
Citation 10

Dividend Suspensions and Cash Flows During the COVID-19 Pandemic: A Dynamic Econometric Model

Swedish House of Finance Research Paper No. 20-18
Number of pages: 55 Posted: 24 Sep 2020 Last Revised: 13 May 2022
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,026 (43,765)
Citation 10

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COVID-19; high-frequency cash flows; dividend suspensions; predictive density modeling, Bayesian estimation

Dividend Suspensions and Cash Flow Risk During the Covid-19 Pandemic

CEPR Discussion Paper No. DP14921
Number of pages: 42 Posted: 29 Jun 2020
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
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4.

Firm Value and Payout Suspensions During Financial Market Distress

Downloads 853 (57,342)
Citation 12

Firm Value and Payout Suspensions During Financial Market Distress

Swedish House of Finance Research Paper No. 21-10
Number of pages: 64 Posted: 10 Apr 2021 Last Revised: 05 Aug 2022
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 847 (57,027)
Citation 12

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Dividend and buyback suspensions; value of cash; pecking order theory; high frequency data; financial market distress, Covid-19

Outlasting the Pandemic: Corporate Payout and Financing Decisions During COVID-19

CEPR Discussion Paper No. DP16145
Number of pages: 55 Posted: 14 May 2021
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 6 (1,220,300)
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5.

Cash Flow News and Stock Price Dynamics

Downloads 623 (86,453)
Citation 3

Cash Flow News and Stock Price Dynamics

Journal of Finance, Forthcoming, Swedish House of Finance Research Paper No. 18-10
Number of pages: 90 Posted: 01 Mar 2018 Last Revised: 15 Nov 2019
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and UCSD
Downloads 622 (85,501)

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High-frequency cash flow news; predictability of dividend growth; present value model; dynamics and predictability of stock returns; Bayesian modeling

Cash Flow News and Stock Price Dynamics

CEPR Discussion Paper No. DP14117
Number of pages: 92 Posted: 04 Dec 2019
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
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Citation 3
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Dividend growth, High-frequency cash flow news, Present value model

6.

Are Dividends and Stock Returns Predictable? New Evidence Using M&A Cash Flows

Number of pages: 51 Posted: 16 Mar 2015 Last Revised: 30 Nov 2022
Riccardo Sabbatucci
Stockholm School of Economics
Downloads 460 (125,447)
Citation 10

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Mergers and acquisitions; M&A cash flows; Dividend and consumption growth predictability; Return predictability

7.

Stock Demand and Price Impact of 401(k) Plans

Swedish House of Finance Research Paper No. 23-08
Number of pages: 64 Posted: 12 Jan 2023 Last Revised: 24 May 2023
Riccardo Sabbatucci, Andrea Tamoni and Song Xiao
Stockholm School of Economics, University of Notre Dame - Mendoza College of Business and London School of Economics & Political Science (LSE)
Downloads 457 (126,412)

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401(K) Plans, Stock Demand and 401(K) Ownership, Demand Based Asset Pricing, Price Impact of 401(K) Plans

8.

Return Heterogeneity in Retirement Accounts

Swedish House of Finance Research Paper No. 22-04
Number of pages: 48 Posted: 20 Dec 2021 Last Revised: 14 May 2024
Lorenzo Bretscher, Francisco Gomes, Riccardo Sabbatucci and Andrea Tamoni
Swiss Finance Institute - HEC Lausanne, London Business School, Stockholm School of Economics and University of Notre Dame - Mendoza College of Business
Downloads 389 (152,475)

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Roth IRA; Traditional IRA; Return Heterogeneity; Wealth Inequality; Retirement Accounts

9.

Financial Statements and Macroeconomic Dynamics

Number of pages: 61 Posted: 09 Sep 2024
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 196 (306,140)

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Corporate accounts, 10-Q filings, liquidity and leverage, business cycle, macroeconomic uncertainty, economic forecasting

10.

The Term Structure of Cash Flow Risk

Number of pages: 29 Posted: 17 Oct 2022 Last Revised: 11 Jan 2023
Davide Pettenuzzo and Riccardo Sabbatucci
Brandeis University - International Business School and Stockholm School of Economics
Downloads 155 (376,102)

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High-frequency cash flow news; term structure of cash flow risk; cash flow beta;

11.

Do Private Firms' Dividends Predict Stock Returns?

Number of pages: 27 Posted: 25 Oct 2015
Riccardo Sabbatucci
Stockholm School of Economics
Downloads 119 (462,904)
Citation 1

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Return Predictability, Public and Private Companies, Intercorporate Holdings