Livia Amato

Remembering our friend and colleague.

10/28/1996 – 03/03/2023

It is with a heavy heart that the Fama-Miller family mourns the sudden loss of our dear sweet colleague and friend Livia Amato who passed away on March 3, 2023.


Livia Amato of the Fama-Miller Center for Research in Finance

Livia joined the Fama-Miller Center in the fall of 2020.  She earned a BSc in Economics and Business from LUISS University and a MSc in International Finance from HEC Paris.

Livia was a beautiful young woman, sweet, gracious and kind hearted. She had a passion for finance research and a thirst for knowledge, always seeking out new things to learn.  She was a star in our predoc program and was on her way to a top PhD program, which was her dream. Not only did the faculty she worked for believe that she had a bright future ahead but her peers looked up to her as a role model.

During her short time on earth, she was able to accomplish far more than one can imagine. Below is a list of the papers she co-authored, as well as ones she received acknowledgements and dedications for her work as a researcher.

Anyone wishing to share thoughts or memories or pictures about Livia can write to the email address remember.livia@gmail.com, which is managed by her family.

Papers Livia co-authored

Amato, Livia and et. al, “Non-Standard Errors,” Journal of Finance, Volume79, Issue3, June 2024, Pages 2339-2390.

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: Non-standard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants. (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3961574)

Amato, Livia and Harald Lohre, “Diversifying Macroeconomic Factors – For Better or for Worse,” RN: Other Econometric Modeling: Capital Markets - Forecasting (Topic) (2020).

It is widely acknowledged that asset returns are driven by common sources of risk, especially in challenging times when the benefits from traditional portfolio diversification fail to realize. From a top-down perspective, investors are mostly concerned about shocks in growth or inflation that ultimately govern the pricing of broad asset classes. To this extent, we propose a natural asset allocation framework to achieve a diversified exposure to orthogonal macro risk factors and to harvest the associated long-term premia. We examine the role and usefulness of different types of macroeconomic variables, as systematic sources of risk or state variables that drive time variation in the asset returns, and compare their diversification potential across different states of the world. (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3730154)

Amato, Livia and Constantine Yannelis, “Household Behavior (Consumption, Credit and Investments) During the COVID-19 Pandemic,” Annual Reviews (Nov 2023)

The 2020 Covid-19 pandemic led to a large number of studies in household finance, using new high-frequency data in close to real time. This paper surveys household behavior during the pandemic, with a focus on consumption, government policies, credit and investment. The pandemic induced a rapid decline in consumption, which was affected by but largely preceded stay-at-home orders, and was followed by a rapid rebound. Government stimulus was less effective in 2020 relative to other recessions, which is consistent with both shutdowns and precautionary savings. Delinquency rates fell, unlike in other recessions, likely due to government debt relief policies. Household investment behavior was affected by pandemic-induced changes in beliefs. The paper concludes by discussing avenues for future research. (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4256726)

Abidi, Nordine, Livia Amato, Ixart Miquel-Flores, and Quentin Vandeweyer, “The Bright Side of Transparency: Evidence from Supervisory Capital Requirements,” (Mar 2022).

Should regulators disclose private information about the creditworthiness of the companies it supervises? This paper exploits a change in the disclosure policy of the European Central Bank (ECB) in 2020 to make progress on this question. We compare European banks along multiple dimensions before and after the ECB published for the first time bank-by-bank information on Pillar 2 requirements (P2R). We show that bond prices and cross-border holdings of debt securities are sensitive to new regulatory information as well as to rating gaps between the ECB and private credit rating agencies. Overall, our results support the view that supervisors have specific, distinctive, and valuable knowledge of the banks they supervise. (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3866364)

Papers that acknowledge Livia for her research

28/10/1996 – 03/03/2023

Con il cuore affranto la comunità del Centro Fama-Miller piange l’improvvisa perdita della cara e dolce collega e amica Livia Amato, deceduta il 3 marzo 2023.

Livia si è unita al Centro Fama-Miller nell'autunno del 2020. Aveva conseguito in precedenza un BSc in Economics and Business presso l'Università LUISS e un MSc in International Finance presso HEC Parigi.

Livia era una giovane donna splendida, dolce, gentile e generosa. Aveva una passione per la ricerca finanziaria e una sete di conoscenza, sempre alla ricerca di nuovi argomenti da studiare. Era una stella nel nostro programma di pre-dottorato e stava per intraprendere il nostro prestigioso programma di PhD, il suo sogno. Non solo i membri della facoltà con cui lavorava ritenevano che avesse un futuro brillante davanti a sé, ma i suoi colleghi la consideravano un modello da seguire.

Nel corso del la sua breve vita, ha ottenuto risultati scientifici oltre l’immaginabile. Di seguito è riportata una lista degli articoli di cui è stata coautrice, così come di quelli per i quali ha ricevuto riconoscimenti e dediche come ricercatrice.

Chiunque desideri condividere pensieri, ricordi o foto su Livia può scrivere all'indirizzo remember.livia@gmail.com gestito dalla famiglia.

Pubblicazioni di cui Livia è coautrice

Amato, Livia and et. al, “Non-Standard Errors,” Journal of Finance, forthcoming.

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: Non-standard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants. (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3961574)

Amato, Livia and Harald Lohre, “Diversifying Macroeconomic Factors – For Better or for Worse,” (Jan 2021).

It is widely acknowledged that asset returns are driven by common sources of risk, especially in challenging times when the benefits from traditional portfolio diversification fail to realize. From a top-down perspective, investors are mostly concerned about shocks in growth or inflation that ultimately govern the pricing of broad asset classes. To this extent, we propose a natural asset allocation framework to achieve a diversified exposure to orthogonal macro risk factors and to harvest the associated long-term premia. We examine the role and usefulness of different types of macroeconomic variables, as systematic sources of risk or state variables that drive time variation in the asset returns, and compare their diversification potential across different states of the world. (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3730154)

Amato, Livia and Constantine Yannelis, “Household Behavior (Consumption, Credit and Investments) During the COVID-19 Pandemic,” Annual Reviews (Nov 2023)

The 2020 Covid-19 pandemic led to a large number of studies in household finance, using new high-frequency data in close to real time. This paper surveys household behavior during the pandemic, with a focus on consumption, government policies, credit and investment. The pandemic induced a rapid decline in consumption, which was affected by but largely preceded stay-at-home orders, and was followed by a rapid rebound. Government stimulus was less effective in 2020 relative to other recessions, which is consistent with both shutdowns and precautionary savings. Delinquency rates fell, unlike in other recessions, likely due to government debt relief policies. Household investment behavior was affected by pandemic-induced changes in beliefs. The paper concludes by discussing avenues for future research. (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4256726)

Abidi, Nordine, Livia Amato, Ixart Miquel-Flores, and Quentin Vandeweyer, “The Bright Side of Transparency: Evidence from Supervisory Capital Requirements,” (Mar 2022).

Should regulators disclose private information about the creditworthiness of the companies it supervises? This paper exploits a change in the disclosure policy of the European Central Bank (ECB) in 2020 to make progress on this question. We compare European banks along multiple dimensions before and after the ECB published for the first time bank-by-bank information on Pillar 2 requirements (P2R). We show that bond prices and cross-border holdings of debt securities are sensitive to new regulatory information as well as to rating gaps between the ECB and private credit rating agencies. Overall, our results support the view that supervisors have specific, distinctive, and valuable knowledge of the banks they supervise. (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3866364)

Pubblicazioni in cui Livia ha ricevuto riconoscimenti o dediche per il suo lavoro come ricercatrice