Professor of Finance
JM Keynes Fellow in Financial Economics, University of Cambridge
MSc, PhD (University of Liverpool)
My research interests include international finance, empirical asset pricing, currency markets, asset management, microstructure, the interaction between macroeconomics and financial markets, especially the effects of monetary and exchange rate policy on asset prices. I was previously Director of Currency Research in the Fixed Income and Currency Team of AXA Investment Managers.
I’m a member of the Finance subject group at Cambridge Judge Business School, which focuses on the investment and financial decisions of firms and institutions.
Professional experience
Professor Sarno has held full-time senior positions in the private sector, including as Director of Currency Research in the Fixed Income and Currency Team of AXA Investment Managers. He has wide-ranging consulting experience in the finance industry, involving some of the world’s leading asset management firms, hedge funds, sovereign wealth funds, investment banks, and their research units.
He has also been involved in policy advice, training, research and consulting projects for a number of policy making institutions, including the International Monetary Fund, the European Central Bank, the Federal Reserve Banks of New York and St Louis, the Bank for International Settlements, the Bank of England, the Bank of Canada, the Central Bank of Norway, the Italian Ministry of Economy and Finance, the World Bank, and the European Commission.
Professor Sarno is or has recently been a member of the Senior Advisory Board of the Department of the Treasury of Italy, and a Consultant for the Bank of England and the International Monetary Fund.
He is also a Research Fellow of the Centre for Economic Policy Research.
Previous appointments
Prior to joining the University of Cambridge, Professor Sarno was a Professor of Finance at the University of London (Cass Business School), where we also served as Deputy Dean and Head of the Faculty of Finance; the Tommie Goh Distinguished Chair Professor of Finance at the Lee Kong Chian School of Business, Singapore Management University (part time); a Professor of Finance at the University of Warwick, where he also served as Associate Dean of Research and Head of the Finance Group; the Schröder Fellow in Economics at University College, University of Oxford; a postdoctoral scholar at Columbia University.
Publications
Visit Lucio Sarno’s website to see a selection of his publications.
Selected publications
- Six “showcase” publications, in reverse chronological order, as chosen by the faculty member.
- Li, J., Sarno, L. and Zinna, G. (2026) “Skewness risk premia and the cross-section of currency returns.” Journal of Financial and Quantitative Analysis (DOI: 10.1017/S0022109025102123) (published online Sep 2025)
- Massacci, D., Sarno, L. and Trapani, L. (2026) “Factor models of asset returns and bear market risk.” Management Science (DOI: 10.1287/mnsc.2023.04276) (published online Nov 2025)
- Hou, A.J., Sarno, L. and Ye, X. (2025) “The trade imbalance network and currency returns.” Journal of Financial Economics, 172: 104112 (DOI: 10.1016/j.jfineco.2025.104112)
- Li, J., Sarno, L. and Zinna, G. (2024) “Risks and risk premia in the US treasury market.” Journal of Economic Dynamics and Control, 158: 10478 (DOI: 10.1016/j.jedc.2023.104788)
- Menkveld, A.J., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neusuess, S., Razen, M., Weitzel, U., Sarno, L. et al (2024) “Non-standard errors.” Journal of Finance, 79(3): 2339-2390 (DOI: 10.1111/jofi.13337)
- Nucero, F., Sarno, L. and Zinna, G. (2024) “Currency risk premia redux.” Review of Financial Studies, 37(2): 356-408 (DOI: 10.1093/rfs/hhad049)
Journal articles
- Li, J., Sarno, L. and Zinna, G. (2026) “Skewness risk premia and the cross-section of currency returns.” Journal of Financial and Quantitative Analysis (DOI: 10.1017/S0022109025102123) (published online Sep 2025)
- Massacci, D., Sarno, L. and Trapani, L. (2026) “Factor models of asset returns and bear market risk.” Management Science (DOI: 10.1287/mnsc.2023.04276) (published online Nov 2025)
- Hou, A.J., Sarno, L. and Ye, X. (2025) “The trade imbalance network and currency returns.” Journal of Financial Economics, 172: 104112 (DOI: 10.1016/j.jfineco.2025.104112)
- Li, J., Sarno, L. and Zinna, G. (2024) “Risks and risk premia in the US treasury market.” Journal of Economic Dynamics and Control, 158: 10478 (DOI: 10.1016/j.jedc.2023.104788)
- Menkveld, A.J., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neusuess, S., Razen, M., Weitzel, U., Sarno, L. et al (2024) “Non-standard errors.” Journal of Finance, 79(3): 2339-2390 (DOI: 10.1111/jofi.13337)
- Nucero, F., Sarno, L. and Zinna, G. (2024) “Currency risk premia redux.” Review of Financial Studies, 37(2): 356-408 (DOI: 10.1093/rfs/hhad049)
- Fratzscher, M., Heidland, T., Menkhoff, L., Sarno, L. and Schmeling, M. (2023) “Foreign exchange intervention: a new database.” International Monetary Fund Economic Review, 71(4): 852-884 (DOI: 10.1057/s41308-022-00190-8)
- Cespa, G., Gargano, A., Riddiough, S.J. and Sarno, L. (2022) “Foreign exchange volume.” Review of Financial Studies, 35(5): 2386-2427 (DOI: 10.1093/rfs/hhab095)
- Delis, M.D., Politsidis, P.N. and Sarno, L. (2022) “The cost of foreign-currency lending.” Journal of Banking and Finance, 136: 106398 (DOI: 10.1016/j.jbankfin.2021.106398)
- Della Corte, P., Sarno, L., Schmeling, M. and Wagner, C. (2022) “Exchange rates and sovereign risk.” Management Science, 68(8): 5557-6354 (DOI: 10.1287/mnsc.2021.4115)
- Colacito, R., Riddiough, S.J. and Sarno, L. (2020) “Business cycles and currency returns.” Journal of Financial Economics, 137(3): 659-678 (DOI: 10.1016/j.jfineco.2020.04.005)
- Mäkinen, T., Sarno, L. and Zinna, G. (2020) “Risky bank guarantees?” Journal of Financial Economics, 136(2): 490-522 (DOI: 10.1016/j.jfineco.2019.10.005)
- Fratzscher, M., Gloede, O., Menkhoff, L., Sarno, L. and Stöhr, T. (2019) “When is foreign exchange intervention effective? Evidence from 33 countries.” American Economic Journal: Macroeconomics, 11(1): 132-156 (DOI: 10.1257/mac.20150317)
- Cenedese, G., Payne, R., Sarno, L. and Valente, G. (2016) “What do stock markets tell us about exchange rates?” Review of Finance, 20(3): 1045-1080 (DOI: 10.1093/rof/rfv032)
- Della Corte, P., Ramadorai, T. and Sarno, L. (2016) “Volatility risk premia and exchange rate predictability.” Journal of Financial Economics, 120(1): 21-40 (DOI: 10.1016/j.jfineco.2016.02.015)
- Della Corte, P., Riddiough , S.J. and Sarno, L. (2016) “Currency premia and global imbalances.” Review of Financial Studies, 29(8): 2161-2193 (DOI: 10.1093/rfs/hhw038)
- Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2016) “Currency value.” Review of Financial Studies, 30(2): 416-441 (DOI: 10.1093/rfs/hhw067)
- Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2016) “Information flows in foreign exchange markets: dissecting customer currency trades.” Journal of Finance, 71(2): 601-634 (DOI: 10.1111/jofi.12378)
- Fratzscher, M., Rime, D., Sarno, L. and Zinna, G. (2015) “The scapegoat theory of exchange rates: the first tests.” Journal of Monetary Economics, 70: 1-21 (10.1016/j.jmoneco.2014.09.001)
- Schmeling, M. and Sarno, L. (2014) “Which fundamentals drive exchange rates? A cross-sectional perspective.” Journal of Money, Credit and Banking, 46(2-3): 267-292 (DOI: 10.1111/jmcb.12106)
- Della Corte, P., Sarno, L. and Sestieri, G. (2012) “The predictive information content of external imbalances for exchange rate returns: how much is it worth?” Review of Economics and Statistics, 94(1): 100-115 (DOI: 10.1162/REST_a_00157)
- Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2012) “Carry trades and global foreign exchange volatility.” Journal of Finance, 67(2): 681-718 (DOI: 10.1111/j.1540-6261.2012.01728.x)
- Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2012) “Currency momentum strategies.” Journal of Financial Economics, 106(3): 660-684 (DOI: 10.1016/j.jfineco.2012.06.009)
- Sarno, L., Schneider, P. and Wagner, C. (2012) “Properties of foreign exchange risk premiums.” Journal of Financial Economics, 105(2): 279-310 (DOI: 10.1016/j.jfineco.2012.01.005)
- Fratzscher, M., Juvenal, L. and Sarno, L. (2010) “Asset prices, exchange rates and the current account.” European Economic Review, 54(5): 643-658 (DOI: 10.1016/j.euroecorev.2009.12.005)
- Rime, D., Sarno, L. and Sojli, E. (2010) “Exchange rate forecasting, order flow and macroeconomic information.” Journal of International Economics, 80(1): 72-88 (DOI: 10.1016/j.jinteco.2009.03.005)
- Della Corte, P., Sarno, L. and Tsiakas, I. (2009) “An economic evaluation of empirical exchange rate models.” Review of Financial Studies, 22(9): 3491-3530 (DOI: 10.1093/rfs/hhn058)
- Sarno, L. and Sojli, E. (2009) “The feeble link between exchange rates and fundamentals: can we blame the discount factor?” Journal of Money, Credit and Banking, 41(2-3): 437-442 (DOI: 10.1111/j.1538-4616.2009.00212.x)
- Akram, F., Rime, D. and Sarno, L. (2008) “Arbitrage in the foreign exchange market: turning on the microscope.” Journal of International Economics, 76(2): 237-253 (DOI: 10.1016/j.jinteco.2008.07.004)
- Della Corte, P., Sarno, L. and Thornton, D.L. (2008) “The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value.” Journal of Financial Economics, 89(1): 158-174 (DOI: 10.1016/j.jfineco.2007.08.002)
- Clarida, R.H., Sarno, L., Taylor, M.P. and Valente, G. (2006) “The role of asymmetries and regime shifts in the term structure of interest rates.” Journal of Business, 79(3): 1193-1224 (DOI: 10.1086/500674)
- Sarno, L., Valente, G. and Leon, H. (2006) “Nonlinearity in deviations from uncovered interest parity: an explanation of the forward bias puzzle.” Review of Finance, 10(3): 443-482 (10.1007/s10679-006-9001-z)
- Abhyankar, A., Sarno, L. and Valente, G. (2005) “Exchange rates and fundamentals: evidence on the economic value of predictability.” Journal of International Economics, 66(2): 325-348 (DOI: 10.1016/j.jinteco.2004.09.003)
- Sarno, L., Thornton, D.L. and Valente, G. (2005) “Federal funds rate prediction.” Journal of Money, Credit and Banking, 37(3): 449-471 (DOI: 10.1353/mcb.2005.0035)
- Valente, G. and Sarno, L. (2005) “Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.” Journal of Applied Econometrics, 20(3): 345-376 (DOI: 10.1002/jae.787)
- Clarida, R.H., Sarno, L., Taylor, M.P. and Valente, G. (2003) “The out-of-sample success of term structure models as exchange rate predictors: a step beyond.” Journal of International Economics, 60(1): 61-83 (DOI: 10.1016/S0022-1996(02)00059-4)
- Sarno, L. (2003) “Nonlinear dynamics, spillovers and growth in the G7 economies: an empirical investigation.” Economica, 68(271): 401-426 (DOI: 10.1111/1468-0335.00253)
- Sarno, L., Taylor, M.P. and Peel, D. (2003) “Nonlinear equilibrium correction in U.S. real money balances, 1869-1997.” Journal of Money, Credit and Banking, 35(5): 787-799 (DOI: 10.1353/mcb.2003.0039)
- Taylor, M.P., Peel, D.A. and Sarno, L. (2003) “Nonlinear mean-reversion in real exchange rates: toward a solution to the purchasing power parity puzzles.” International Economic Review, 42(4): 1015-1042 (DOI: 10.1111/1468-2354.00144)
- Sarno, L. and Taylor, M.P. (1999) “Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation.” Journal of Development Economics, 59(2): 337-364 (DOI: 10.1016/S0304-3878(99)00016-4)
- Taylor, M.P. and Sarno, L. (1998) “The behavior of real exchange rates during the post-Bretton Woods period.” Journal of International Economics,
46(2): 281-312 (DOI: 10.1016/S0022-1996(97)00054-8)
Awards and honours
- WINNER (Wealth Innovation, Neuro- and Entrepreneurial Results) Prize, 2019
- Runner-up, WINNER (Wealth Innovation, Neuro- and Entrepreneurial Results) Prize, 2017
- Best Paper Prize, FIRN Annual Conference, CFA Institute, 2017
- Best Paper Prize for Investments, Western Finance Association, 2013
- Best Paper Prize, INQUIRE, 2011
- Listed in the “Best 40 under 40 Professors” (a listing of the best 40 business schools professors under the age of 40), Poets & Quants, 2011
- Best Paper Prize, INQUIRE, 2010
- Best Central Bank Research Paper, CEPR, 2007
Visit Professor Sarno’s website to view the full list of awards and honours.
News and insights
Faculty news
2025 Cambridge Judge excellence in teaching awards
Eleven members of the Cambridge Judge Business School faculty are awarded teaching prizes for excellence across the Business School’s various programmes.
Research centre news
Foreign exchange markets symposium hosted by Cambridge Judge
Cambridge Judge Business School hosted scholars and practitioners involved in foreign exchange issues at the 2025 Symposium on Foreign Exchange Markets, which covered such topics as FX liquidity, risk management, central bank interventions and the impact of AI and digital currencies on currency markets.
Research centre news
Cambridge Judge faculty among most-published authors in top finance journals
Three Cambridge Judge faculty – Lucio Sarno, Raghavendra Rau and Elroy Dimson – are cited in study as among the most prolific authors of papers in top finance journals.