Loriana Pelizzon

Goethe University Frankfurt - Faculty of Economics and Business Administration

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, D-60323

Germany

Leibniz Institute for Financial Research SAFE

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

http://www.safe-frankfurt.de

Ca Foscari University of Venice

Dorsoduro 3246

Venice, Veneto 30123

Italy

SCHOLARLY PAPERS

64

DOWNLOADS
Rank 1,276

SSRN RANKINGS

Top 1,276

in Total Papers Downloads

26,022

SSRN CITATIONS
Rank 2,438

SSRN RANKINGS

Top 2,438

in Total Papers Citations

324

CROSSREF CITATIONS

210

Scholarly Papers (64)

1.

Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21, MIT Sloan Research Paper No. 4774-10, AFA 2011 Denver Meetings Paper, CAREFIN Research Paper No. 12/2010
Number of pages: 57 Posted: 23 Nov 2011 Last Revised: 28 Feb 2021
Ca Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 5,260 (1,760)
Citation 152

Abstract:

Loading...

Systemic Risk, Financial Institutions, Liquidity, Financial Crises

2.
Downloads 3,248 ( 4,054)
Citation 17

Crises and Hedge Fund Risk

UMASS-Amherst Working Paper, Yale ICF Working Paper No. 07-14, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10-08
Number of pages: 61 Posted: 20 May 2008 Last Revised: 25 Apr 2012
Monica Billio, Mila Getmansky Sherman and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 3,248 (3,971)
Citation 22

Abstract:

Loading...

Hedge Fund, Risk Management, Financial Crisis

3.
Downloads 1,336 ( 17,294)
Citation 17

How Does P2P Lending Fit into the Consumer Credit Market?

Bundesbank Discussion Paper No. 30/2016
Number of pages: 24 Posted: 05 Oct 2016
Calebe de Roure, Loriana Pelizzon and Paolo Tasca
Reserve Bank of Australia, Goethe University Frankfurt - Faculty of Economics and Business Administration and UCL Centre for Blockchain Technologies
Downloads 713 (41,919)

Abstract:

Loading...

P2P lending, financial intermediation, consumer credit

How Does P2P Lending Fit into the Consumer Credit Market?

Number of pages: 32 Posted: 03 Apr 2016 Last Revised: 20 Nov 2016
Calebe de Roure, Loriana Pelizzon and Paolo Tasca
Reserve Bank of Australia, Goethe University Frankfurt - Faculty of Economics and Business Administration and UCL Centre for Blockchain Technologies
Downloads 623 (50,186)
Citation 31

Abstract:

Loading...

P2P lending, financial intermediation, consumer credit

4.

P2P Lenders versus Banks: Cream Skimming or Bottom Fishing?

SAFE Working Paper No. 206, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-13
Number of pages: 84 Posted: 08 May 2018 Last Revised: 12 Feb 2021
Calebe de Roure, Loriana Pelizzon and Anjan V. Thakor
Reserve Bank of Australia, Goethe University Frankfurt - Faculty of Economics and Business Administration and Washington University, Saint Louis - John M. Olin School of Business
Downloads 1,256 (18,990)
Citation 33

Abstract:

Loading...

P2P lending, bank lending, competition

Portfolio Similarity and Asset Liquidation in the Insurance Industry

Number of pages: 59 Posted: 10 Oct 2017 Last Revised: 14 Jul 2020
Securities and Exchange Commission, Lehigh University - College of Business, University of Nebraska - Lincoln, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Downloads 936 (28,790)
Citation 10

Abstract:

Loading...

Interconnectedness, asset liquidation, similarity, financial stability, insurance companies, fire sales

Portfolio Similarity and Asset Liquidation in the Insurance Industry

SAFE Working Paper No. 224
Number of pages: 56 Posted: 27 Aug 2018 Last Revised: 28 Aug 2018
Securities and Exchange Commission, Lehigh University - College of Business, University of Nebraska - Lincoln, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Downloads 125 (268,427)
Citation 4

Abstract:

Loading...

Interconnectedness, Asset Liquidation, Similarity, Financial Stability, Insurance Companies, SIFI

Italian Equity Funds: Efficiency and Performance Persistence

EFMA 2001 Lugano Meetings
Number of pages: 30 Posted: 30 Apr 2001
Roberto Casarin, Andrea Piva and Loriana Pelizzon
University Ca' Foscari of Venice - Department of Economics, GRETA Associati and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 823 (34,424)
Citation 3

Abstract:

Loading...

Performance evaluation, performance persistence

Italian Equity Funds: Efficiency and Performance Persistence

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 12_08
Number of pages: 24 Posted: 20 May 2008
Roberto Casarin, Loriana Pelizzon and Andrea Piva
University Ca' Foscari of Venice - Department of Economics, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Venice
Downloads 179 (199,570)
Citation 2

Abstract:

Loading...

Mutual funds, Performance evaluation

Inside the ESG Ratings: (Dis)Agreement and Performance

SAFE Working Paper No. 284
Number of pages: 42 Posted: 31 Jul 2020 Last Revised: 08 Sep 2020
Ca Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Université Paris Dauphine, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 598 (52,999)
Citation 1

Abstract:

Loading...

Corporate Social Responsibility, ESG Rating Agencies, Sustainable Investments

Inside the ESG Ratings: (Dis)agreement and Performance

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2020
Number of pages: 42 Posted: 12 Jan 2021
Ca Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Ca' Foscari University of Venice, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 123 (271,822)

Abstract:

Loading...

Corporate Social Responsibility, ESG Rating Agencies, Sustainable Investments

Credit Derivatives, Capital Requirements and Opaque OTC Markets

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 58/06
Number of pages: 41 Posted: 01 Mar 2007
Antonio Nicolo and Loriana Pelizzon
University of Padova - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 371 (94,950)
Citation 9

Abstract:

Loading...

Credit derivatives, Signalling contracts, Capital requirements

Credit Derivatives, Capital Requirements and Opaque OTC Markets

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 58/06
Number of pages: 38 Posted: 06 Jul 2008 Last Revised: 02 May 2012
Loriana Pelizzon and Antonio Nicolo
Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Padova - Department of Economics
Downloads 168 (210,930)

Abstract:

Loading...

Credit derivatives, Signalling contracts, Capital requirements

Credit Derivatives, Capital Requirements and Opaque OTC Markets

Number of pages: 40 Posted: 21 Mar 2008
Antonio Nicolo and Loriana Pelizzon
University of Padova - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 154 (227,194)
Citation 1

Abstract:

Loading...

Credit derivatives, Signalling contracts, Capital requirements

Stock Market Returns, Corporate Governance and Capital Market Equilibrium

ECGI - Finance Working Paper No. 362
Number of pages: 54 Posted: 01 Jul 2013 Last Revised: 25 Nov 2014
University of Padova - Department of Economics, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universitaet Mannheim
Downloads 579 (55,234)
Citation 4

Abstract:

Loading...

Corporate Governance, Agency, CAPM, Stock Returns, Equilibrium

Stock Market Returns, Corporate Governance and Capital Market Equilibrium

CESifo Working Paper Series No. 4496
Number of pages: 40 Posted: 06 Dec 2013
University of Padova - Department of Economics, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universitaet Mannheim
Downloads 94 (327,899)

Abstract:

Loading...

corporate governance, CAPM, variability of returns

Stock Market Returns, Corporate Governance and Capital Market Equilibrium

CEPR Discussion Paper No. DP10392
Number of pages: 56 Posted: 10 Feb 2015
University of Padova - Department of Economics, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universitaet Mannheim
Downloads 0
  • Add to Cart

Abstract:

Loading...

beta, CAPM, cash flow, Corporate governance, stock returns

10.

Credit Derivatives: Capital Requirements and Strategic Contracting

EFMA 2004 BASEL MEETINGS
Number of pages: 43 Posted: 18 May 2004
Antonio Nicolo and Loriana Pelizzon
University of Padova - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 551 (59,482)
Citation 11

Abstract:

Loading...

Credit derivatives, Signalling contracts, Capital requirements

11.

Franchise Value, Capital Requirements and Closure Rules in a Dynamic Model of Bank Portfolio Management

EFMA 2001 Lugano Meetings
Number of pages: 62 Posted: 13 Mar 2001
Loriana Pelizzon
Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 499 (67,328)
Citation 5

Abstract:

Loading...

Bank risk, bank portfolio management, government regulation, bank closure rules

12.

Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?

SAFE Working Paper No. 95
Number of pages: 66 Posted: 01 Apr 2015 Last Revised: 17 Apr 2019
Loriana Pelizzon, Marti G. Subrahmanyam, Davide Tomio and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Darden School of Business and Waseda University
Downloads 493 (68,316)
Citation 8

Abstract:

Loading...

Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market

13.

High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?

SAFE Working Paper No. 270
Number of pages: 68 Posted: 24 Mar 2020 Last Revised: 08 Sep 2020
European Union - JRC-Ispra, European Commision, Aarhus University - CREATES, University of Manchester - Manchester Business School, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Verona - Department of Economics
Downloads 438 (78,890)
Citation 5

Abstract:

Loading...

flash crashes; high-frequency traders (HFTs); liquidity provision; market making

14.

Diversification and Ownership Concentration

EFA 2005 Moscow Meetings, CESifo Working Paper Series No. 1590
Number of pages: 47 Posted: 06 Mar 2005
Bruno Maria Parigi and Loriana Pelizzon
University of Padova - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 380 (93,144)
Citation 1

Abstract:

Loading...

Corporate governance, Investor protection, Private benefits, Diversification opportunities

The Anatomy of the Euro Area Interest Rate Swap Market

ECB Working Paper No. 2242 (2019); ISBN 978-92-899-3504-3
Number of pages: 70 Posted: 19 Feb 2019
USI Lugano, European Central Bank (ECB), Goethe University Frankfurt - Faculty of Economics and Business Administration and European Central Bank (ECB)
Downloads 332 (107,827)

Abstract:

Loading...

OTC derivatives, network analysis, interest rate risk, banking, risk management, hedging

The Anatomy of the Euro Area Interest Rate Swap Market

SAFE Working Paper No. 255, 2019
Number of pages: 60 Posted: 08 Aug 2019
USI Lugano, European Central Bank (ECB), Goethe University Frankfurt - Faculty of Economics and Business Administration and European Central Bank (ECB)
Downloads 41 (503,640)
Citation 1

Abstract:

Loading...

OTC derivatives, network analysis, interest rate risk, banking, risk management, hedging

16.

The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification

SAFE Working Paper No. 166
Number of pages: 63 Posted: 13 Feb 2017
Ca Foscari University of Venice - Dipartimento di Economia, University of Padova - Department of Statistical Sciences, Joint Research Center of the European Commission and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 342 (104,958)
Citation 9

Abstract:

Loading...

CAPM, volatility, network, interconnections, systematic risk

17.

The European Single Currency and the Volatility of European Stock Markets

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper; GRETA Associati Venezia Working Paper No. 0102
Number of pages: 39 Posted: 26 Feb 2002
Monica Billio and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 338 (106,382)
Citation 2

Abstract:

Loading...

Stock market volatility, Euro, Switching Regime Models.

18.

Market Volatility, Optimal Portfolios and Naive Asset Allocations

Ca Foscari University of Venice Working Paper No. 08/WP/2012
Number of pages: 18 Posted: 10 Jul 2012 Last Revised: 03 Oct 2012
Massimiliano Caporin and Loriana Pelizzon
University of Padova - Department of Statistical Sciences and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 335 (107,410)

Abstract:

Loading...

mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence

19.

The Power of ESG Ratings on Stock Markets

SAFE Working Paper No. 310
Number of pages: 42 Posted: 10 Mar 2021
Carmelo Latino, Loriana Pelizzon and Aleksandra Rzeźnik
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Faculty of Economics and Business Administration and York University, Schulich School of Business
Downloads 316 (114,507)

Abstract:

Loading...

Corporate Social Responsibility, ESG Rating Agencies, Sustainable Invest- ments, Socially responsible investing, ESG, Portfolio choice

20.
Downloads 312 (116,108)
Citation 3

Pillar 1 vs Pillar 2 Under Risk Management

Number of pages: 41 Posted: 07 Mar 2005
Stephen M. Schaefer and Loriana Pelizzon
London Business School - Institute of Finance and Accounting and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 265 (137,179)
Citation 1

Abstract:

Loading...

Bank portfolio management, Capital requirements

Pillar 1 vs. Pillar 2 Under Risk Management

NBER Working Paper No. w11666
Number of pages: 42 Posted: 07 Dec 2005 Last Revised: 02 May 2012
Stephen M. Schaefer and Loriana Pelizzon
London Business School - Institute of Finance and Accounting and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 47 (476,060)
Citation 1

Abstract:

Loading...

21.

Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods

SAFE Working Paper No. 144
Number of pages: 90 Posted: 21 Sep 2016 Last Revised: 07 Jun 2017
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 309 (117,295)
Citation 2

Abstract:

Loading...

High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision

Networks in Risk Spillovers: A Multivariate GARCH Perspective

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 03/WP/ 2016
Number of pages: 52 Posted: 04 Mar 2016
Ca Foscari University of Venice - Dipartimento di Economia, University of Padova - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 174 (204,594)
Citation 4

Abstract:

Loading...

spatial GARCH, network, risk spillover, financial spillover

Networks in Risk Spillovers: A Multivariate GARCH Perspective

SAFE Working Paper No. 225
Number of pages: 86 Posted: 27 Aug 2018 Last Revised: 28 Aug 2018
Ca Foscari University of Venice - Dipartimento di Economia, University of Padova - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 126 (266,841)
Citation 3

Abstract:

Loading...

spatial GARCH; network; risk spillover; financial spillover

23.
Downloads 299 (121,459)
Citation 2

Recovery from Fast Crashes: Role of Mutual Funds

SAFE Working Paper No. 227
Number of pages: 75 Posted: 27 Aug 2018 Last Revised: 16 Feb 2021
Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Norwegian School of Economics (NHH) - Department of Finance
Downloads 290 (124,689)
Citation 2

Abstract:

Loading...

Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital

Stock Price Crashes: Role of Slow-Moving Capital

NBER Working Paper No. w24098
Number of pages: 74 Posted: 16 Dec 2017 Last Revised: 24 Feb 2021
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York and Norwegian School of Economics (NHH) - Department of Finance
Downloads 9 (716,516)

Abstract:

Loading...

24.
Downloads 291 (124,951)
Citation 24

Measuring Sovereign Contagion in Europe

SAFE Working Paper No. 103
Number of pages: 92 Posted: 15 May 2015
University of Padova - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bozen-Bolzano - Faculty of Economics and Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 150 (232,187)
Citation 14

Abstract:

Loading...

Sovereign Risk, Contagion, Disintegration

Measuring Sovereign Contagion in Europe

Number of pages: 246 Posted: 17 Mar 2012 Last Revised: 13 Mar 2014
University of Padova - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bozen-Bolzano - Faculty of Economics and Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 124 (270,084)
Citation 4

Abstract:

Loading...

Sovereign Risk, Contagion

Measuring Sovereign Contagion in Europe

NBER Working Paper No. w18741
Number of pages: 58 Posted: 16 Sep 2020 Last Revised: 18 Mar 2021
University of Padova - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bozen-Bolzano and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 17 (653,092)
Citation 7

Abstract:

Loading...

25.

Mutual Excitation in Eurozone Sovereign CDS

SAFE Working Paper No. 51
Number of pages: 36 Posted: 19 May 2014 Last Revised: 02 Jun 2014
Yacine Ait-Sahalia, Roger J. A. Laeven and Loriana Pelizzon
Princeton University - Department of Economics, University of Amsterdam - Department of Quantitative Economics (KE) and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 289 (125,859)
Citation 7

Abstract:

Loading...

CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response

26.

Central Bank-Driven Mispricing

SAFE Working Paper No. 226
Number of pages: 75 Posted: 27 Aug 2018 Last Revised: 24 Mar 2020
Loriana Pelizzon, Marti G. Subrahmanyam, Davide Tomio and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Darden School of Business and Waseda University
Downloads 288 (126,313)
Citation 6

Abstract:

Loading...

Central Bank Interventions, Liquidity, Sovereign Bonds, Futures Contracts, Arbitrage

27.

The Impact of Monetary Policy Interventions on the Insurance Industry

SAFE Working Paper No. 204
Number of pages: 44 Posted: 07 May 2018
Loriana Pelizzon and Matteo Sottocornola
Goethe University Frankfurt - Faculty of Economics and Business Administration and EIOPA
Downloads 286 (127,251)
Citation 2

Abstract:

Loading...

Event study, monetary policy surprise, unconventional monetary policy, conventional monetary policy, insurance industry

28.

Hedge Fund Tail Risk: An Investigation in Stressed Markets, Extended Version with Appendix

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 01/WP/2016
Number of pages: 39 Posted: 22 Jan 2016 Last Revised: 14 Nov 2016
Monica Billio, Lorenzo Frattarolo and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 273 (133,641)
Citation 1

Abstract:

Loading...

Hedge funds, Tail risk, Diversification, Marginal risk contribution

29.

Liquidity Coinsurance and Bank Capital

SAFE Working Paper No. 45
Number of pages: 48 Posted: 13 Mar 2014
Tilburg University - Department of Finance, IE Business School, IE University, University of Vienna and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 263 (138,902)
Citation 1

Abstract:

Loading...

Bank Capital, Interbank Markets, Liquidity Coinsurance

30.

How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis

SAFE Working Paper No. 151
Number of pages: 44 Posted: 19 Oct 2016
Michael Schneider, Fabrizio Lillo and Loriana Pelizzon
Deutsche Bundesbank, Università di Bologna and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 228 (159,725)
Citation 3

Abstract:

Loading...

liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing

The Demand for Central Clearing: To Clear or Not to Clear, That Is the Question

SAFE Working Paper No. 193
Number of pages: 57 Posted: 02 Feb 2018 Last Revised: 08 Jun 2019
European Union - JRC-Ispra, European Commision, Securities and Exchange Commission, Joint Research Center of the European Commission, Goethe University Frankfurt - Faculty of Economics and Business Administration and European Central Bank (ECB)
Downloads 211 (171,586)
Citation 9

Abstract:

Loading...

Credit Default Swap (CDS), Central Counterparty Clearing House (CCP), European Market Infrastructure Regulation (EMIR), Sovereign

The Demand for Central Clearing: To Clear or Not to Clear, that is the Question

ESRB: Working Paper Series No. 2017/62
Number of pages: 58 Posted: 05 Nov 2020
European Union - JRC-Ispra, European Commision, Joint Research Center of the European Commission, Goethe University Frankfurt - Faculty of Economics and Business Administration and European Systemic Risk Board
Downloads 11 (700,495)

Abstract:

Loading...

Central Counterparty Clearing House (CCP), Credit Default Swap (CDS), European Market Infrastructure Regulation (EMIR), sovereign

Are Household Portfolios Efficient? An Analysis Conditional on Housing

EFA 2003 Annual Conference Paper No. 617, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 55/06
Number of pages: 51 Posted: 18 Jul 2003 Last Revised: 02 May 2012
Guglielmo Weber and Loriana Pelizzon
University of Padova - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 201 (179,709)
Citation 8

Abstract:

Loading...

Housing and portfolio choice, Portfolio efficiency

Are Household Portfolios Efficient? An Analysis Conditional on Housing

Number of pages: 45 Posted: 20 Jun 2003
Guglielmo Weber and Loriana Pelizzon
University of Padova - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 12 (692,466)
Citation 2
  • Add to Cart

Abstract:

Loading...

Portfolio choice, efficiency, housing

33.

Efficient Portfolios When Housing is a Hedge Against Rent Risk

EFA 2005 Moscow Meetings
Number of pages: 36 Posted: 06 Mar 2005
Guglielmo Weber and Loriana Pelizzon
University of Padova - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 209 (173,462)
Citation 1

Abstract:

Loading...

efficiency, housing and portfolio choice, rent risk

34.

Any Role for Mean Reversion in Short Term Asset Allocation?

Number of pages: 37 Posted: 17 Feb 2009
Massimiliano Caporin, Frans de Roon and Loriana Pelizzon
University of Padova - Department of Statistical Sciences, Tilburg University - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 207 (175,009)

Abstract:

Loading...

mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence

Does Monetary Policy Impact International Market Co-Movement?

Paris December 2017 Finance Meeting EUROFIDAI - AFFI, Swiss Finance Institute Research Paper No. 17-47
Number of pages: 61 Posted: 29 May 2017 Last Revised: 04 Sep 2020
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padova - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Swiss Finance Institute
Downloads 140 (245,761)

Abstract:

Loading...

Unconventional Monetary policy, Quantitative easing, Mundellian trilemma, Comovement, Sovereign credit risk

Does Monetary Policy Impact International Market Co-Movements?

SAFE Working Paper No. 276
Number of pages: 61 Posted: 14 May 2020 Last Revised: 08 Sep 2020
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padova - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Swiss Finance Institute
Downloads 57 (436,196)

Abstract:

Loading...

Unconventional Monetary policy, Quantitative easing, Mundellian trilemma, Comovements, Sovereign credit risk

36.
Downloads 194 (185,746)
Citation 2

Coming Early to the Party

SAFE Working Paper No. 182
Number of pages: 65 Posted: 20 Sep 2017
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 161 (218,730)
Citation 2

Abstract:

Loading...

High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery

Coming Early to the Party

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 11/WP/2020 , NYU Stern School of Business
Number of pages: 63 Posted: 18 Jun 2020
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 33 (544,905)

Abstract:

Loading...

High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery

37.

Designated Market Makers: Competition and Incentives

SAFE Working Paper No. 247, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, NYU Stern School of Business
Number of pages: 117 Posted: 18 Apr 2019 Last Revised: 09 Oct 2020
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance and Norwegian School of Economics (NHH) - Department of Finance
Downloads 189 (190,160)

Abstract:

Loading...

Designated Market Makers (DMMs), Liquidity Provision

38.

CDS Industrial Sector Indices, Credit and Liquidity Risk

Ca’ Foscari University of Venice Working Paper No. 09/WP/2012
Number of pages: 26 Posted: 10 Jul 2012
Ca Foscari University of Venice - Dipartimento di Economia, University of Padova - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 173 (205,539)
Citation 2

Abstract:

Loading...

credit risk, common factors, liquidity risk

39.

The COVID-19 Shock and Equity Shortfall: Firm-Level Evidence from Italy

SAFE Working Paper No. 285, 2020, NYU Stern School of Business
Number of pages: 34 Posted: 13 Aug 2020 Last Revised: 29 Oct 2020
Bocconi University - Department of Finance, University of Naples Federico II - Department of Economic and Statistical Sciences, University of Naples Federico II - Department of Economics and Statistics, Goethe University Frankfurt - Faculty of Economics and Business Administration and New York University (NYU) - Department of Finance
Downloads 164 (215,030)

Abstract:

Loading...

COVID-19, pandemics, losses, distress, equity, recapitalization

40.

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

NBER Working Paper No. w16223
Number of pages: 58 Posted: 26 Jul 2010
Ca Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 154 (226,764)
Citation 2

Abstract:

Loading...

41.
Downloads 152 (229,193)
Citation 1

OTC Discount

SAFE Working Paper No. 298
Number of pages: 81 Posted: 08 Dec 2020
Reserve Bank of Australia, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 66 (404,593)
Citation 1

Abstract:

Loading...

Market Microstructure, Hybrid Markets, Venue Choice, Interdealer Brokerage, Fixed-Income, OTC Markets, Search Frictions, Information Frictions

OTC Discount

Deutsche Bundesbank Discussion Paper No. 42/2019
Number of pages: 69 Posted: 20 Dec 2019
Reserve Bank of Australia, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 52 (455,332)

Abstract:

Loading...

Market Microstructure,Hybrid Markets,Venue Choice,Interdealer Brokerage,Fixed-Income,OTC Markets,Intermediation Frictions,Search Frictions,Information Frictions

OTC Discount

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 04 Jun 2018
Reserve Bank of Australia, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 34 (539,290)

Abstract:

Loading...

venue choice, hybrid markets, sovereign bond markets

42.

Loss Sharing in Central Clearinghouses: Winners and Losers

SAFE Working Paper No. 235
Number of pages: 59 Posted: 06 Nov 2018 Last Revised: 22 Feb 2021
University of Bonn - Institute for Financial Economics and Statistics, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Downloads 149 (232,924)
Citation 1

Abstract:

Loading...

Central Clearing, Counterparty Risk, Loss Sharing, OTC markets, Derivatives

43.

Global Realignment in Financial Market Dynamics: Evidence from ETF Networks

SAFE Working Paper No. 304
Number of pages: 37 Posted: 04 Feb 2021 Last Revised: 23 Mar 2021
Ca Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Stockholm University
Downloads 144 (239,457)

Abstract:

Loading...

Network theory; Centrality; High Frequency Data; ETFs; Financial Crises; Covid-19; International Finance

44.

Collateral Eligibility of Corporate Debt in the Eurosystem

SAFE Working Paper No. 275, NYU Stern School of Business
Number of pages: 101 Posted: 27 Apr 2020 Last Revised: 12 Nov 2020
Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz Institute for Financial Research SAFE, Netspar and New York University (NYU) - Department of Finance
Downloads 136 (250,821)
Citation 2

Abstract:

Loading...

Collateral Policy, ECB, Corporate Bonds, Eligibility premium

Scarcity and Spotlight Effects on Term Structure: Quantitative Easing in Japan

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 44 Posted: 04 Jun 2017
Loriana Pelizzon, Marti G. Subrahmanyam, Reiko Tobe and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University - Graduate School of Finance, Accounting & Law and Waseda University
Downloads 70 (391,771)
Citation 1

Abstract:

Loading...

Sovereign bonds, quantitative easing, market liquidity, scarcity, spotlight

Scarcity and Spotlight Effects on Liquidity: Quantitative Easing in Japan

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 47 Posted: 23 Jan 2018 Last Revised: 18 Apr 2018
Loriana Pelizzon, Marti G. Subrahmanyam, Reiko Tobe and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University - Graduate School of Finance, Accounting & Law and Waseda University
Downloads 57 (436,196)
Citation 5

Abstract:

Loading...

Sovereign bonds, quantitative easing, market liquidity, scarcity, spotlight

Risk Pooling, Intermediation Efficiency, and the Business Cycle

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21
Number of pages: 51 Posted: 24 Jul 2019 Last Revised: 24 Feb 2021
Pietro Dindo, Andrea Modena and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Bonn and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 65 (407,925)

Abstract:

Loading...

Amplification, business cycle, efficiency, dampening, restricted market participation, risk pooling

Risk Pooling, Intermediation Efficiency, and the Business Cycle

SAFE Working Paper No. 271
Number of pages: 51 Posted: 25 Mar 2020 Last Revised: 24 Feb 2021
Pietro Dindo, Andrea Modena and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Bonn and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 32 (550,482)

Abstract:

Loading...

Amplification, business cycle, efficiency, dampening, restricted market participation, risk pooling

Risk Pooling, Leverage, and the Business Cycle

CESifo Working Paper No. 7772
Number of pages: 73 Posted: 16 Jun 2020
Pietro Dindo, Andrea Modena and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Bonn and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 22 (616,007)

Abstract:

Loading...

amplification, business cycle, financial frictions, leverage, risk pooling

47.

Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case

SAFE Working Paper No. 261, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 06/WP/2020
Number of pages: 43 Posted: 18 May 2020
Monica Billio, Michele Costola, Loriana Pelizzon and Max Riedel
Ca Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Goethe University Frankfurt - Faculty of Economics and Business Administration and Leibniz Institute for Financial Research SAFE
Downloads 107 (298,860)

Abstract:

Loading...

Mortgages, Energy Efficiency, Credit Risk

48.

Does Local Market Correlation Matter for Ownership Structure and Control Rights?

Number of pages: 41 Posted: 21 Nov 2004
Bruno Maria Parigi and Loriana Pelizzon
University of Padova - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 101 (310,714)

Abstract:

Loading...

Corporate Governance, Market integration, CAPM

49.

Efficient Portfolios When Housing Needs Change Over the Life-Cycle

University Ca' Foscari of Venice, Department of Economics Research Paper No. 31/WP/2007
Number of pages: 66 Posted: 17 Mar 2006
Guglielmo Weber and Loriana Pelizzon
University of Padova - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 100 (312,794)
Citation 4

Abstract:

Loading...

Housing and portfolio choice, Portfolio efficiency, Rental risk, Life-cycle

50.

Portfolio Performance Measure and a New Generalized Utility-Based N-Moment Measure

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 22
Number of pages: 34 Posted: 11 Nov 2013
Ca Foscari University of Venice - Dipartimento di Economia, University Paris-1 Panthéon-Sorbonne, EMLyon Business School (Paris Campus) and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 97 (318,946)

Abstract:

Loading...

Utility Function, Performance Measures, Agents’ Preferences, Portfolio Ranking

51.

Deciphering the Libor and Euribor Spreads During the Subprime Crisis

North American Journal of Economics and Finance 26 (2013) 565– 585
Number of pages: 21 Posted: 09 Jul 2013 Last Revised: 11 Mar 2015
Loriana Pelizzon and Domenico Sartore
Goethe University Frankfurt - Faculty of Economics and Business Administration and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 79 (361,725)

Abstract:

Loading...

Subprime Crisis, Collateral Liquidity, Unconventional Monetary Policy

52.

The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy

NYU Stern School of Business
Number of pages: 34 Posted: 29 May 2020 Last Revised: 10 Sep 2020
Bocconi University - Department of Finance, University of Naples Federico II - Department of Economic and Statistical Sciences, University of Naples Federico II - Department of Economics and Statistics, Goethe University Frankfurt - Faculty of Economics and Business Administration and New York University (NYU) - Department of Finance
Downloads 76 (369,881)
Citation 2

Abstract:

Loading...

COVID-19, pandemics, losses, distress, equity, recapitalization

53.

The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times

Number of pages: 54 Posted: 14 Apr 2021
Ruggero Jappelli, Loriana Pelizzon and Alberto Plazzi
Goethe University, Frankfurt, Goethe University Frankfurt - Faculty of Economics and Business Administration and Swiss Finance Institute
Downloads 63 (409,244)

Abstract:

Loading...

COVID-19, Credit Risk, Sovereign Risk, Fiscal Capacity, Bailout

54.

Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 09/WP/2020, NYU Stern School of Business
Number of pages: 89 Posted: 22 Jun 2020
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 47 (467,493)

Abstract:

Loading...

High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision

55.

Credit Scoring in SME Asset-Backed Securities: An Italian Case Study

SAFE Working Paper No. 262 (2019)
Number of pages: 38 Posted: 22 Oct 2019 Last Revised: 22 Jan 2021
Andrea Bedin, Monica Billio, Michele Costola and Loriana Pelizzon
Goethe University Frankfurt, Ca Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 45 (475,933)

Abstract:

Loading...

credit scoring; probability of default; small and medium enterprises; assetbacked securities

56.

Resiliency: Cross-Venue Dynamics with Hawkes Processes

SAFE Working Paper No. 291
Number of pages: 63 Posted: 16 Oct 2020
Loriana Pelizzon, Satchit Sagade and Katia Vozian
Goethe University Frankfurt - Faculty of Economics and Business Administration, Goethe University Frankfurt - Department of Finance and Hanken School of Economics - Helsinki Graduate School of Economics
Downloads 44 (480,186)

Abstract:

Loading...

liquidity, resiliency, fragmentation, competition, high-frequency data, Hawkes processes

57.

The Carrot and the Stick: Bank Bailouts and the Disciplining Role of Board Appointments

European Corporate Governance Institute – Finance Working Paper No. 742/2021
Number of pages: 47 Posted: 24 Mar 2021
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Faculty of Economics and Business Administration, Goethe University Frankfurt - Research Center SAFE and Washington University, Saint Louis - John M. Olin School of Business
Downloads 31 (542,215)

Abstract:

Loading...

corporate governance, directors, bank bailouts

58.

The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 450, NYU Stern School of Business Forthcoming
Number of pages: 35 Posted: 02 Oct 2020
Bocconi University - Department of Finance, University of Naples Federico II - CSEF - Center for Studies in Economics and Finance, University of Naples Federico II - Department of Economics and Statistics, Goethe University Frankfurt - Faculty of Economics and Business Administration and New York University (NYU) - Department of Finance
Downloads 30 (547,594)

Abstract:

Loading...

COVID-19, pandemics, losses, distress, equity, recapitalization

59.

Machine Learning Sentiment Analysis, Covid-19 News and Stock Market Reactions

SAFE Working Paper No. 288
Posted: 15 Sep 2020
Michele Costola, Michael Nofer, Oliver Hinz and Loriana Pelizzon
Ca' Foscari University of Venice, Goethe University Frankfurt, Goethe University Frankfurt - Faculty of Economics and Business Administration and Goethe University Frankfurt - Faculty of Economics and Business Administration

Abstract:

Loading...

COVID-19 news, Sentiment Analysis, Stock Markets

60.

The Covid-19 Shock and Equity Shortfall: Firm-Level Evidence from Italy

CEPR Discussion Paper No. DP14831
Number of pages: 35 Posted: 03 Jun 2020 Last Revised: 16 Jun 2020
Bocconi University, University of Naples Federico II - CSEF - Center for Studies in Economics and Finance, University of Naples Federico II - Department of Economics and Statistics, Goethe University Frankfurt - Faculty of Economics and Business Administration and New York University (NYU) - Department of Finance
Downloads 0 (774,963)
Citation 2
  • Add to Cart

Abstract:

Loading...

COVID-19, Distress, equity, losses, Pandemics, Recapitalization

61.

Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data

Journal of Alternative Investments (forthcoming), https://doi.org/10.3905/JAI.2009.12.1.021
Posted: 22 May 2019
Monica Billio, Mila Getmansky Sherman and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration

Abstract:

Loading...

Hedge Funds, Risk Management, High frequency data

62.

Health Status and Portfolio Choice: Is Their Relationship Economically Relevant?

International Review of Financial Analysis, Vol. 32, 2014
Posted: 07 Dec 2016
Silvia Bressan, Noemi Pace and Loriana Pelizzon
Free University of Bozen-Bolzano - Faculty of Economics and Management, Ca Foscari University of Venice - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration

Abstract:

Loading...

Household portfolios; Health status

63.

Bank Credit to Medium-Sized Enterprises in Italy: The Trends Before and During the Crisis

Bancaria No. 02-2011
Posted: 18 Apr 2011
Ivan Lorenzon, Marcella Lucchetta and Loriana Pelizzon
affiliation not provided to SSRN, Ca Foscari University of Venice and Goethe University Frankfurt - Faculty of Economics and Business Administration

Abstract:

Loading...

Financial crisis, Firm credit availability

64.

Relative Benchmark Rating and Persistence Analysis: Evidence from Italian Equity Funds

European Journal of Finance, Vol. 11, No. 4, pp. 297-308
Posted: 21 Jan 2005
Fondazione Eni Enrico Mattei (FEEM), Venice, Goethe University Frankfurt - Faculty of Economics and Business Administration, Ca Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics

Abstract:

Loading...

Mutual funds, performance evaluation, persistence analysis, style analysis, morningstar rating, risk adjusted measures

Other Papers (1)

Total Downloads: 179
1.

Contagion Detection with Switching Regime Models: A Short and Long Run Analysis

Number of pages: 26 Posted: 05 Mar 2005
Monica Billio, Marco Lo Duca and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, European Central Bank (ECB) and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 179

Abstract:

Loading...

Contagion, stock market crises, international financial markets, financial integration, Markov switching models, long run analysis