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

67

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28,068

SSRN CITATIONS
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Top 2,272

in Total Papers Citations

377

CROSSREF CITATIONS

208

Scholarly Papers (67)

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 5,311 (1,804)
Citation 155

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Systemic Risk, Financial Institutions, Liquidity, Financial Crises

2.
Downloads 3,270 ( 4,243)
Citation 18

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 3,270 (4,155)
Citation 21

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Hedge Fund, Risk Management, Financial Crisis

3.
Downloads 1,408 ( 16,704)
Citation 16

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 765 (39,683)

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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 643 (50,119)
Citation 32

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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 1,377 (17,285)
Citation 33

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P2P lending, bank lending, competition

5.
Downloads 1,145 ( 22,765)
Citation 6

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 872 (33,118)
Citation 1

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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 273 (137,566)

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Corporate Social Responsibility, ESG Rating Agencies, Sustainable Investments

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 984 (27,945)
Citation 11

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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 142 (251,031)
Citation 4

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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 826 (35,696)
Citation 3

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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 181 (204,144)
Citation 2

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Mutual funds, Performance evaluation

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 Nicolò and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 371 (98,375)
Citation 9

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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 Nicolò
Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Padua - Department of Economics
Downloads 168 (217,906)

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Credit derivatives, Signalling contracts, Capital requirements

Credit Derivatives, Capital Requirements and Opaque OTC Markets

Number of pages: 40 Posted: 21 Mar 2008
Antonio Nicolò and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 154 (234,712)
Citation 1

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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 Padua - Department of Economics, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universitaet Mannheim
Downloads 582 (57,035)
Citation 4

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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 Padua - Department of Economics, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universitaet Mannheim
Downloads 95 (335,740)

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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 Padua - Department of Economics, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universitaet Mannheim
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beta, CAPM, cash flow, Corporate governance, stock returns

10.

The Salience of ESG Ratings for Stock Pricing: Evidence From (Potentially) Confused Investors

SAFE Working Paper No. 310
Number of pages: 59 Posted: 10 Mar 2021 Last Revised: 25 Jun 2021
York University, Schulich School of Business, Lehigh University - College of Business and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 616 (53,759)

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

11.

Credit Derivatives: Capital Requirements and Strategic Contracting

EFMA 2004 BASEL MEETINGS
Number of pages: 43 Posted: 18 May 2004
Antonio Nicolò and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 554 (61,390)
Citation 11

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Credit derivatives, Signalling contracts, Capital requirements

12.

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 (69,960)
Citation 5

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

13.

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 495 (70,625)
Citation 8

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

14.

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 470 (75,254)
Citation 6

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

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 338 (109,434)

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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 43 (509,018)
Citation 1

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

16.

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 Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 380 (96,511)
Citation 1

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Corporate governance, Investor protection, Private benefits, Diversification opportunities

17.

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 Padua - Department of Statistical Sciences, Joint Research Center of the European Commission and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 360 (102,655)
Citation 10

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CAPM, volatility, network, interconnections, systematic risk

18.

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 (110,157)
Citation 2

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Stock market volatility, Euro, Switching Regime Models.

19.

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 335 (111,281)
Citation 2

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

20.

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 Padua - Department of Statistical Sciences and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 335 (111,281)

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

21.
Downloads 325 (115,004)
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 316 (117,748)
Citation 2

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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: 07 May 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 (739,109)

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22.

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 319 (117,310)
Citation 2

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

23.
Downloads 313 (119,693)
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 266 (141,363)
Citation 1

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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: 19 May 2021
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 (490,409)
Citation 1

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24.

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 307 (122,638)
Citation 6

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

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 Padua - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 174 (211,342)
Citation 4

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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 Padua - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 130 (268,941)
Citation 3

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spatial GARCH; network; risk spillover; financial spillover

26.
Downloads 297 (126,557)
Citation 27

Measuring Sovereign Contagion in Europe

SAFE Working Paper No. 103
Number of pages: 92 Posted: 15 May 2015
University of Padua - 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 152 (237,312)
Citation 14

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Sovereign Risk, Contagion, Disintegration

Measuring Sovereign Contagion in Europe

Number of pages: 246 Posted: 17 Mar 2012 Last Revised: 13 Mar 2014
University of Padua - 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 127 (273,745)
Citation 4

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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 Padua - 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 18 (665,249)
Citation 10

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27.

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 296 (126,956)
Citation 8

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

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 (138,257)
Citation 1

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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 266 (141,993)
Citation 1

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Bank Capital, Interbank Markets, Liquidity Coinsurance

30.

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

Swiss Finance Institute Research Paper No. 21-30
Number of pages: 56 Posted: 14 Apr 2021 Last Revised: 22 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 256 (147,550)

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

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 226 (166,105)
Citation 9

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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 12 (713,802)

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

32.

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 235 (160,336)
Citation 3

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

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 Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 201 (185,780)
Citation 8

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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 Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 12 (713,802)
Citation 2
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Portfolio choice, efficiency, housing

34.

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 211 (177,672)
Citation 1

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Designated Market Makers (DMMs), Liquidity Provision

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 Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Swiss Finance Institute
Downloads 144 (248,180)

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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 Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Swiss Finance Institute
Downloads 67 (413,610)

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

36.

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 210 (178,467)
Citation 1

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

37.
Downloads 210 (178,467)
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 173 (212,386)
Citation 2

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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 37 (539,033)

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

38.

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 Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 210 (178,467)
Citation 1

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efficiency, housing and portfolio choice, rent risk

39.

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 Padua - Department of Statistical Sciences, Tilburg University - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 207 (180,847)

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

40.
Downloads 186 (199,301)
Citation 3

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 98 (329,007)
Citation 3

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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 53 (465,122)

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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 35 (550,007)

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venue choice, hybrid markets, sovereign bond markets

41.

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 178 (207,129)

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

42.

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, Leibniz Institute for Financial Research SAFE and New York University (NYU) - Department of Finance
Downloads 175 (210,221)
Citation 2

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Collateral Policy, ECB, Corporate Bonds, Eligibility premium

43.

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 Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 175 (210,221)
Citation 2

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credit risk, common factors, liquidity risk

44.

Loss Sharing in Central Clearinghouses: Winners and Losers

SAFE Working Paper No. 235
Number of pages: 56 Posted: 06 Nov 2018 Last Revised: 20 Jul 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 159 (228,032)
Citation 1

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

45.

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

NBER Working Paper No. w16223
Number of pages: 58 Posted: 26 Jul 2010 Last Revised: 01 May 2021
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 159 (228,032)
Citation 2

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46.

A Modern Take on Market Efficiency: The Impact of Trump’s Tweets on Financial Markets

SAFE Working Paper No. 314
Number of pages: 70 Posted: 06 May 2021 Last Revised: 23 Jun 2021
University of Massachusetts Amherst, Goethe University Frankfurt - Faculty of Economics and Business Administration, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Leibniz Institute for Financial Research SAFE
Downloads 154 (234,225)

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Market efficiency, Social media, Twitter, High-frequency event study, Machine learning, ETFs

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 144 (247,485)

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Mortgages, Energy Efficiency, Credit Risk

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 76 (385,326)

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corporate governance, directors, bank bailouts

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

SAFE Working Paper No. 316
Number of pages: 68 Posted: 08 Jul 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 60 (438,210)

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Bank Bailout, TARP, Capital Purchase Program, Dividend Pay- ments, Board Appointments, Bank Recapitalization

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 71 (400,632)
Citation 1

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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 65 (420,348)
Citation 7

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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 67 (413,610)

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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 (567,090)

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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 (634,789)

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

Risk Pooling, Intermediation Efficiency, and the Business Cycle

Number of pages: 51 Posted: 30 Jun 2021
Andrea Modena, Pietro Dindo and Loriana Pelizzon
University of Bonn, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 6 (764,466)

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Ampli cation, business cycle, eciency, dampening, restricted market participation, risk pooling

51.

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 Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 101 (320,335)
Citation 4

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

52.

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 Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 101 (320,335)

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Corporate Governance, Market integration, CAPM

53.

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 (328,817)

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

54.

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 80 (370,225)

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Subprime Crisis, Collateral Liquidity, Unconventional Monetary Policy

55.

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 79 (372,971)
Citation 2

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

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 59 (435,598)

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

57.

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 55 (450,152)

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

58.

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 49 (473,368)

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

59.

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 31 (558,647)

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

60.

Lighting Up the Dark: Liquidity in the German Corporate Bond Market

Deutsche Bundesbank Discussion Paper No. 21/2021
Number of pages: 1 Posted: 29 Jul 2021
Deutsche Bundesbank, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business Administration and New York University (NYU) - Leonard N. Stern School of Business
Downloads 9 (710,610)

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61.

The Salience of ESG Ratings for Stock Pricing: Evidence from (Potentially) Confused Investors

CEPR Discussion Paper No. DP16334
Number of pages: 60 Posted: 14 Jul 2021
Goethe University Frankfurt - Faculty of Economics and Business Administration, York University and Lehigh University - College of Business
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62.

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

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COVID-19 news, Sentiment Analysis, Stock Markets

63.

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
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Citation 2
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COVID-19, Distress, equity, losses, Pandemics, Recapitalization

64.

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

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Hedge Funds, Risk Management, High frequency data

65.

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

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Household portfolios; Health status

66.

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

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Financial crisis, Firm credit availability

67.

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

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

Other Papers (1)

Total Downloads: 183
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 183

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