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

69

DOWNLOADS
Rank 1,071

SSRN RANKINGS

Top 1,071

in Total Papers Downloads

31,988

SSRN CITATIONS
Rank 2,247

SSRN RANKINGS

Top 2,247

in Total Papers Citations

374

CROSSREF CITATIONS

215

Scholarly Papers (69)

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
Monica Billio, Monica Billio, Andrew W. Lo, Mila Getmansky Sherman, Loriana Pelizzon and Loriana Pelizzon
University of Venice - Department of EconomicsCa 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 AdministrationLeibniz Institute for Financial Research SAFE
Downloads 5,375 (1,860)
Citation 155

Abstract:

Loading...

Systemic Risk, Financial Institutions, Liquidity, Financial Crises

2.
Downloads 3,294 ( 4,410)
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, Monica Billio, Mila Getmansky Sherman, Loriana Pelizzon and Loriana Pelizzon
University of Venice - Department of EconomicsCa 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 AdministrationLeibniz Institute for Financial Research SAFE
Downloads 3,294 (4,326)
Citation 22

Abstract:

Loading...

Hedge Fund, Risk Management, Financial Crisis

3.

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas RITTMANNSBERGER, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Maria Vaduva, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Zhen-Xing Wu, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Xingyu Sonya Zhu, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi and Li Bao
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, affiliation not provided to SSRN, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, affiliation not provided to SSRN, The University of Sydney Business School, University of Technology Sydney, Neoma Business School, HEC Paris, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, affiliation not provided to SSRN, Auburn University, University of St. Gallen, HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Tilburg University - Tilburg University School of Economics and Management, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, University of Toulouse - Toulouse Business School, Monash Business School, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco School of Management, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, University of Southampton - Business School, University of Liège - HEC Management School, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Toulouse School of Economics, Masaryk University, KU Leuven, Department Accounting, Finance and Insurance, Nottingham Trent University - Nottingham Business School, ICHEC Brussels Management School, Erasmus University - Rotterdam School of Management, Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, West Virginia University, College of Business & Economics, Department of Finance, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, USI Lugano, Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia Business School - Finance and Economics, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, Eberhard Karls Universität Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, HEC-ULg University of Liège, Ecole Polytechnique Fédérale de Lausanne, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, WU Wien, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, University of Technology Sydney (UTS) - Finance Discipline Group, Business School, University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB) - Directorate General Research, Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, School of Business and Economics, VU Amsterdam, University of New Mexico, Cardiff Business School, Saint Joseph University, Columbia Business School, Bank of England, Aalto University, University of Sussex, affiliation not provided to SSRN, Durham University Business School, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University School of Business, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Faculty of Economics and Business Administration, University of Manchester - Manchester Business School, Northwestern University, University of Warwick - Warwick Business School, University of Sydney Business School, University of Orleans, Hong Kong Institute for Monetary and Financial Research, HEC Liège, Management School of the University of Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, affiliation not provided to SSRN, University of Zurich - Department of Banking and Finance, Department of Finance, Aalto University - Department of Finance, La Trobe University, UCSI University, Malaysia, WU, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Universita della Svizzera italiana (USI Lugano), EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), Toulouse Business School, New York University (NYU), Department of Economics, Students, RMIT University, Toulouse School of Economics, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, affiliation not provided to SSRN, Copenhagen Business School - Department of Finance, University of Florida - Department of Finance, Insurance and Real Estate, Institute for Management Research, Radboud University Nijmegen, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto - Finance Area, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School - Department of Finance, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU Amsterdam, University of Verona - Department of Economics, University of Toronto - Rotman School of ManagementUniversity of Toronto at Scarborough - Division of Management, Universite du Luxembourg - Department of Finance, Aalto University - School of Business, Queen's University - Smith School of Business, affiliation not provided to SSRN, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, Alliance Manchester Business School, University of Manchester, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, affiliation not provided to SSRN, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, Schulich School of Business, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, University of Geneva GSEM and GFRI, University of Mannheim, University of Manchester - Department of Economics, Leuphana University of Lueneburg, Goethe University Frankfurt - House of Finance, affiliation not provided to SSRN, University of Lausanne, University of Stuttgart, Institute of Business Administration, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), ASU WP Carey School of Business, VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, affiliation not provided to SSRN, University of Zurich, WU Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, affiliation not provided to SSRN, Luxembourg School of Finance, New York University (NYU) - Department of Finance, Aalto University, Eötvös Loránd University, Swansea University - School of Management, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, Catholic University of Milan, Copenhagen Business School - Department of Finance, University Constantin Brancusi of Targu-Jiu, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Essex Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Swiss Finance Institute, University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF)Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg - Luxembourg School of Finance, Department of Finance, School of Business and Economics, Asia University - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Zhongnan University of Economics and Law - School of Finance, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University School of Business, VU AmsterdamTinbergen Institute, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, VU University Amsterdam - Department of Finance and Financial Sector Management, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Bank for International Settlements (BIS)Stockholm School of EconomicsStockholm School of Economics - Swedish House of Finance, University of Toronto at Mississauga - Department of Management, Vrije Universiteit Amsterdam, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management UniversityImperial College Business School, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, Aalto University, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney and University of Toulouse Capitole
Downloads 2,085 (9,704)

Abstract:

Loading...

non-standard errors, multi-analyst approach, liquidity

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: 86 Posted: 08 May 2018 Last Revised: 08 Oct 2021
Calebe de Roure, Loriana Pelizzon, Loriana Pelizzon and Anjan V. Thakor
Reserve Bank of Australia, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and Washington University, Saint Louis - John M. Olin School of Business
Downloads 1,536 (15,249)
Citation 33

Abstract:

Loading...

P2P lending, bank lending, competition

5.
Downloads 1,513 ( 15,613)
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
Monica Billio, Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon and Loriana Pelizzon
University of Venice - Department of EconomicsCa 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 AdministrationLeibniz Institute for Financial Research SAFE
Downloads 1,108 (24,508)
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
Monica Billio, Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon and Loriana Pelizzon
University of Venice - Department of EconomicsCa 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 AdministrationLeibniz Institute for Financial Research SAFE
Downloads 405 (92,228)

Abstract:

Loading...

Corporate Social Responsibility, ESG Rating Agencies, Sustainable Investments

6.
Downloads 1,486 ( 16,096)
Citation 16

How Does P2P Lending Fit into the Consumer Credit Market?

Number of pages: 24 Posted: 05 Oct 2016
Calebe de Roure, Loriana Pelizzon, Loriana Pelizzon and Paolo Tasca
Reserve Bank of Australia, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and UCL Centre for Blockchain Technologies
Downloads 828 (37,025)

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, Loriana Pelizzon and Paolo Tasca
Reserve Bank of Australia, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and UCL Centre for Blockchain Technologies
Downloads 658 (50,539)
Citation 34

Abstract:

Loading...

P2P lending, financial intermediation, consumer credit

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 AdministrationLeibniz Institute for Financial Research SAFE and University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Downloads 1,025 (27,467)
Citation 11

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 AdministrationLeibniz Institute for Financial Research SAFE and University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Downloads 147 (252,297)
Citation 5

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, Loriana Pelizzon and Loriana Pelizzon
University Ca' Foscari of Venice - Department of Economics, GRETA Associati and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 827 (37,091)
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, Loriana Pelizzon and Andrea Piva
University Ca' Foscari of Venice - Department of Economics, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and University of Venice
Downloads 184 (208,228)
Citation 2

Abstract:

Loading...

Mutual funds, Performance evaluation

9.

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

SAFE Working Paper No. 310
Number of pages: 67 Posted: 10 Mar 2021 Last Revised: 08 Oct 2021
Aleksandra Rzeźnik, Kathleen Weiss Hanley, Loriana Pelizzon and Loriana Pelizzon
York University, Schulich School of Business, Lehigh University - College of Business and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 955 (30,907)

Abstract:

Loading...

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

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, Loriana Pelizzon and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 371 (102,045)
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, Loriana Pelizzon and Antonio Nicolò
Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and University of Padua - Department of Economics
Downloads 170 (223,148)

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 Nicolò, Loriana Pelizzon and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 154 (242,736)
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
Bruno Maria Parigi, Bruno Maria Parigi, Loriana Pelizzon, Loriana Pelizzon and Ernst-Ludwig von Thadden
University of Padua - Department of EconomicsCESifo (Center for Economic Studies and Ifo Institute), Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and Universitaet Mannheim
Downloads 587 (58,727)
Citation 4

Abstract:

Loading...

Corporate Governance, Agency, CAPM, Stock Returns, Equilibrium

Stock Market Returns, Corporate Governance and Capital Market Equilibrium

Number of pages: 40 Posted: 06 Dec 2013
Bruno Maria Parigi, Bruno Maria Parigi, Loriana Pelizzon, Loriana Pelizzon and Ernst-Ludwig von Thadden
University of Padua - Department of EconomicsCESifo (Center for Economic Studies and Ifo Institute), Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and Universitaet Mannheim
Downloads 99 (337,762)

Abstract:

Loading...

corporate governance, CAPM, variability of returns

Stock Market Returns, Corporate Governance and Capital Market Equilibrium

Number of pages: 56 Posted: 10 Feb 2015
Bruno Maria Parigi, Bruno Maria Parigi, Loriana Pelizzon, Loriana Pelizzon and Ernst-Ludwig von Thadden
University of Padua - Department of EconomicsCESifo (Center for Economic Studies and Ifo Institute), Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and Universitaet Mannheim
Downloads 0
  • Add to Cart

Abstract:

Loading...

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

12.

Credit Derivatives: Capital Requirements and Strategic Contracting

EFMA 2004 BASEL MEETINGS
Number of pages: 43 Posted: 18 May 2004
Antonio Nicolò, Loriana Pelizzon and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 555 (63,574)
Citation 11

Abstract:

Loading...

Credit derivatives, Signalling contracts, Capital requirements

13.

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 and Loriana Pelizzon
Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 501 (72,288)
Citation 5

Abstract:

Loading...

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

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
Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Loriana Pelizzon and Roberto Renò
European Union - JRC-Ispra, European Commision, Aarhus University - CREATES, University of Manchester - Manchester Business School, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and University of Verona - Department of Economics
Downloads 500 (72,464)
Citation 6

Abstract:

Loading...

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

15.

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

Journal of Financial Economics (JFE), Vol. 122, No. 1, 2016
Number of pages: 66 Posted: 01 Apr 2015 Last Revised: 11 Aug 2021
Loriana Pelizzon, Loriana Pelizzon, Marti G. Subrahmanyam, Davide Tomio and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, New York University (NYU) - Department of Finance, Darden School of Business and Waseda University
Downloads 499 (72,627)
Citation 8

Abstract:

Loading...

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

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
Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon, Loriana Pelizzon and Martin Scheicher
USI Lugano, European Central Bank (ECB), Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and European Central Bank (ECB)
Downloads 346 (110,410)

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
Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon, Loriana Pelizzon and Martin Scheicher
USI Lugano, European Central Bank (ECB), Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and European Central Bank (ECB)
Downloads 49 (497,301)
Citation 1

Abstract:

Loading...

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

17.

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, Bruno Maria Parigi, Loriana Pelizzon and Loriana Pelizzon
University of Padua - Department of EconomicsCESifo (Center for Economic Studies and Ifo Institute) and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 384 (98,925)
Citation 1

Abstract:

Loading...

Corporate governance, Investor protection, Private benefits, Diversification opportunities

18.

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
Monica Billio, Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon and Loriana Pelizzon
University of Venice - Department of EconomicsCa 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 AdministrationLeibniz Institute for Financial Research SAFE
Downloads 367 (104,081)
Citation 11

Abstract:

Loading...

CAPM, volatility, network, interconnections, systematic risk

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, Loriana Pelizzon and Matteo Sottocornola
Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and EIOPA
Downloads 351 (109,400)
Citation 2

Abstract:

Loading...

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

20.

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: 62 Posted: 14 Apr 2021 Last Revised: 21 Oct 2021
Ruggero Jappelli, Loriana Pelizzon, Loriana Pelizzon and Alberto Plazzi
Goethe University, Frankfurt, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and Universita' della Svizzera italiana
Downloads 349 (110,118)

Abstract:

Loading...

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

21.
Downloads 346 (111,158)
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
Ravi Jagannathan, Loriana Pelizzon, Loriana Pelizzon, Ernst Schaumburg, Mila Getmansky Sherman and Darya Yuferova
Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, 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 335 (114,585)
Citation 2

Abstract:

Loading...

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

Stock Price Crashes: Role of Slow-Moving Capital

Number of pages: 74 Posted: 16 Dec 2017 Last Revised: 06 Nov 2021
Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Loriana Pelizzon, Ernst Schaumburg and Darya Yuferova
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 AdministrationLeibniz Institute for Financial Research SAFE, Federal Reserve Banks - Federal Reserve Bank of New York and Norwegian School of Economics (NHH) - Department of Finance
Downloads 11 (744,311)

Abstract:

Loading...

22.

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, Monica Billio, Loriana Pelizzon and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 338 (114,138)
Citation 2

Abstract:

Loading...

Stock market volatility, Euro, Switching Regime Models.

23.

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, Loriana Pelizzon and Loriana Pelizzon
University of Padua - Department of Statistical Sciences and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 337 (114,527)

Abstract:

Loading...

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

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, Loriana Pelizzon, Marti G. Subrahmanyam, Davide Tomio and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, New York University (NYU) - Department of Finance, Darden School of Business and Waseda University
Downloads 326 (118,780)
Citation 6

Abstract:

Loading...

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

25.

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
Mario Bellia, Loriana Pelizzon, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 324 (119,538)
Citation 2

Abstract:

Loading...

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

26.
Downloads 315 (123,165)
Citation 3

Pillar 1 vs Pillar 2 Under Risk Management

Number of pages: 41 Posted: 07 Mar 2005
Stephen M. Schaefer, Loriana Pelizzon and Loriana Pelizzon
London Business School - Institute of Finance and Accounting and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 266 (146,375)
Citation 1

Abstract:

Loading...

Bank portfolio management, Capital requirements

Pillar 1 vs. Pillar 2 Under Risk Management

Number of pages: 42 Posted: 07 Dec 2005 Last Revised: 18 Nov 2021
Stephen M. Schaefer, Loriana Pelizzon and Loriana Pelizzon
London Business School - Institute of Finance and Accounting and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 49 (497,301)
Citation 1

Abstract:

Loading...

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
Monica Billio, Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon and Loriana Pelizzon
University of Venice - Department of EconomicsCa 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 AdministrationLeibniz Institute for Financial Research SAFE
Downloads 175 (217,637)
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
Monica Billio, Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon and Loriana Pelizzon
University of Venice - Department of EconomicsCa 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 AdministrationLeibniz Institute for Financial Research SAFE
Downloads 135 (270,157)
Citation 4

Abstract:

Loading...

spatial GARCH; network; risk spillover; financial spillover

28.
Downloads 301 (129,305)
Citation 27

Measuring Sovereign Contagion in Europe

SAFE Working Paper No. 103
Number of pages: 92 Posted: 15 May 2015
Massimiliano Caporin, Loriana Pelizzon, Loriana Pelizzon, Francesco Ravazzolo and Roberto Rigobon
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, Free University of Bozen-Bolzano - Faculty of Economics and Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 153 (244,024)
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
Massimiliano Caporin, Loriana Pelizzon, Loriana Pelizzon, Francesco Ravazzolo and Roberto Rigobon
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, Free University of Bozen-Bolzano - Faculty of Economics and Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 129 (279,679)
Citation 4

Abstract:

Loading...

Sovereign Risk, Contagion

Measuring Sovereign Contagion in Europe

Number of pages: 58 Posted: 16 Sep 2020 Last Revised: 17 Sep 2021
Massimiliano Caporin, Loriana Pelizzon, Loriana Pelizzon, Francesco Ravazzolo and Roberto Rigobon
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, Free University of Bozen-Bolzano and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 19 (678,069)
Citation 10

Abstract:

Loading...

29.

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, Loriana Pelizzon 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 AdministrationLeibniz Institute for Financial Research SAFE
Downloads 300 (129,779)
Citation 8

Abstract:

Loading...

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

30.

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, Monica Billio, Lorenzo Frattarolo, Loriana Pelizzon and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 275 (142,127)
Citation 1

Abstract:

Loading...

Hedge funds, Tail risk, Diversification, Marginal risk contribution

31.

Liquidity Coinsurance and Bank Capital

SAFE Working Paper No. 45
Number of pages: 48 Posted: 13 Mar 2014
Fabio Castiglionesi, Fabio Feriozzi, Gyongyi Loranth, Loriana Pelizzon and Loriana Pelizzon
Tilburg University - Department of Finance, Jaume I University, University of Vienna and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 268 (145,931)
Citation 1

Abstract:

Loading...

Bank Capital, Interbank Markets, Liquidity Coinsurance

32.

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
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Stockholm University
Downloads 257 (152,145)
Citation 1

Abstract:

Loading...

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

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
Mario Bellia, Giulio Girardi, Roberto Panzica, Loriana Pelizzon, Loriana Pelizzon and Tuomas A. Peltonen
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 AdministrationLeibniz Institute for Financial Research SAFE and European Central Bank (ECB)
Downloads 240 (162,234)
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
Mario Bellia, Roberto Panzica, Loriana Pelizzon, Loriana Pelizzon and Tuomas Peltonen
European Union - JRC-Ispra, European Commision, Joint Research Center of the European Commission, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and European Systemic Risk Board
Downloads 15 (710,191)

Abstract:

Loading...

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

34.

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, Loriana Pelizzon and Loriana Pelizzon
Deutsche Bundesbank, Università di Bologna and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 244 (160,161)
Citation 3

Abstract:

Loading...

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

35.

Market Impact of Government Communication: The Case of Presidential Tweets

SAFE Working Paper No. 314
Number of pages: 86 Posted: 06 May 2021 Last Revised: 06 Oct 2021
Farshid Abdi, Emily Kormanyos, Loriana Pelizzon, Loriana Pelizzon, Mila Getmansky Sherman and Zorka Simon
University of Massachusetts Amherst, Goethe University Frankfurt - Faculty of Economics and Business Administration, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Leibniz Institute for Financial Research SAFE
Downloads 229 (170,223)
Citation 1

Abstract:

Loading...

Government communication, Social media, Twitter, Machine learning, ETFs

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, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and Universita' della Svizzera italiana
Downloads 150 (248,217)

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, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and Universita' della Svizzera italiana
Downloads 78 (392,182)
Citation 1

Abstract:

Loading...

Unconventional Monetary policy, Quantitative easing, Mundellian trilemma, Comovements, Sovereign 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
Christian Mücke, Loriana Pelizzon, Loriana Pelizzon, Vincenzo Pezone and Anjan V. Thakor
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, Tilburg University - Department of Finance and Washington University, Saint Louis - John M. Olin School of Business
Downloads 118 (298,812)

Abstract:

Loading...

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: 69 Posted: 08 Jul 2021 Last Revised: 08 Oct 2021
Christian Mücke, Loriana Pelizzon, Loriana Pelizzon, Vincenzo Pezone and Anjan V. Thakor
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, Tilburg University - Department of Finance and Washington University, Saint Louis - John M. Olin School of Business
Downloads 106 (322,526)

Abstract:

Loading...

Bank Bailout, TARP, Capital Purchase Program, Dividend Payments, Board Appointments, Bank Recapitalization

38.

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
Mario Bellia, Loriana Pelizzon, Loriana Pelizzon, Marti G. Subrahmanyam and Darya Yuferova
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, New York University (NYU) - Department of Finance and Norwegian School of Economics (NHH) - Department of Finance
Downloads 220 (176,895)
Citation 1

Abstract:

Loading...

Designated Market Makers (DMMs), Liquidity Provision

39.
Downloads 220 (176,895)
Citation 2

Coming Early to the Party

SAFE Working Paper No. 182
Number of pages: 65 Posted: 20 Sep 2017
Mario Bellia, Loriana Pelizzon, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 180 (212,288)
Citation 3

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
Mario Bellia, Loriana Pelizzon, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 40 (540,635)

Abstract:

Loading...

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

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, Loriana Pelizzon and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 203 (190,472)
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, Loriana Pelizzon and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 12 (735,718)
Citation 3
  • Add to Cart

Abstract:

Loading...

Portfolio choice, efficiency, housing

41.

Efficient Portfolios When Housing is a Hedge Against Rent Risk

EFA 2005 Moscow Meetings
Number of pages: 36 Posted: 06 Mar 2005
Guglielmo Weber, Loriana Pelizzon and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 211 (183,927)
Citation 1

Abstract:

Loading...

efficiency, housing and portfolio choice, rent risk

42.
Downloads 210 (184,746)
Citation 3

OTC Discount

SAFE Working Paper No. 298
Number of pages: 68 Posted: 08 Dec 2020 Last Revised: 08 Oct 2021
Calebe de Roure, Emanuel Moench, Loriana Pelizzon, Loriana Pelizzon and Michael Schneider
Reserve Bank of Australia, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and Deutsche Bundesbank
Downloads 120 (295,254)
Citation 3

Abstract:

Loading...

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

OTC Discount

Number of pages: 69 Posted: 20 Dec 2019
Calebe de Roure, Emanuel Moench, Loriana Pelizzon, Loriana Pelizzon and Michael Schneider
Reserve Bank of Australia, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and Deutsche Bundesbank
Downloads 55 (472,065)

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
Calebe de Roure, Emanuel Moench, Loriana Pelizzon, Loriana Pelizzon and Michael Schneider
Reserve Bank of Australia, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and Deutsche Bundesbank
Downloads 35 (567,794)

Abstract:

Loading...

venue choice, hybrid markets, sovereign bond markets

43.

Any Role for Mean Reversion in Short Term Asset Allocation?

Number of pages: 37 Posted: 17 Feb 2009
Massimiliano Caporin, Frans de Roon, Loriana Pelizzon and Loriana Pelizzon
University of Padua - Department of Statistical Sciences, Tilburg University - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 208 (186,359)

Abstract:

Loading...

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

44.

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
Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Loriana Pelizzon and Marti G. Subrahmanyam
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 AdministrationLeibniz Institute for Financial Research SAFE and New York University (NYU) - Department of Finance
Downloads 197 (195,900)

Abstract:

Loading...

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

45.

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
Loriana Pelizzon, Loriana Pelizzon, Max Riedel, Zorka Simon and Marti G. Subrahmanyam
Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, Leibniz Institute for Financial Research SAFE, Leibniz Institute for Financial Research SAFE and New York University (NYU) - Department of Finance
Downloads 193 (199,558)
Citation 2

Abstract:

Loading...

Collateral Policy, ECB, Corporate Bonds, Eligibility premium

46.

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
Monica Billio, Monica Billio, Massimiliano Caporin, Loriana Pelizzon, Loriana Pelizzon and Domenico Sartore
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 175 (217,519)
Citation 2

Abstract:

Loading...

credit risk, common factors, liquidity risk

47.

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
Christian Kubitza, Loriana Pelizzon, Loriana Pelizzon and Mila Getmansky Sherman
University of Bonn - Institute of Finance and Statistics, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Downloads 170 (222,923)
Citation 1

Abstract:

Loading...

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

48.

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

Number of pages: 58 Posted: 26 Jul 2010 Last Revised: 31 Oct 2021
Monica Billio, Monica Billio, Mila Getmansky Sherman, Andrew W. Lo, Loriana Pelizzon and Loriana Pelizzon
University of Venice - Department of EconomicsCa 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 AdministrationLeibniz Institute for Financial Research SAFE
Downloads 161 (233,425)
Citation 2

Abstract:

Loading...

49.

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, Monica Billio, Michele Costola, Loriana Pelizzon, Loriana Pelizzon and Max Riedel
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and Leibniz Institute for Financial Research SAFE
Downloads 158 (237,223)

Abstract:

Loading...

Mortgages, Energy Efficiency, Credit Risk

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, Loriana Pelizzon and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Bonn and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 76 (398,154)

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, Loriana Pelizzon and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Bonn and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 33 (579,410)

Abstract:

Loading...

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

Risk Pooling, Leverage, and the Business Cycle

Number of pages: 73 Posted: 16 Jun 2020
Pietro Dindo, Andrea Modena, Loriana Pelizzon and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Bonn and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 28 (610,937)

Abstract:

Loading...

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, Loriana Pelizzon and Loriana Pelizzon
University of Bonn, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 16 (702,009)

Abstract:

Loading...

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

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, Loriana Pelizzon, Marti G. Subrahmanyam, Reiko Tobe and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, New York University (NYU) - Department of Finance, Waseda University - Graduate School of Finance, Accounting & Law and Waseda University
Downloads 73 (407,478)
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, Loriana Pelizzon, Marti G. Subrahmanyam, Reiko Tobe and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, New York University (NYU) - Department of Finance, Waseda University - Graduate School of Finance, Accounting & Law and Waseda University
Downloads 70 (417,100)
Citation 7

Abstract:

Loading...

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

52.

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

Number of pages: 41 Posted: 21 Nov 2004
Bruno Maria Parigi, Bruno Maria Parigi, Loriana Pelizzon and Loriana Pelizzon
University of Padua - Department of EconomicsCESifo (Center for Economic Studies and Ifo Institute) and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 103 (326,736)

Abstract:

Loading...

Corporate Governance, Market integration, CAPM

53.

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, Loriana Pelizzon and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 102 (328,876)
Citation 4

Abstract:

Loading...

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

54.

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
Monica Billio, Monica Billio, Gregory Mathieu Jannin, Bertrand B. Maillet, Loriana Pelizzon and Loriana Pelizzon
University of Venice - Department of EconomicsCa 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 AdministrationLeibniz Institute for Financial Research SAFE
Downloads 98 (337,484)

Abstract:

Loading...

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

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
Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Loriana Pelizzon and Marti G. Subrahmanyam
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 AdministrationLeibniz Institute for Financial Research SAFE and New York University (NYU) - Department of Finance
Downloads 81 (379,798)
Citation 3

Abstract:

Loading...

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

56.

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, Loriana Pelizzon and Domenico Sartore
Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 80 (382,568)

Abstract:

Loading...

Subprime Crisis, Collateral Liquidity, Unconventional Monetary Policy

57.

Resiliency: Cross-Venue Dynamics with Hawkes Processes

SAFE Working Paper No. 291
Number of pages: 63 Posted: 16 Oct 2020
Loriana Pelizzon, Loriana Pelizzon, Satchit Sagade and Katia Vozian
Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Department of Finance and Hanken School of Economics - Helsinki Graduate School of Economics
Downloads 70 (412,155)

Abstract:

Loading...

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

58.

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
Mario Bellia, Loriana Pelizzon, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
European Union - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 58 (453,427)

Abstract:

Loading...

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

59.

Impact of Public News Sentiment on Stock Market Index Return and Volatility

SAFE Working Paper No. 322
Number of pages: 43 Posted: 11 Oct 2021
Gianluca Anese, Marco Corazza, Michele Costola, Loriana Pelizzon and Loriana Pelizzon
affiliation not provided to SSRN, Ca Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 54 (468,450)

Abstract:

Loading...

[comPublic financial news, Stock market, NLP, Dictionary, LSTM neural net- works, Investor sentiment, S&P 500ma separated]

60.

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, Monica Billio, Michele Costola, Loriana Pelizzon and Loriana Pelizzon
Goethe University Frankfurt, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 52 (476,437)

Abstract:

Loading...

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

61.

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
Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Loriana Pelizzon and Marti G. Subrahmanyam
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 AdministrationLeibniz Institute for Financial Research SAFE and New York University (NYU) - Department of Finance
Downloads 36 (549,523)

Abstract:

Loading...

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

62.

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

Number of pages: 1 Posted: 29 Jul 2021
Yalin Gündüz, Michael Schneider, Loriana Pelizzon, Loriana Pelizzon and Marti G. Subrahmanyam
Deutsche Bundesbank, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and New York University (NYU) - Department of Finance
Downloads 34 (560,101)

Abstract:

Loading...

63.

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

Number of pages: 60 Posted: 14 Jul 2021
Loriana Pelizzon, Loriana Pelizzon, Aleksandra Rzeznik and Kathleen Weiss Hanley
Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, York University and Lehigh University - College of Business
Downloads 0 (818,024)
  • Add to Cart

Abstract:

Loading...

64.

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, Loriana Pelizzon 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 AdministrationLeibniz Institute for Financial Research SAFE

Abstract:

Loading...

COVID-19 news, Sentiment Analysis, Stock Markets

65.

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

Number of pages: 35 Posted: 03 Jun 2020 Last Revised: 16 Jun 2020
Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Loriana Pelizzon and Marti G. Subrahmanyam
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 AdministrationLeibniz Institute for Financial Research SAFE and New York University (NYU) - Department of Finance
Downloads 0 (818,024)
Citation 2
  • Add to Cart

Abstract:

Loading...

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

66.

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, Monica Billio, Mila Getmansky Sherman, Loriana Pelizzon and Loriana Pelizzon
University of Venice - Department of EconomicsCa 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 AdministrationLeibniz Institute for Financial Research SAFE

Abstract:

Loading...

Hedge Funds, Risk Management, High frequency data

67.

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, Loriana Pelizzon 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 AdministrationLeibniz Institute for Financial Research SAFE

Abstract:

Loading...

Household portfolios; Health status

68.

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, Loriana Pelizzon and Loriana Pelizzon
affiliation not provided to SSRN, Ca Foscari University of Venice and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE

Abstract:

Loading...

Financial crisis, Firm credit availability

69.

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
Marco Lazzarin, Loriana Pelizzon, Loriana Pelizzon, Domenico Sartore and Roberto Casarin
Fondazione Eni Enrico Mattei (FEEM), Venice, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, 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: 183
1.

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

Number of pages: 26 Posted: 05 Mar 2005
Monica Billio, Monica Billio, Marco Lo Duca, Loriana Pelizzon and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, European Central Bank (ECB) and Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE
Downloads 183

Abstract:

Loading...

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