Auflistung LIF-SAFE Working Papers nach Autor "Pelizzon, Loriana"

Anzeige der Dokumente 21-40 von 40

    • Networks in Risk Spillovers: A Multivariate GARCH Perspective 

      Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo; Pelizzon, Loriana (2018-08-01)
      We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity ...

    • OTC Discount 

      de Roure, Calebe; Mönch, Emanuel; Pelizzon, Loriana; Schneider, Michael (2020-12-08)
      We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable with respect to exchange quotes. ...

    • OTC Discount 

      de Roure, Calebe; Mönch, Emanuel; Pelizzon, Loriana; Schneider, Michael (2021-10-08)
      We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable compared to exchange quotes. This ...

    • P2P Lending versus Banks: Cream Skimming or Bottom Fishing? 

      de Roure, Calebe; Pelizzon, Loriana; Thakor, Anjan V. (2018-04-18)
      We derive three testable predictions from a bank-P2P lender model of competition: (i) P2P lending grows when some banks are faced with exogenously higher regulatory costs, (ii) P2P loans are riskier than bank loans; and ...

    • P2P Lending versus Banks: Cream Skimming or Bottom Fishing? 

      Pelizzon, Loriana; Thakor, Anjan; de Roure, Calebe (2021-10-08)
      We derive three testable predictions from a bank-P2P lender model of competition: (a) P2P lending grows when some banks are faced with exogenously higher regulatory costs, (b) P2P loans are riskier than bank loans, and (c) ...

    • Paying for Market Liquidity: Competition and Incentives 

      Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; Yuferova, Darya (2019-02-01)
      Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant ...

    • Portfolio Similarity and Asset Liquidation in the Insurance Industry 

      Girardi, Giulio; Hanley, Kathleen Weiss; Nikolova, Stanislava; Pelizzon, Loriana; Getmansky, Mila (2018-07-30)
      An important assumption underlying the designation of some insurers as systemically important is that their overlapping portfolio holdings can result in common selling. We measure the overlap in holdings using cosine ...

    • Resiliency: Cross-Venue Dynamics with Hawkes Processes 

      Pelizzon, Loriana; Sagade, Satchit; Vozian, Katia (2020-10-16)
      Market fragmentation and technological advances increasing the speed of trading altered the functioning and stability of global equity limit order markets. Taking market resiliency as an indicator of market quality, we ...

    • Risk Pooling, Leverage, and the Business Cycle 

      Dindo, Pietro; Modena, Andrea; Pelizzon, Loriana (2020-02-25)
      This paper studies the impact of financial sector size and leverage on business cycles and risk-free rates dynamics. We model a general equilibrium productive economy where financial intermediaries provide costly risk ...

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

      Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; Uno, Jun (2016-11-18)
      We examine the dynamic relation between credit risk and liquidity in the Italian sovereign bond market during the Euro-zone crisis and the subsequent European Central Bank (ECB) interventions. Credit risk drives the liquidity ...

    • Stock Price Crashes: Role of Slow-Moving Capital 

      Jagannathan, Ravi; Pelizzon, Loriana; Schaumburg, Ernst; Getmansky Sherman, Mila; Yuferova, Darya (2018-07-16)
      We study the role of various trader types in providing liquidity in spot and futures markets based on complete order-book and transactions data as well as cross-market trader identifiers from the National Stock Exchange ...

    • The Anatomy of the Euro Area Interest Rate Swap Market 

      Fontana, Silvia Dalla; Holz auf der Heide, Marco; Pelizzon, Loriana; Scheicher, Martin (2019-06-01)
      "Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the ...

    • The carrot and the stick: Bank bailouts and the disciplining role of board appointments 

      Mücke, Christian; Pelizzon, Loriana; Pezone, Vincenzo; Thakor, Anjan V. (2021-07-08)
      We empirically examine the Capital Purchase Program (CPP) used by the US government to bail out distressed banks with equity infusions during the Great Recession. We find strong evidence that a feature of the CPP - the ...

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

      Carletti, Elena; Oliviero, Tommaso; Pagano, Marco; Pelizzon, Loriana; Subrahmanyam, Marti G. (2020-10-29)
      We employ a representative sample of 80,972 Italian firms to forecast the drop in profits and the equity shortfall triggered by the COVID-19 lockdown. A 3-month lockdown generates an aggregate yearly drop in profits of ...

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

      Bellia, Mario; Girardi, Giulio; Panzica, Roberto; Pelizzon, Loriana; Peltonen, Tuomas (2018-06-15)
      This paper is a first attempt at empirically analyzing whether post-crisis regulatory reforms developed by global-standard-setting bodies have created appropriate incentives to centrally clear Over-The-Counter (OTC) ...

    • The Impact of Monetary Policy Interventions on the Insurance Industry 

      Pelizzon, Loriana; Sottocornola, Matteo (2018-03-01)
      This paper investigates the effect of the conventional and unconventional (e.g. Quantitative Easing - QE) monetary policy intervention on the insurance industry. We first analyze the impact on the stock performances of 166 ...

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

      Billio, Monica; Caporin, Massimiliano; Panzica, Roberto Calogero; Pelizzon, Loriana (2016-10-01)
      We show that property damages from weather-related natural disasters significantly weaken the stability of banks with business activities in affected regions, as reflected in lower z-scores, higher probabilities of default, ...

    • The Pitfalls of Central Clearing in the Presence of Systematic Risk 

      Kubitza, Christian; Pelizzon, Loriana; Getmansky Sherman, Mila (2018-11-08)
      Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for ...

    • The Power of ESG Ratings on Stock Markets 

      Latino, Carmelo; Pelizzon, Loriana; Rze?nik, Aleksandra (2021-03-10)
      This paper studies the impact of environmental, social, and governance (ESG) ratings on investors’ preferences and stock prices. We exploit a change in ESG rating methodology that non-linearly shifted ESG ratings for firms ...

    • The salience of ESG ratings for stock pricing: Evidence from (potentially) confused investors 

      Rzeźnik, Aleksandra; Hanley, Kathleen Weiss; Pelizzon, Loriana (2021-10-08)
      We exploit a modification to Sustainalytics' environmental, social, and governance (ESG) rating methodology, which is subsequently adopted by Morningstar, to study whether ESG ratings are salient for stock pricing. We show ...