Auflistung LIF-SAFE Working Papers nach JEL-Klassifizierung "G14"

Anzeige der Dokumente 21-30 von 30

    • 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 ...

    • 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 ...

    • 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 ...

    • 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 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 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 Value of Firm Networks: A Natural Experiment on Board Connections 

      Faia, Ester; Mayer, Maximilian; Pezone, Vincenzo (2020-04-13)
      This paper presents causal evidence of the effects of boardroom networks on firm value and compensation policies. We exploit exogenous variation in network centrality arising from a ban on interlocking directorates of ...

    • The Value of Firm Networks: A Natural Experiment on Board Connections 

      Faia, Ester; Mayer, Maximilian; Pezone, Vincenzo (2021-08-03)
      We present causal evidence on the effect of boardroom networks on firm value and compensation policies. We exploit a ban on interlocking directorates of Italian financial and insurance companies as exogenous variation and ...

    • Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment 

      Gao, Can; Martin, Ian (2021-03-24)
      We define a sentiment indicator that exploits two contrasting views of return predictability, and study its properties. The indicator, which is based on option prices, valuation ratios and interest rates, was unusually ...