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

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

      Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; Getmansky, Mila; Simon, Zorka (2021-05-06)
      We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its use for government communication affects the aggregate stock markets. To measure this effect, we ...

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

      Billio, Monica; Costola, Michele; Pelizzon, Loriana; Riedel, Max (2020-03-01)
      We investigate the relation between buildings’ energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional ...

    • Central Bank-Driven Mispricing 

      Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; Uno, Jun (2018-10-01)
      We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective ...

    • Collateral Eligibility of Corporate Debt in the Eurosystem 

      Pelizzon, Loriana; Riedel, Max; Simon, Zorka; Subrahmanyam, Marti G. (2020-04-01)
      We study how the Eurosystem Collateral Framework for corporate bonds helps the European Central Bank (ECB) fulfill its policy mandate. Using the ECBs eligibility list, we identify the first inclusion date of both bonds and ...

    • Coming Early to the Party 

      Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti; Uno, Jun; Yuferova, Darya (2017-09-15)
      "We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information ...

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

      Bedin, Andrea; Billio, Monica; Costola, Michele; Pelizzon, Loriana (2019-10-14)
      We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information ...

    • Designated Market Makers: Competition and Incentives 

      Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; Yuferova, Darya (2020-03-30)
      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 ...

    • Does Monetary Policy Impact International Market Co-Movements? 

      Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto (2020-05-11)
      We show that FED policy announcements lead to a significant increase in international comovements in the cross-section of equity and in particular sovereign CDS markets. The relaxation of unconventionary monetary policies ...

    • Global Realignment in Financial Market Dynamics: Evidence from ETF Networks 

      Billio, Monica; Lo, Andrew W.; Pelizzon, Loriana; Getmansky, Mila; Zareei, Abalfazl (2021-02-04)
      The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using ...

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

      Bellia, Mario; Christensen, Kim; Kolokolov, Aleksey; Pelizzon, Loriana; Renò, Roberto (2020-03-01)
      We show that High Frequency Traders (HFTs) are not beneficial to the stock market during flash crashes. They actually consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. ...

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

      Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana (2016-09-28)
      Amid increasing regulation, structural changes of the market and Quantitative Easing as well as extremely low yields, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to ...

    • Impact of public news sentiment on stock market index return and volatility 

      Anese, Gianluca; Corazza, Marco; Costola, Michele; Pelizzon, Loriana (2021-10-11)
      Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables ...

    • Inside the ESG Ratings: (Dis)agreement and Performance 

      Billio, Monica; Costola, Michele; Hristova, Iva; Latino, Carmelo; Pelizzon, Loriana (2020-07-31)
      We analyze the ESG rating criteria used by prominent agencies and show that there is a lack of a commonality in the definition of ESG (i) characteristics, (ii) attributes and (iii) standards in defining E, S and G components. ...

    • Lighting up the Dark: Liquidity in the German Corporate Bond Market 

      Gündüz, Yalin; Ottonello, Giorgio; Pelizzon, Loriana; Schneider, Michael; Subrahmanyam, Marti G. (2018-09-17)
      "We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with ...

    • Liquidity provision: Normal times vs Crashes 

      Jagannathan, Ravi; Pelizzon, Loriana; Schaumburg, Ernst; Getmansky Sherman, Mila; Yuferova, Darya (2019-10-29)
      We study the role of various trader types in providing liquidity in spot and futures markets based on data from the National Stock Exchange of India for a single large stock. During normal times, short-term traders who ...

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

      Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; Uno, Jun; Yuferova, Darya (2015-03-01)
      We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening ...

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

      Costola, Michele; Nofer, Michael; Hinz, Oliver; Pelizzon, Loriana (2020-09-15)
      The possibility to investigate the impact of news on stock prices has observed a strong evolution thanks to the recent use of natural language processing (NLP) in finance and economics. In this paper, we investigate COVID-19 ...

    • Market impact of government communication: The case of presidential tweets 

      Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; Getmansky, Mila; Simon, Zorka (2021-10-06)
      "We propose the ""President reacts to news"" channel of stock returns by studying the financial market impact of the Twitter account of the 45th president of the United States, Donald Trump. We use machine learning algorithms ...

    • Measuring Sovereign Contagion in Europe 

      Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto (2015-04-01)
      This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric ...

    • Mutual Excitation in Eurozone Sovereign CDS 

      Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana (2014-05-01)
      We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features ...