Marco Rossi

Texas A&M

Associate Professor

360S Wehner

College Station, TX 77843-4218

United States

http://https://mays.tamu.edu/directory/mrossi/

SCHOLARLY PAPERS

12

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Top 23,115

in Total Papers Downloads

4,112

SSRN CITATIONS
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SSRN RANKINGS

Top 6,333

in Total Papers Citations

227

CROSSREF CITATIONS

46

Scholarly Papers (12)

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1.

The Cost of Immediacy for Corporate Bonds

Downloads 699 (68,809)
Citation 98

The Cost of Immediacy for Corporate Bonds

Number of pages: 74 Posted: 02 Sep 2012 Last Revised: 20 Feb 2018
Jens Dick-Nielsen and Marco Rossi
Copenhagen Business School - Department of Finance and Texas A&M
Downloads 595 (83,337)
Citation 20

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Dealer inventory, Lehman/Barclay bond index, Market making, Transaction costs, Dodd-Frank Act

The Cost of Immediacy for Corporate Bonds

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 01 Jun 2016
Jens Dick-Nielsen and Marco Rossi
Copenhagen Business School - Department of Finance and Texas A&M
Downloads 104 (472,955)
Citation 42

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Dealer inventory, Lehman/Barclay bond index, Market making, Transaction costs, Dodd-Frank Act

2.

Return Smoothing and its Implications for Performance Analysis of Hedge Funds

Downloads 611 (81,613)
Citation 1

Return Smoothing and its Implications for Performance Analysis of Hedge Funds

Journal of Finance and Data Science, Forthcoming
Number of pages: 36 Posted: 19 Mar 2009 Last Revised: 15 Jun 2018
Jing-Zhi Huang, John Liechty and Marco Rossi
Pennsylvania State University - University Park - Department of Finance, Pennsylvania State University, University Park and Texas A&M
Downloads 362 (151,259)

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Hedge Funds, Smoothing, Performance Persistence, Bayesian Model

Return Smoothing and its Implications for Performance Analysis of Hedge Funds

Number of pages: 45 Posted: 18 Mar 2010 Last Revised: 21 Mar 2010
Jing-Zhi Huang, John Liechty and Marco Rossi
Pennsylvania State University - University Park - Department of Finance, Pennsylvania State University, University Park and Texas A&M
Downloads 249 (224,063)

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Hedge funds, return smoothing, performance persistence, Bayesian analysis, time-varying betas

3.

Realized Volatility, Liquidity, and Corporate Yield Spreads

Number of pages: 51 Posted: 17 Mar 2010 Last Revised: 03 Jan 2014
Marco Rossi
Texas A&M
Downloads 590 (85,289)
Citation 8

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liquidity, credit risk, realized volatility, stochastic friction, TRACE

4.

Informed Trading by Adviser Banks: Evidence from Options Holdings

Forthcoming, Review of Financial Studies
Number of pages: 65 Posted: 18 Mar 2015 Last Revised: 16 Jun 2018
Michelle Lowry, Marco Rossi and John C. Chu
Drexel University, Texas A&M and Monash University
Downloads 499 (105,178)
Citation 18

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Conflict of Interest, Merger, Informed Trading, Dodd Frank, Volcker Rule

5.

Arbitrage Crashes: Slow-Moving Capital or Market Segmentation?

Number of pages: 68 Posted: 06 Dec 2013 Last Revised: 03 Jun 2020
Jens Dick-Nielsen and Marco Rossi
Copenhagen Business School - Department of Finance and Texas A&M
Downloads 398 (137,013)
Citation 1

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Convertible bonds, arbitrage crashes, market segmentation, slow moving capital, investment mandates

6.

Dual Ownership, Returns, and Voting in Mergers

Finance Down Under 2014 Building on the Best from the Cellars of Finance
Number of pages: 42 Posted: 12 Feb 2014 Last Revised: 13 Feb 2014
Andriy Bodnaruk and Marco Rossi
University of Illinois at Chicago and Texas A&M
Downloads 327 (170,195)
Citation 10

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dual holders, shareholders, bondholders, M&As, abnormal return, financial conglomerates

7.

Shareholders as Creditors of First Resort

Number of pages: 52 Posted: 25 Apr 2016 Last Revised: 27 Mar 2017
Andriy Bodnaruk and Marco Rossi
University of Illinois at Chicago and Texas A&M
Downloads 273 (205,392)
Citation 9

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dual holders, shareholders, bondholders, bond IPOs, market segmentation, investment mandates

8.

Market Participation and Dividend Clienteles

AFA 2009 San Francisco Meetings Paper
Number of pages: 28 Posted: 25 Mar 2008 Last Revised: 20 Mar 2013
Marco Rossi
Texas A&M
Downloads 217 (256,901)

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market participation, dividend clienteles, self-control, CEX

9.

Return Predictability Under the Alternative

Number of pages: 54 Posted: 26 Aug 2012 Last Revised: 03 Dec 2013
Marco Rossi, Timothy T. Simin and Daniel R. Smith
Texas A&M, Pennsylvania State University and Queensland University of Technology - School of Economics and Finance
Downloads 191 (288,790)
Citation 1

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Predictability, overlapping observations, analytical standard errors, size, power

10.

The Role of Heterogeneity in Asset Pricing: The Effect of a Clustering Approach

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 28 Posted: 17 Feb 2009 Last Revised: 15 Nov 2011
Olesya V. Grishchenko and Marco Rossi
Board of Governors of the Federal Reserve System and Texas A&M
Downloads 181 (302,861)

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aggregation, incomplete markets, clustering approach, household consumption, idiosyncratic consumption risk, Euler equations

11.

Real Effects of Corporate Bond ETF Ownership

Number of pages: 61 Posted: 25 Apr 2023 Last Revised: 13 Jan 2024
Marco Rossi, Yujie Ruan and Shixiang Xia
Texas A&M, Texas A&M University and City University of Hong Kong (CityU) - Department of Economics and Finance
Downloads 126 (407,917)

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ETF ownership, corporate bonds, R&D investments

12.

Sentiment and Corporate Bond Valuations Before and After the Onset of the Credit Crisis

Journal of Fixed Income, Forthcoming
Posted: 26 Jul 2013 Last Revised: 22 May 2019
Jing-Zhi Huang, Marco Rossi and Yuan Wang
Pennsylvania State University - University Park - Department of Finance, Texas A&M and Concordia University, Quebec

Abstract:

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sentiment, credit crisis, equity/bond market integration