Louis R. Piccotti

Oklahoma State University - Stillwater - Spears School of Business

460 Business

Stillwater, OK 74078-0555

United States

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 11,850

SSRN RANKINGS

Top 11,850

in Total Papers Downloads

4,373

SSRN CITATIONS

2

CROSSREF CITATIONS

6

Scholarly Papers (17)

1.

Exploiting Closed-End Fund Discounts: A Systematic Examination of Alphas

Patro, Dilip, Piccotti, Louis R. and Wu, Yangru. (2017). Exploiting Closed-End Fund Discounts: A Systematic Examination of Alphas, Journal of Financial Research 40, 223-248
Number of pages: 50 Posted: 19 Jul 2014 Last Revised: 16 Jun 2017
Dilip K. Patro, Louis R. Piccotti and Yangru Wu
OCC, Oklahoma State University - Stillwater - Spears School of Business and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 2,855 (4,503)
Citation 1

Abstract:

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Closed-end fund puzzle, limits to arbitrage, market efficiency

2.

ETF Premiums and Liquidity Segmentation

Piccotti, Louis R. (2018). ETF premiums and liquidity segmentation, Financial Review 53, 117-152.
Number of pages: 50 Posted: 30 Mar 2014 Last Revised: 17 Jan 2018
Louis R. Piccotti
Oklahoma State University - Stillwater - Spears School of Business
Downloads 286 (116,583)
Citation 4

Abstract:

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ETF premium, Liquidity segmentation, Limits to arbitrage, Tracking error

3.

Required Return on Equity when Capital Structure is Dynamic

Dai, Na and Piccotti, Louis R. (2018). Expected returns and capital structure adjustment, Financial Management, Forthcoming.
Number of pages: 54 Posted: 02 Jan 2016 Last Revised: 19 Apr 2019
Na Dai and Louis R. Piccotti
SUNY at Albany - School of Business and Oklahoma State University - Stillwater - Spears School of Business
Downloads 215 (155,192)

Abstract:

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Capital structure adjustment, empirical asset pricing, market efficiency

4.

Jumps, Cojumps, and Efficiency in the Spot Foreign Exchange Market

Piccotti, Louis R. (2018). Jumps, Cojumps, and Efficiency in the Spot Foreign Exchange Market, Journal of Banking & Finance 87, 49-67
Number of pages: 79 Posted: 07 Jun 2014 Last Revised: 17 Jan 2018
Louis R. Piccotti
Oklahoma State University - Stillwater - Spears School of Business
Downloads 179 (183,601)

Abstract:

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Jumps, Cojumps, Foreign exchange market, Market efficiency, Stochastic volatility bias

5.

Financial Contagion Risk and the Stochastic Discount Factor

Piccotti, Louis R. (2017). Financial contagion risk and the stochastic discount factor, Journal of Banking & Finance 77, 230-248.
Number of pages: 89 Posted: 21 Mar 2014 Last Revised: 01 Mar 2017
Louis R. Piccotti
Oklahoma State University - Stillwater - Spears School of Business
Downloads 128 (242,145)

Abstract:

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Asset pricing, Equity risk premium, Financial contagion, State-space modeling, Systemic risk

6.

Portfolio Frequency Structure Preferences

Number of pages: 48 Posted: 08 Jul 2016 Last Revised: 01 Aug 2019
Louis R. Piccotti
Oklahoma State University - Stillwater - Spears School of Business
Downloads 88 (313,405)

Abstract:

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Asset pricing, Equity risk premium, Frequency domain

7.

Ambiguity Aversion and Asset Price Dynamics

Number of pages: 61 Posted: 04 Oct 2016 Last Revised: 14 Aug 2019
Louis R. Piccotti and Yangru Wu
Oklahoma State University - Stillwater - Spears School of Business and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 84 (322,529)

Abstract:

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Ambiguity aversion, Empirical asset pricing, Risk premium

8.

Differential Risk Premiums and the UIP Puzzle

Number of pages: 56 Posted: 22 Jun 2017 Last Revised: 04 Sep 2019
Rita Biswas, Louis R. Piccotti and Ben Z. Schreiber
University at Albany - SUNY, Oklahoma State University - Stillwater - Spears School of Business and Bank of Israel
Downloads 83 (324,877)

Abstract:

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Foreign exchange market, Uncovered interest rate parity, Risk premium, Purchasing power parity

9.

Pricing Errors and the Geography of Trade in the Foreign Exchange Market

Piccotti, Louis R. (2016). Pricing errors and the geography of trade in the foreign exchange market, Journal of Financial Markets 28, 46-69.
Number of pages: 68 Posted: 07 Jun 2014 Last Revised: 21 May 2016
Louis R. Piccotti
Oklahoma State University - Stillwater - Spears School of Business
Downloads 77 (339,617)

Abstract:

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Foreign exchange market microstructure, Geography of trade, Market efficiency

10.

Information Shares in a Two-Tier FX Market

Number of pages: 63 Posted: 21 Sep 2016 Last Revised: 06 Sep 2019
Louis R. Piccotti and Ben Z. Schreiber
Oklahoma State University - Stillwater - Spears School of Business and Bank of Israel
Downloads 64 (375,462)
Citation 1

Abstract:

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forex microstructure, information share, price discovery

11.

Informed Trading in Options Markets Surrounding Data Breaches

Number of pages: 52 Posted: 11 Nov 2019 Last Revised: 09 Apr 2020
Louis R. Piccotti and Heng Emily Wang
Oklahoma State University - Stillwater - Spears School of Business and Oklahoma State University, Spears School of Business
Downloads 60 (387,845)
Citation 1

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informed trading, cybersecurity, data breach, option market

12.

Are Options Redundant? The Benefits of Synthetic Diversification

Number of pages: 49 Posted: 09 Jun 2019 Last Revised: 24 Jul 2019
Yifan Liu and Louis R. Piccotti
Oklahoma State University - Stillwater - Department of Finance and Oklahoma State University - Stillwater - Spears School of Business
Downloads 56 (401,121)
Citation 1

Abstract:

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Asset pricing, Options markets, Portfolio diversification

13.

Portfolio Returns and Consumption Growth Covariation in the Frequency Domain, Real Economic Activity, and Expected Returns

Number of pages: 69 Posted: 15 Feb 2018 Last Revised: 18 Sep 2019
Louis R. Piccotti
Oklahoma State University - Stillwater - Spears School of Business
Downloads 52 (414,848)
Citation 1

Abstract:

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Asset pricing, Frequency domain, Real economic activity, Risk premium

14.

Strategic Trade when Securitized Portfolio Values Are Unknown

Number of pages: 103 Posted: 21 Jun 2017 Last Revised: 12 Jul 2019
Louis R. Piccotti
Oklahoma State University - Stillwater - Spears School of Business
Downloads 48 (429,314)

Abstract:

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Strategic trade, Market microstructure, Securitization, Price discovery

15.

Information Shares of Two Parallel Currency Options Markets: Trading Costs versus Transparency/Tradability

Piccotti, Louis R. and Schreiber, Ben Z. (2015). Information shares of two parallel currency options markets: trading costs versus transparency/tradability, Journal of Empirical Finance 32, 210-229
Number of pages: 47 Posted: 16 Sep 2014 Last Revised: 18 Jun 2015
Louis R. Piccotti and Ben Z. Schreiber
Oklahoma State University - Stillwater - Spears School of Business and Bank of Israel
Downloads 44 (444,706)
Citation 1

Abstract:

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Foreign exchange market microstructure, FX options, Information share, Price discovery

16.

Financial Contagion: Bank Characteristics Matter

Number of pages: 63 Posted: 12 Jun 2019 Last Revised: 11 Aug 2019
Sharif Mazumder and Louis R. Piccotti
Oklahoma State University - Stillwater - Spears School of Business and Oklahoma State University - Stillwater - Spears School of Business
Downloads 33 (492,854)

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Financial Contagion, Systemic Risk, Corporate Finance, Corporate Governance

17.

A Multiscale Estimator for Pricing Errors in High-Frequency Financial Markets

Number of pages: 71 Posted: 15 May 2019 Last Revised: 20 May 2020
Louis R. Piccotti
Oklahoma State University - Stillwater - Spears School of Business
Downloads 21 (560,689)

Abstract:

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market microstructure noise, multi-frequency estimator, high-frequency data