Louis R. Piccotti

Oklahoma State University - Stillwater - Spears School of Business

460 Business

Stillwater, OK 74078-0555

United States

  • Oklahoma State University - Stillwater - Spears School of Business

SCHOLARLY PAPERS

21

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SSRN CITATIONS
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Top 44,483

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13

CROSSREF CITATIONS

5

Scholarly Papers (21)

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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 3,150 (6,921)
Citation 1

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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 365 (142,250)
Citation 5

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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 255 (207,015)

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Capital structure adjustment, empirical asset pricing, market efficiency

4.

Informed Trading in Options Markets Surrounding Data Breaches

Number of pages: 43 Posted: 11 Nov 2019 Last Revised: 14 Feb 2022
Louis R. Piccotti and Heng Emily Wang
Oklahoma State University - Stillwater - Spears School of Business and Elon University, Love School of Business
Downloads 234 (225,093)

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informed trading, cybersecurity, data breach, option market

5.

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 207 (252,534)
Citation 2

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

6.

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 151 (332,372)
Citation 2

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

7.

Synthetic Long Stock and Option Trading: Evidence from Stock Splits

Number of pages: 53 Posted: 09 Jun 2019 Last Revised: 04 Apr 2022
Yifan Liu and Louis R. Piccotti
Texas State University and Oklahoma State University - Stillwater - Spears School of Business
Downloads 142 (349,275)
Citation 1

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Option trading, Synthetic long stock, Stock split

8.

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 125 (385,151)

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Ambiguity aversion, Empirical asset pricing, Risk premium

9.

Portfolio Optimization with Spectral Preferences

Number of pages: 70 Posted: 08 Jul 2016 Last Revised: 28 Aug 2023
Louis R. Piccotti
Oklahoma State University - Stillwater - Spears School of Business
Downloads 122 (392,195)
Citation 1

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Asset pricing, Equity risk premium, Frequency domain

10.

Covariance Matrix Jumps in High-Frequency Financial Markets

Downloads 119 (399,375)

Covariance Matrix Jumps in High-Frequency Financial Markets

Number of pages: 31 Posted: 07 Feb 2022
Yuri Hupka and Louis R. Piccotti
Oklahoma City University - Meinders School of Business and Oklahoma State University - Stillwater - Spears School of Business
Downloads 73 (555,632)

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Jumps, Cojumps, Foreign Exchange Market

Covariance Matrix Jumps in High-Frequency Financial Markets

Number of pages: 31 Posted: 15 Nov 2023
Yuri Hupka and Louis R. Piccotti
Oklahoma City University - Meinders School of Business and Oklahoma State University - Stillwater - Spears School of Business
Downloads 24 (874,985)

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Jumps, Cojumps, Foreign Exchange Market

Covariance Matrix Jumps in High-Frequency Financial Markets

Number of pages: 31 Posted: 29 Jan 2023
Yuri Hupka and Louis R. Piccotti
Oklahoma City University - Meinders School of Business and Oklahoma State University - Stillwater - Spears School of Business
Downloads 22 (894,073)

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Jumps, Cojumps, Foreign Exchange Market

11.

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 118 (401,841)

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

12.

Bond Market Structure and Volatility

Number of pages: 49 Posted: 22 Apr 2021 Last Revised: 29 Aug 2023
Isarin Durongkadej and Louis R. Piccotti
San Jose State University and Oklahoma State University - Stillwater - Spears School of Business
Downloads 108 (428,675)

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Fixed income, market microstructure, variance ratios, corporate bonds, bond dealers, monopolistic power

13.

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 93 (474,627)
Citation 2

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Foreign exchange market microstructure, Geography of trade, Market efficiency

14.

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 85 (501,988)

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forex microstructure, information share, price discovery

15.

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

Piccotti, Louis R. Portfolio returns and consumption growth covariation in the frequency domain, real economic activity, and expected returns, Journal of Financial Research. Forthcoming.
Number of pages: 79 Posted: 15 Feb 2018 Last Revised: 28 Jul 2022
Louis R. Piccotti
Oklahoma State University - Stillwater - Spears School of Business
Downloads 71 (557,027)
Citation 1

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

16.

Strategic Trade when Securitized Portfolio Values Are Unknown

Journal of Banking and Finance, Vol. 115, No. June, 2020
Number of pages: 102 Posted: 21 Jun 2017 Last Revised: 24 Aug 2020
Louis R. Piccotti
Oklahoma State University - Stillwater - Spears School of Business
Downloads 64 (588,219)

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Strategic trade, Market microstructure, Securitization, Price discovery

17.

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 63 (592,839)
Citation 1

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

18.

A Multiscale Estimator for Pricing Error Decomposition in High-Frequency Financial Markets

Number of pages: 81 Posted: 15 May 2019 Last Revised: 06 Nov 2023
Louis R. Piccotti
Oklahoma State University - Stillwater - Spears School of Business
Downloads 62 (597,658)

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

19.

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 58 (617,796)

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Financial Contagion, Systemic Risk, Corporate Finance, Corporate Governance

20.

A Closed-form Pricing Solution for Options on Assets with Pricing Errors

Number of pages: 76 Posted: 15 Jun 2021 Last Revised: 07 Sep 2023
Louis R. Piccotti
Oklahoma State University - Stillwater - Spears School of Business
Downloads 54 (638,807)

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Pricing errors, option pricing, quantitative finance

21.

Do Macroeconomic Variables Drive Exchange Rates Independently?

Number of pages: 15 Posted: 19 Sep 2022
Xiao Li, Rita Biswas and Louis R. Piccotti
University at Albany, SUNY, University at Albany, SUNY and Oklahoma State University - Stillwater - Spears School of Business
Downloads 48 (672,763)

Abstract:

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Exchange rate determination, Macro Fundamental Models, Machine Learning Regression, Elastic Net