Michael S. Pagano

Villanova University - Villanova School of Business

The Robert J. and Mary Ellen Darretta Endowed Chair in Finance, Professor of Finance

800 Lancaster Avenue

Villanova, PA 19085-1678

United States

http://www90.homepage.villanova.edu/michael.pagano

  • Villanova University - Villanova School of Business

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    • Tel: (610) 519-4389
SCHOLARLY PAPERS

24

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35

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40

Scholarly Papers (24)

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1.

Operational Shorting and ETF Liquidity Provision

Darden Business School Working Paper No. 2961954, 2019 Academic Research Colloquium for Financial Planning and Related Disciplines
Number of pages: 89 Posted: 03 May 2017 Last Revised: 04 Aug 2022
Richard B. Evans, Rabih Moussawi, Michael S. Pagano and John Sedunov
University of Virginia - Darden School of Business, Villanova University - Department of Finance, Villanova University - Villanova School of Business and Villanova University - Department of Finance
Downloads 2,081 (10,603)
Citation 10

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Exchange-Traded Funds, Authorized Participants, Short-Selling, Failure to Deliver, Liquidity, Retail Trading, Market Making

2.

The Empirical Average Cost of Capital

Villanova School of Business Working Paper
Number of pages: 65 Posted: 22 Jan 2003 Last Revised: 25 Aug 2020
Gerard T. Olson and Michael S. Pagano
Villanova University - School of Business and Villanova University - Villanova School of Business
Downloads 1,955 (11,751)

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cost of capital, capital budgeting, corporate finance, empirical analysis

3.

How did Retail Investors Respond to the COVID-19 Pandemic? The Effect of Robinhood Brokerage Customers on Market Quality

Finance Research Letters, Forthcoming
Number of pages: 26 Posted: 08 Oct 2020 Last Revised: 23 Dec 2021
Michael S. Pagano, John Sedunov and Raisa Velthuis
Villanova University - Villanova School of Business, Villanova University - Department of Finance and Villanova University - Department of Finance
Downloads 846 (40,684)
Citation 4

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COVID-19 pandemic, financial markets, individual investors, retail trading, herding, Robinhood, Robintrack

4.

Bitcoin and the Demand for Money: Is Bitcoin More Than a Speculative Asset?

Number of pages: 56 Posted: 07 Dec 2018 Last Revised: 12 Jun 2020
Michael S. Pagano and John Sedunov
Villanova University - Villanova School of Business and Villanova University - Department of Finance
Downloads 482 (83,821)
Citation 1

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Fintech, Bitcoin, Cryptocurrency, Money

5.

Of Seesaws and Swings: The Market-wide Impact of Levered ETF Rebalancing during Stressful Times

Number of pages: 67 Posted: 08 Apr 2022
Pankaj K. Jain, Suchi Mishra, Michael S. Pagano and Ivan Rodriguez
University of Memphis - Fogelman College of Business and Economics, Florida International University (FIU) - Department of Finance, Villanova University - Villanova School of Business and Eastern Michigan University
Downloads 467 (87,094)

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Leveraged, Inverse, ETFs, volatility, market-wide risk

6.

Do Bankers Sacrifice Value to Build Empires? Managerial Incentives, Industry Consolidation, and Financial Performance

Downloads 404 (103,006)
Citation 10

Do Bankers Sacrifice Value to Build Empires? Managerial Incentives, Industry Consolidation, and Financial Performance

FRB of Philadelphia Working Paper No. 02-2
Number of pages: 43 Posted: 20 Jun 2002
Joseph P. Hughes, Michael S. Pagano, William W. Lang, Loretta J. Mester and Choon-Geol Moon
Rutgers, The State University of New Jersey - Department of Economics, Villanova University - Villanova School of Business, Promontory Financial Group, Federal Reserve Banks - Federal Reserve Bank of Cleveland and Hanyang University
Downloads 404 (102,160)
Citation 10

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consolidation, acquisitions, managerial incentives, efficiency, agency problems, corporate control, stochastic frontier

Do Bankers Sacrifice Value to Build Empires? Managerial Incentives, Industry Consolidation, and Financial Performance

Posted: 02 Sep 2002
Joseph P. Hughes, Michael S. Pagano, William W. Lang, Loretta J. Mester and Choon-Geol Moon
Rutgers, The State University of New Jersey - Department of Economics, Villanova University - Villanova School of Business, Promontory Financial Group, Federal Reserve Banks - Federal Reserve Bank of Cleveland and Hanyang University

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consolidation, acquisitions, managerial incentives, efficiency, agency problems, corporate control, stochastic frontier

7.

Corruption’s Impact on Liquidity, Investment Flows, and Cost of Capital

Number of pages: 44 Posted: 18 Mar 2011 Last Revised: 20 Feb 2014
Pankaj K. Jain, Emre Kuvvet and Michael S. Pagano
University of Memphis - Fogelman College of Business and Economics, Nova Southeastern University and Villanova University - Villanova School of Business
Downloads 394 (106,067)
Citation 2

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Liquidity, Execution Risk, Equity Held by Foreigners, Corruption, Informational Asymmetry, Government Involvement, Institutional Trading Costs, Global Trading

8.

A Call Auction’s Impact on Price Formation and Order Routing: Evidence from the NASDAQ Stock Market

Number of pages: 55 Posted: 27 Mar 2008 Last Revised: 17 Apr 2021
Michael S. Pagano, Lin Peng and Robert A. Schwartz
Villanova University - Villanova School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Baruch College - CUNY
Downloads 364 (116,011)
Citation 12

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opening price, closing price, price discovery, intra-day volatility, market microstructure, equity markets, call auction, NASDAQ

9.

Rating Agency Reputation, the Global Financial Crisis, and the Cost of Debt

Number of pages: 49 Posted: 21 Sep 2010
Seung Hun Han, Michael S. Pagano and Yoon S. Shin
Korea Advanced Institute of Science and Technology (KAIST) - Department of Management Science, Villanova University - Villanova School of Business and Loyola University Maryland
Downloads 350 (121,178)
Citation 5

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Credit ratings, Cost of debt, Financial crisis, Reputation

10.

A Comprehensive Approach to Measuring the Relation Between Systemic Risk Exposure and Sovereign Debt

Journal of Financial Stability, Volume 23, April 2016, 62-78
Number of pages: 51 Posted: 26 Jul 2013 Last Revised: 13 Nov 2019
Michael S. Pagano and John Sedunov
Villanova University - Villanova School of Business and Villanova University - Department of Finance
Downloads 229 (186,527)
Citation 2

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Systemic Risk, Banking Crises, Sovereign Risk, Contagion, Financial Institutions

11.

Applying the Empirical Average Cost of Capital: Estimating the Cost of Funds at the Firm and Industry Levels

Number of pages: 65 Posted: 23 Mar 2017 Last Revised: 24 Aug 2020
Gerard T. Olson and Michael S. Pagano
Villanova University - School of Business and Villanova University - Villanova School of Business
Downloads 226 (188,795)

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Cost of Capital, Empirical, Capital Budgeting, Corporate Finance, Asset Pricing

12.

Divergent Expectations: When Investors Agree to Disagree

Number of pages: 24 Posted: 08 Mar 2007
Michael S. Pagano, Paul Davis and Robert A. Schwartz
Villanova University - Villanova School of Business, Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) and Baruch College - CUNY
Downloads 164 (251,114)
Citation 2

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market microstructure, asset valuation, heterogeneous expectations, theory

13.

Risk, Uncertainty, and the Perceived Threat of Terrorist Attacks: The Advisory System that Cried Wolf?

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 43 Posted: 30 Sep 2007 Last Revised: 29 Oct 2008
Michael S. Pagano and T. Shawn Strother
Villanova University - Villanova School of Business and University of Nebraska-Lincoln
Downloads 144 (279,188)

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Knightian uncertainty, systematic risk, terrorism, asset pricing, financial markets, GARCH, EGARCHM, volatility expectations, VIX, informed trading, PIN

14.

Specialists as Risk Managers: The Competition between Intermediated and Non-Intermediated Market

Number of pages: 47 Posted: 20 Dec 2007
Michael S. Pagano and Wen Mao
Villanova University - Villanova School of Business and Villanova University - School of Business - Economics
Downloads 111 (338,355)

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market microstructure, specialists, competition, theory

15.

Large Capital Infusions, Investor Reactions, and the Return and Risk Performance of Financial Institutions Over the Business Cycle and Recent Financial Crisis

FRB of Philadelphia Working Paper No. 11-46
Number of pages: 37 Posted: 12 Oct 2011 Last Revised: 10 Dec 2015
Elyas Elyasiani, Loretta J. Mester and Michael S. Pagano
Temple University - Department of Finance, Federal Reserve Banks - Federal Reserve Bank of Cleveland and Villanova University - Villanova School of Business
Downloads 106 (349,022)
Citation 12

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Securities Issuance, Market Reaction, Financial Service Firms, Commercial Banks, Government Intervention

16.

Large Capital Infusions, Investor Reactions, and the Return and Risk-Performance of Financial Institutions Over the Business Cycle

Downloads 104 (353,480)

Large Capital Infusions, Investor Reactions, and the Return and Risk-Performance of Financial Institutions Over the Business Cycle

Journal of Financial Stability 11 (2014) 62-81, Fox School of Business Research Paper
Number of pages: 20 Posted: 17 Jun 2014
Elyas Elyasiani, Loretta J. Mester and Michael S. Pagano
Temple University - Department of Finance, Federal Reserve Banks - Federal Reserve Bank of Cleveland and Villanova University - Villanova School of Business
Downloads 68 (460,131)

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Securities issuance, Market reaction, Financial service firms, Commercial banks, Government intervention

Large Capital Infusions, Investor Reactions, and the Return and Risk-Performance of Financial Institutions Over the Business Cycle

FRB of Philadelphia Working Paper No. 13-23
Number of pages: 44 Posted: 25 May 2013
Elyas Elyasiani, Loretta J. Mester and Michael S. Pagano
Temple University - Department of Finance, Federal Reserve Banks - Federal Reserve Bank of Cleveland and Villanova University - Villanova School of Business
Downloads 36 (608,232)

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Securities Issuance, Market Reaction, Financial Service Firms, Commercial Banks, Government Intervention

17.

Operational Shorting and ETF Liquidity Provision

Number of pages: 89 Posted: 22 Jul 2022
Richard B. Evans, Rabih Moussawi, Michael S. Pagano and John Sedunov
University of Virginia - Darden School of Business, Villanova University - Department of Finance, Villanova University - Villanova School of Business and Villanova University - Department of Finance
Downloads 63 (472,145)

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Exchange-Traded Funds, Authorized Participants, Short-Selling, Failure to Deliver, Liquidity, Retail Trading, Market Making

18.

Risk, Uncertainty, and the Perceived Threat of Terrorist Attacks

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 59 Posted: 08 Oct 2012
T. Shawn Strother and Michael S. Pagano
University of Nebraska-Lincoln and Villanova University - Villanova School of Business
Downloads 45 (547,878)

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Terrorism, flight to quality, GARCH

19.

Convergence and Risk-Return Linkages Across Financial Service Firms

Journal of Banking & Finance 31 (2007) 1167–1190, Fox School of Business Research Paper
Number of pages: 24 Posted: 17 Jun 2014
Elyas Elyasiani, Iqbal Mansur and Michael S. Pagano
Temple University - Department of Finance, Widener University - School of Business Administration and Villanova University - Villanova School of Business
Downloads 40 (572,932)
Citation 3

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Banks, Investment banks, Insurance companies, Convergence, Spillover, GARCH

20.

A New Application of Sustainable Growth: A Multi-Dimensional Framework for Evaluating the Long Run Performance of Bank Mergers

Journal of Business Finance & Accounting, Vol. 32, No. 9-10, pp. 1995-2036, November 2005
Number of pages: 19 Posted: 26 Dec 2005
Gerard T. Olson and Michael S. Pagano
Villanova University - School of Business and Villanova University - Villanova School of Business
Downloads 28 (643,263)
Citation 1

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21.

The Empirical Average Cost of Capital: A New Approach to Estimating the Cost of Corporate Funds

Journal of Applied Corporate Finance, Vol. 29, Issue 3, pp. 101-110, 2017
Number of pages: 12 Posted: 01 Nov 2017
Gerard T. Olson and Michael S. Pagano
Villanova University - School of Business and Villanova University - Villanova School of Business
Downloads 2 (877,636)

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22.

Sovereign Wealth Funds’ Impact on Debt and Equity Markets During the 2007-09 Financial Crisis

Financial Analysts Journal, Vol. 66, No. 3, 2010
Posted: 25 May 2010
Vincent Gasparro and Michael S. Pagano
The Green Tomorrow Fund and Villanova University - Villanova School of Business

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Portfolio Management: Endowment Funds and Foundations, Equity Investments, Fundamental Analysis (Sector, Industry, Company) and the Valuation of Individual Equity Securities, Equity Market Valuation and Return Analysis, Economics, International Trade and Capital Flows

23.

Life after the Big Board Goes Electronic

Financial Analysts Journal, Vol. 62, No. 5, pp. 14-20, October 2006
Posted: 09 Oct 2006
Michael S. Pagano, Robert A. Schwartz and Paul Davis
Villanova University - Villanova School of Business, Baruch College - CUNY and Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)

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Financial Markets, Market Structure and Organizations, Investment Industry, Future Directions and Sources of Change

24.

Market Efficiency in Specialist Markets Before and after Automation

Posted: 23 May 2001
Michael S. Pagano and William C. Freund
Villanova University - Villanova School of Business and Pace University - Lubin School of Business

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