Paolo Pasquariello

University of Michigan, Stephen M. Ross School of Business

Professor of Finance

709 Tappan Street

Room R4434

Ann Arbor, MI 48109

United States

http://webuser.bus.umich.edu/ppasquar/

  • University of Michigan, Stephen M. Ross School of Business

    • Email
    • Tel: 734-764-9286
    • Fax: 240-526-7168
SCHOLARLY PAPERS

28

DOWNLOADS
Rank 4,938

SSRN RANKINGS

Top 4,938

in Total Papers Downloads

10,495

SSRN CITATIONS
Rank 4,627

SSRN RANKINGS

Top 4,627

in Total Papers Citations

149

CROSSREF CITATIONS

147

Scholarly Papers (28)

Actions:
Email selected abstracts
1.

Does Asymmetric Information Drive Capital Structure Decisions?

Downloads 3,149 ( 4,509)
Citation 45

Does Asymmetric Information Drive Capital Structure Decisions?

EFA 2006 Zurich Meetings, AFA 2008 New Orleans Meetings Paper
Number of pages: 55 Posted: 06 Mar 2006 Last Revised: 17 Jun 2018
Sreedhar T. Bharath, Paolo Pasquariello and Guojun Wu
Arizona State University (ASU) - Finance Department, University of Michigan, Stephen M. Ross School of Business and University of Houston
Downloads 3,149 (4,421)
Citation 45

Abstract:

Loading...

Pecking Order Theory, Capital Structure, Information Asymmetry

Does Asymmetric Information Drive Capital Structure Decisions?

The Review of Financial Studies, Vol. 22, Issue 8, pp. 3211-3243, 2009
Posted: 05 Aug 2009
Sreedhar T. Bharath, Paolo Pasquariello and Guojun Wu
Arizona State University (ASU) - Finance Department, University of Michigan, Stephen M. Ross School of Business and University of Houston

Abstract:

Loading...

G32

2.

Financial Markets and the Macro Economy

Downloads 876 ( 33,337)
Citation 4

Financial Markets and the Macro Economy

AFA 2007 Chicago Meetings Paper
Number of pages: 49 Posted: 04 Mar 2005
Menachem Brenner, Paolo Pasquariello and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance, University of Michigan, Stephen M. Ross School of Business and New York University (NYU) - Department of Finance
Downloads 657 (48,592)
Citation 6

Abstract:

Loading...

Volatility, comovement, information, market efficiency

Financial Markets and the Macro Economy

NYU Working Paper No. FIN-05-003
Number of pages: 49 Posted: 03 Nov 2008
Menachem Brenner, Paolo Pasquariello and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance, University of Michigan, Stephen M. Ross School of Business and New York University (NYU) - Department of Finance
Downloads 134 (262,404)

Abstract:

Loading...

Volatility, Comovement, Information, Market Efficiency

Financial Markets and the Macro Economy

NYU Working Paper No. SC-AM-05-03
Number of pages: 49 Posted: 04 Nov 2008
Menachem Brenner, Paolo Pasquariello and Marti G. Subrahmanyam
New York University (NYU) - Department of Finance, University of Michigan, Stephen M. Ross School of Business and New York University (NYU) - Department of Finance
Downloads 85 (359,737)

Abstract:

Loading...

3.

The Microstructure of Currency Markets: An Empirical Model of Intra-Day Return and Bid-Ask Spread Behavior

EFMA 2001 Lugano Meetings; Stern School of Business Working Paper
Number of pages: 36 Posted: 29 Jan 2001
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 781 (39,038)
Citation 3

Abstract:

Loading...

Market microstructure, exchange rate, bid-ask spread, GMM

4.

Time-Series and Cross-Sectional Excess Comovement in Stock Indexes

Number of pages: 41 Posted: 23 Jun 2003
Jarl G. Kallberg and Paolo Pasquariello
New York University (NYU) - Department of Finance and University of Michigan, Stephen M. Ross School of Business
Downloads 571 (58,911)
Citation 19

Abstract:

Loading...

Contagion, Excess Comovement, Correlation

5.

Central Bank Intervention and the Intraday Process of Price Formation in the Currency Markets

Downloads 429 ( 83,700)
Citation 18

Central Bank Intervention and the Intraday Process of Price Formation in the Currency Markets

Number of pages: 42 Posted: 11 Jul 2001
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 291 (128,380)
Citation 14

Abstract:

Loading...

Central Bank Intervention and the Intraday Process of Price Formation in the Currency Markets

NYU Working Paper No. S-FI-02-10
Number of pages: 55 Posted: 11 Nov 2008
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 83 (365,077)

Abstract:

Loading...

Central Bank Intervention and the Intraday Process of Price Formation in the Currency Markets

NYU Working Paper No. FIN-02-036
Number of pages: 42 Posted: 03 Nov 2008 Last Revised: 28 Jan 2009
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 55 (456,494)

Abstract:

Loading...

Foreign Exchange, Central Bank Intervention, Market Microstructure, Liquidity, Volatility, Bid-Ask Spread

6.

Informative Trading or Just Noise? An Analysis of Currency Returns, Market Liquidity and Transaction Costs in Proximity of Central Bank Interventions

Downloads 420 ( 85,800)
Citation 22

Informative Trading or Just Noise? An Analysis of Currency Returns, Market Liquidity and Transaction Costs in Proximity of Central Bank Interventions

Number of pages: 61 Posted: 26 Feb 2002
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 340 (108,505)
Citation 11

Abstract:

Loading...

Sterilized Central Bank Intervention; Market Microstructure; Foreign Exchange; Information; Inventory

Informative Trading or Just Noise? An Analysis of Currency Returns, Market Liquidity, and Transaction Costs in Proximity of Central Bank Interventions

NYU Working Paper No. S-FI-02-09
Number of pages: 61 Posted: 11 Nov 2008
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 80 (373,255)
Citation 4

Abstract:

Loading...

Sterilized Central Bank Intervention, Market Microstructure, Foreign Exchange, Information, Inventory

7.

Speculation with Information Disclosure

Number of pages: 98 Posted: 06 Oct 2016 Last Revised: 09 Feb 2021
Paolo Pasquariello and Yifei Wang
University of Michigan, Stephen M. Ross School of Business and University of Michigan, Department of Finance
Downloads 376 (97,489)
Citation 8

Abstract:

Loading...

Liquidity, Market Depth, Trading, Disclosure, Private Information, Mutual Funds

8.

The New Asia: Regime Shifts in Currency and Equity Markets

Number of pages: 56 Posted: 07 Dec 2000
Jarl G. Kallberg, Crocker H. Liu and Paolo Pasquariello
New York University (NYU) - Department of Finance, Arizona State University and University of Michigan, Stephen M. Ross School of Business
Downloads 337 (110,315)
Citation 1

Abstract:

Loading...

Regime shifts, asian crisis, information spillover, exchange rates

9.

Prospect Theory and Market Quality

Number of pages: 57 Posted: 18 Aug 2007 Last Revised: 13 Jun 2013
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 331 (112,532)
Citation 6

Abstract:

Loading...

Prospect Theory, Market Liquidity, Adverse Selection, Loss Aversion, Risk Seeking, Endogenous Information Acquisition, Price Impact, Volatility, Trading Volume, Efficiency, Price Informativeness

10.

Strategic Order Flow in the On-the-Run and Off-the-Run Bond Markets

Ross School of Business Working Paper No. 1054, EFA 2007 Ljubljana Meetings Paper, Simon School Working Paper No. FR 06-09
Number of pages: 51 Posted: 11 Oct 2006
Clara Vega and Paolo Pasquariello
Board of Governors of the Federal Reserve System and University of Michigan, Stephen M. Ross School of Business
Downloads 324 (115,190)

Abstract:

Loading...

Treasury Bond Markets, Strategic Trading, Market Microstructure, Liquidity, Order Flow, On-The-Run Bonds, Off-The-Run Bonds, Macroeconomic News Announcements, Expectations, Dispersion of Beliefs

11.

Informed and Strategic Order Flow in the Bond Market

AFA 2007 Chicago Meetings Paper
Number of pages: 57 Posted: 01 Mar 2005
Clara Vega and Paolo Pasquariello
Board of Governors of the Federal Reserve System and University of Michigan, Stephen M. Ross School of Business
Downloads 312 (119,899)

Abstract:

Loading...

Macroeconomic news announcements, strategic trading, market microstructure, order flow, real-time data, expectations, dispersion of beliefs

12.

Political Uncertainty and Financial Market Quality

Ross School of Business Paper No. 1232
Number of pages: 54 Posted: 12 Apr 2014 Last Revised: 18 Apr 2014
Paolo Pasquariello and Christina Zafeiridou
University of Michigan, Stephen M. Ross School of Business and University of Michigan - Stephen M. Ross School of Business
Downloads 296 (126,746)
Citation 10

Abstract:

Loading...

Political Uncertainty, Market Quality, Trading Volume, Liquidity, Price Impact

13.

Are Financial Crises Indeed 'Crises?' Evidence from the Emerging Adr Market

Number of pages: 41 Posted: 23 Jun 2004
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 280 (134,418)
Citation 6

Abstract:

Loading...

Regime Shifts, Financial Crises, ADRs, Market Efficiency

14.

The Real Estate Market in the Aftermath of September 11

Number of pages: 35 Posted: 12 Jun 2004
Crocker H. Liu, Jarl G. Kallberg and Paolo Pasquariello
Arizona State University, New York University (NYU) - Department of Finance and University of Michigan, Stephen M. Ross School of Business
Downloads 274 (137,524)
Citation 2

Abstract:

Loading...

Abnormal Returns, Market Over-Reaction, Nonresidential Real Estate, REITs

15.

Imperfect Competition, Information Heterogeneity, and Financial Contagion

Downloads 264 (142,806)

Imperfect Competition, Information Heterogeneity, and Financial Contagion

Stern School of Business Working Paper
Number of pages: 58 Posted: 23 Apr 2003
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 264 (142,199)
Citation 13

Abstract:

Loading...

Contagion, Strategic Trading, Information Heterogeneity

Imperfect Competition, Information Heterogeneity, and Financial Contagion

The Review of Financial Studies, Vol. 20, Issue 2, pp. 391-426, 2007
Posted: 17 Jul 2008
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business

Abstract:

Loading...

16.

Strategic Cross-Trading in the U.S. Stock Market

AFA 2010 Atlanta Meetings Paper
Number of pages: 62 Posted: 29 Jan 2009
Paolo Pasquariello and Clara Vega
University of Michigan, Stephen M. Ross School of Business and Board of Governors of the Federal Reserve System
Downloads 263 (143,345)
Citation 12

Abstract:

Loading...

Equity Market, Market Liquidity, Strategic Trading, Information Heterogeneity, Public News

17.

Updating Expectations: An Analysis of Post-9/11 Returns

Downloads 236 (159,386)
Citation 7

Updating Expectations: An Analysis of Post-9/11 Returns

AFA 2006 Boston Meetings Paper
Number of pages: 39 Posted: 05 May 2005
Jarl G. Kallberg, Crocker H. Liu and Paolo Pasquariello
New York University (NYU) - Department of Finance, Arizona State University and University of Michigan, Stephen M. Ross School of Business
Downloads 210 (177,897)
Citation 4

Abstract:

Loading...

Abnormal Returns, Market Over-Reaction, Nonresidential Real Estate, REITs

Updating Expectations: An Analysis of Post-9/11 Returns

NYU Working Paper No. FIN-05-010
Number of pages: 39 Posted: 03 Nov 2008
Jarl G. Kallberg, Crocker H. Liu and Paolo Pasquariello
New York University (NYU) - Department of Finance, Arizona State University and University of Michigan, Stephen M. Ross School of Business
Downloads 26 (604,672)
Citation 1

Abstract:

Loading...

Abnormal Returns, Market Over-Reaction

18.

Financial Market Dislocations

AFA 2013 San Diego Meetings Paper
Number of pages: 54 Posted: 26 Feb 2011 Last Revised: 11 Jan 2013
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 199 (187,295)
Citation 12

Abstract:

Loading...

Asset Pricing, Dislocations, Expected Returns, Financial Crisis, Arbitrage

19.

Uncertainty of Trading Rules in Currency Markets: An Application of Nonparametric Bootstrapping

Downloads 176 (208,797)

Uncertainty of Trading Rules in Currency Markets: An Application of Nonparametric Bootstrapping

Stern School of Business Working Paper
Number of pages: 41 Posted: 19 Dec 2000
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 176 (208,858)

Abstract:

Loading...

Exchange rate forecasting, bootstrapping, factor decomposition

Uncertainty of Trading Rules in Currency Markets: An Application of Nonparametric Bootstrapping

Posted: 06 Mar 2001
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business

Abstract:

Loading...

20.

Agency Costs and Strategic Speculation in the U.S. Stock Market

Ross School of Business Paper No. 1284
Number of pages: 70 Posted: 06 Sep 2015 Last Revised: 11 May 2021
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 135 (259,962)

Abstract:

Loading...

Corporate Governance; Agency Costs; Takeover Threat; Investor Activism; Liquidity; Strategic Trading; Price Formation; Stock Markets

21.

Informed and Strategic Order Flow in the Bond Markets

Downloads 133 (262,911)
Citation 30

Informed and Strategic Order Flow in the Bond Markets

FRB International Finance Discussion Paper No. 874
Number of pages: 52 Posted: 22 Dec 2006
Clara Vega and Paolo Pasquariello
Board of Governors of the Federal Reserve System and University of Michigan, Stephen M. Ross School of Business
Downloads 133 (263,908)
Citation 30

Abstract:

Loading...

Treasury Bond Markets, Macroeconomic News Announcements, Strategic Trading, Market Microstructure, Order Flow, Real-Time Data, Expectations, Dispersion of Beliefs

22.

Government Intervention and Strategic Trading in the U.S. Treasury Market

Number of pages: 52 Posted: 26 Feb 2011 Last Revised: 15 Mar 2012
Paolo Pasquariello and Clara Vega
University of Michigan, Stephen M. Ross School of Business and Board of Governors of the Federal Reserve System
Downloads 123 (278,797)
Citation 8

Abstract:

Loading...

Treasury Bond Markets, Open Market Operations, Central Bank, Government Interventions, Strategic Trading, Market Microstructure, Liquidity

23.

Government Intervention and Arbitrage

Ross School of Business Paper No. 1240
Number of pages: 101 Posted: 25 May 2014 Last Revised: 12 May 2017
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 98 (326,066)
Citation 6

Abstract:

Loading...

Arbitrage, Law of One Price, Central Bank, Government Intervention, Currency Market, ADR, Cross-Listing, Liquidity, Strategic Trading

24.

On the Price Comovement of U.S. Residential Real Estate Markets

Downloads 84 (359,080)
Citation 2

On the Price Comovement of U.S. Residential Real Estate Markets

Number of pages: 38 Posted: 19 Feb 2008 Last Revised: 19 Mar 2011
Jarl G. Kallberg, Crocker H. Liu and Paolo Pasquariello
New York University (NYU) - Department of Finance, Arizona State University and University of Michigan, Stephen M. Ross School of Business
Downloads 84 (362,413)
Citation 2

Abstract:

Loading...

Real Estate, Correlation, Contagion, Housing Bubble, Credit Crisis

On the Price Comovement of U.S. Residential Real Estate Markets

Real Estate Economics, Forthcoming
Posted: 07 Aug 2012
Jarl G. Kallberg, Crocker Herbert Liu and Paolo Pasquariello
New York University (NYU) - Department of Finance, Cornell University - School of Hotel Administration and University of Michigan, Stephen M. Ross School of Business

Abstract:

Loading...

Real Estate, Correlation, Contagion, Housing Bubble, Credit Crisis

25.

Informative Trading or Just Noise? An Analysis of Currency Returns, Market Analysis of Currency Returns, Market Proximity of Central Bank Interventions

NYU Working Paper No. FIN-02-035
Number of pages: 61 Posted: 03 Nov 2008
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 28 (575,099)

Abstract:

Loading...

Sterilized Central Bank Intervention, Market Microstructure, Market Microstructure, Information, Inventory

26.

On the Price Comovement of U.S. Residential Real Estate Markets

Real Estate Economics, Vol. 42, Issue 1, pp. 71-108, 2014
Number of pages: 38 Posted: 18 Feb 2014
Jarl Kallberg, Crocker H. Liu and Paolo Pasquariello
Independent, Arizona State University and University of Michigan, Stephen M. Ross School of Business
Downloads 0 (794,146)
Citation 3
  • Add to Cart

Abstract:

Loading...

27.

The On-the-Run Liquidity Phenomenon

Journal of Financial Economics (JFE), forthcoming, Ross School of Business Working Paper No. 1054, EFA 2007 Ljubljana Meetings Paper, Simon School Working Paper No. FR 06-09
Posted: 04 Jun 2008
Clara Vega and Paolo Pasquariello
Board of Governors of the Federal Reserve System and University of Michigan, Stephen M. Ross School of Business

Abstract:

Loading...

Treasury Bond Markets, Strategic Trading, Market Microstructure, Liquidity, Order Flow, On-The-Run Bonds, Off-The-Run Bonds, Macroeconomic News Announcements, Expectations, Dispersion of Beliefs

28.

Quants, Strategic Speculation, and Financial Market Quality

Number of pages: 88
George Malikov and Paolo Pasquariello
University of Western Ontario - Richard Ivey School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 0

Abstract:

Loading...

investment management, quantitative funds, mutual funds, quants, liquidity, market quality