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Paolo Pasquariello

University of Michigan, Stephen M. Ross School of Business

Associate Professor

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

27

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Top 3,627

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9,502

CITATIONS
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SSRN RANKINGS

Top 2,166

in Total Papers Citations

258

Scholarly Papers (27)

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1.

Does Asymmetric Information Drive Capital Structure Decisions?

Downloads 2,898 ( 3,324)
Citation 44

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: 22 Dec 2016
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 2,898 (3,258)
Citation 44

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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

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2.

Financial Markets and the Macro Economy

Downloads 835 ( 24,826)
Citation 2

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 - Stern School of Business
Downloads 641 (35,248)
Citation 2

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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 - Stern School of Business
Downloads 113 (221,222)
Citation 2

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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 - Stern School of Business
Downloads 81 (276,877)
Citation 2

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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 709 (28,800)
Citation 5

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

4.

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

AFA 2004 San Diego Meetings; EFMA 2003 Helsinki Meetings
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 526 (44,117)
Citation 21

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Contagion, Excess Comovement, Correlation

5.

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

Downloads 398 ( 65,321)
Citation 13

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

EFA 2001 Barcelona Meetings; Stern School of Business Working Paper
Number of pages: 42 Posted: 11 Jul 2001
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 276 (98,429)
Citation 13

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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 71 (299,409)
Citation 13

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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 51 (355,157)
Citation 13

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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 389 ( 67,049)
Citation 13

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 320 (83,508)
Citation 13

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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 69 (304,261)
Citation 12

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

7.

The New Asia: Regime Shifts in Currency and Equity Markets

EFMA 2001 Lugano; AFA 2001 New Orleans
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 325 (80,976)

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Regime shifts, asian crisis, information spillover, exchange rates

8.

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

Ross School of Business Working Paper No. 1054, Simon School Working Paper No. FR 06-09, EFA 2007 Ljubljana Meetings Paper
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 298 (86,431)
Citation 21

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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

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 293 (87,057)

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

10.

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 289 (90,649)
Citation 50

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

11.

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

AFA 2005 Philadelphia Meetings; EFA 2004 Maastricht Meetings Paper No. 2715
Number of pages: 41 Posted: 23 Jun 2004
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 261 (101,639)
Citation 4

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Regime Shifts, Financial Crises, ADRs, Market Efficiency

12.

Imperfect Competition, Information Heterogeneity, and Financial Contagion

Downloads 251 (109,301)
Citation 15

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 251 (108,761)
Citation 15

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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

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13.

The Real Estate Market in the Aftermath of September 11

EFMA 2004 Basel Meetings Paper
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 246 (104,888)
Citation 2

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

14.

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

Downloads 216 (127,076)
Citation 5

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 196 (138,933)
Citation 5

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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 20 (491,391)
Citation 5

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Abnormal Returns, Market Over-Reaction

15.

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 213 (120,937)
Citation 4

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

16.

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

Downloads 171 (157,657)

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 171 (157,710)

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Exchange rate forecasting, bootstrapping, factor decomposition

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

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

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17.

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 137 (168,830)

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

18.

Informed and Strategic Order Flow in the Bond Markets

Downloads 118 (213,346)
Citation 50

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 118 (214,291)
Citation 50

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

19.

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 98 (133,538)

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

20.

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 72 (255,426)
Citation 1

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

21.

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

Downloads 63 (315,736)

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 63 (319,774)

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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

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

22.

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

Ross School of Business Paper No. 1284
Number of pages: 60 Posted: 06 Sep 2015 Last Revised: 15 Nov 2017
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 30 (224,530)

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Corporate Governance, Agency Costs, Liquidity, Strategic Trading, Price Formation, Stock Markets

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 29 (303,214)

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

24.

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 24 (443,779)
Citation 8

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

25.

Speculation with Information Disclosure

Number of pages: 75 Posted: 06 Oct 2016 Last Revised: 31 Jan 2018
Paolo Pasquariello and Yifei Wang
University of Michigan, Stephen M. Ross School of Business and University of Michigan at Ann Arbor - Finance
Downloads 0 (137,839)

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

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
Unaffiliated Authors - Independent, Arizona State University and University of Michigan, Stephen M. Ross School of Business
Downloads 0 (596,740)
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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:

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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