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/

SCHOLARLY PAPERS

30

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149

Scholarly Papers (30)

1.
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Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,814 (1,873)

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non-standard errors, multi-analyst approach, liquidity

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 3,180 (5,252)
Citation 45

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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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Downloads 894 ( 37,742)
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) - Leonard N. Stern School of Business
Downloads 661 (55,752)
Citation 6

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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 (NYU) - Leonard N. Stern School of Business
Downloads 145 (278,648)

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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 (NYU) - Leonard N. Stern School of Business
Downloads 88 (396,644)

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4.

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 786 (44,916)
Citation 3

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

5.

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 572 (67,934)
Citation 19

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Contagion, Excess Comovement, Correlation

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 293 (145,527)
Citation 14

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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 85 (405,168)

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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 56 (507,401)
Citation 1

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

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 344 (122,725)
Citation 11

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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 81 (416,983)
Citation 4

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

8.

Speculation with Information Disclosure

Number of pages: 98 Posted: 06 Oct 2016 Last Revised: 28 Mar 2022
Paolo Pasquariello and Yifei Wang
University of Michigan, Stephen M. Ross School of Business and University of Michigan, Department of Finance
Downloads 415 (99,909)
Citation 8

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

9.

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 338 (125,922)
Citation 1

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Regime shifts, asian crisis, information spillover, exchange rates

10.

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 335 (127,113)
Citation 6

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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

11.

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 332 (128,375)

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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

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 315 (135,536)
Citation 10

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

13.

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 315 (135,536)

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

14.

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 282 (152,112)
Citation 6

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Regime Shifts, Financial Crises, ADRs, Market Efficiency

15.

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 (156,526)
Citation 2

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

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 269 (159,524)
Citation 12

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

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 266 (160,711)
Citation 13

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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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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 (202,222)
Citation 4

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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 27 (668,557)
Citation 1

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Abnormal Returns, Market Over-Reaction

19.

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 209 (203,379)
Citation 12

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

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 (236,884)

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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

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21.

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

Ross School of Business Paper No. 1284
Number of pages: 81 Posted: 06 Sep 2015 Last Revised: 25 Jan 2022
Paolo Pasquariello
University of Michigan, Stephen M. Ross School of Business
Downloads 152 (267,433)

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

22.
Downloads 137 (290,304)
Citation 29

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 137 (291,407)
Citation 29

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

23.

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 129 (303,903)
Citation 8

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

24.

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 101 (360,452)
Citation 6

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

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 87 (399,424)
Citation 2

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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

26.

Speculation and Liquidity in Stock and Corporate Bond Markets

Number of pages: 64 Posted: 14 Nov 2021 Last Revised: 25 Jul 2022
Paolo Pasquariello and Mirela Sandulescu
University of Michigan, Stephen M. Ross School of Business and University of Michigan, Ross School of Business
Downloads 86 (398,528)

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Liquidity; Strategic Trading; Price Formation, Equity Markets, Bond Markets, Stocks, Corporate Bonds, Default, Leverage, Uncertainty

27.

Quants, Strategic Speculation, and Financial Market Quality

Number of pages: 88 Posted: 09 Aug 2021
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 72 (440,812)

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

28.

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 29 (636,803)

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

29.

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 (908,984)
Citation 3

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30.

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

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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