Angelo Ranaldo

University of St. Gallen

Full professor

Swiss Institute of Banking and Finance s/bf-HSG

Unterer Graben 21

St. Gallen, 9000

Switzerland

http://www.sbf.unisg.ch/Lehrstuehle/Lehrstuhl_Ranaldo/Homepage_Ranaldo.aspx

University of St. Gallen - School of Finance

Unterer Graben 21

St.Gallen, CH-9000

Switzerland

SCHOLARLY PAPERS

43

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19,289

CITATIONS
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Top 4,265

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126

Scholarly Papers (43)

1.

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Journal of Finance, 2013, Vol. 68, No. 5, pp. 1805-1841
Number of pages: 69 Posted: 14 Aug 2009 Last Revised: 13 Oct 2013
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 2,117 (6,033)
Citation 8

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Foreign Exchange Market, Liquidity, Commonality in Liquidity, Liquidity Spiral, Liquidity Risk Premium, Carry Trade

2.

How to Price Hedge Funds: From Two- to Four-Moment CAPM

UBS Research Paper
Number of pages: 31 Posted: 09 Aug 2004 Last Revised: 09 Jun 2014
Angelo Ranaldo and Laurent Favre
University of St. Gallen and AlternativeSoft
Downloads 1,820 (7,858)
Citation 10

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Hedge funds, CAPM, higher moments, skewness, kurtosis, required rate of return

The Time-Varying Systematic Risk of Carry Trade Strategies

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 26 Posted: 23 Apr 2009 Last Revised: 11 Jun 2013
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 1,263 (13,828)
Citation 17

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carry trade, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas

The Time-Varying Systematic Risk of Carry Trade Strategies

Number of pages: 35 Posted: 14 Mar 2010
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 278 (102,458)
Citation 17

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carry trades, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas

The Time-Varying Systematic Risk of Carry Trade Strategies

CEPR Discussion Paper No. DP7345
Number of pages: 33 Posted: 26 Aug 2009
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 4 (608,969)
Citation 17
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carry trade, factor model, smooth transition regression, time-varying betas

4.

Segmentation and Time-of-Day Patterns in Foreign Exchange Markets

EFA 2007 Ljubljana Meetings Paper
Number of pages: 36 Posted: 08 Feb 2007
Angelo Ranaldo
University of St. Gallen
Downloads 1,199 (15,329)
Citation 2

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foreign exchange market; microstructure, behavioural finance, time-of-day patterns, market segmentation, calendar effects, inventory, asymmetric information, high-frequency data

5.

Convertible Bonds: Characteristics of an Asset Class

UBS Research Paper
Number of pages: 28 Posted: 03 Jun 2004
Angelo Ranaldo and Alain Eckmann
University of St. Gallen and UBS AG - Zurich Office
Downloads 1,177 (15,803)
Citation 1

Abstract:

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convertible bonds, downside risk, CAPM, higher-moment CAPM, Factor Analysis, coskewness, efficient portfolio with convertible bonds

6.

The Euro Interbank Repo Market

Swiss Finance Institute Research Paper No. 13-71, University of St. Gallen, School of Finance Research Paper No. 2013/16
Number of pages: 42 Posted: 28 Sep 2013 Last Revised: 29 Mar 2016
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 1,051 (18,684)

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Repurchase agreements, money market structure, central counterparty, short-term debt, financial crisis, unconventional monetary policy

Wolf in Sheep's Clothing: The Active Investment Strategies Behind Index Performance

EFMA 2004 BASEL MEETINGS
Number of pages: 26 Posted: 07 May 2004
Angelo Ranaldo and Rainer Haeberle
University of St. Gallen and UBS Investment Bank
Downloads 890 (23,525)
Citation 6

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index performance, active / passive investment management, momentum strategies, index constituents; selection and rebalancing rules; performance measurement; "buy-and-hold" strategy

Wolf in Sheep's Clothing: The Active Investment Strategies Behind Index Performance

European Financial Management, Vol. 14, Issue 1, pp. 55-81, January 2008
Number of pages: 27 Posted: 29 Dec 2007
Angelo Ranaldo and Rainer Häberle
University of St. Gallen and affiliation not provided to SSRN
Downloads 33 (439,138)
Citation 6
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Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity

Number of pages: 46 Posted: 13 Mar 2010 Last Revised: 15 Jun 2013
Tommaso Mancini-Griffoli and Angelo Ranaldo
Swiss National Bank and University of St. Gallen
Downloads 600 (40,550)
Citation 1

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limits to arbitrage, covered interest parity, funding liquidity, financial crisis, slow moving capital, market freeze, unconventional monetary policy.

Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity

Number of pages: 46 Posted: 09 Feb 2010 Last Revised: 15 Jun 2013
Thomas Mancini-Griffoli and Angelo Ranaldo
Swiss National Bank and University of St. Gallen
Downloads 302 (93,680)
Citation 1

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limits to arbitrage, covered interest parity, funding liquidity, financial crisis, slow moving capital, market freeze, unconventional monetary policy.

9.

Understanding FX Liquidity

Forthcoming in The Review of Financial Studies, University of St.Gallen, School of Finance Research Paper No. 2013/15
Number of pages: 49 Posted: 24 Sep 2013 Last Revised: 09 Jun 2015
Nina Karnaukh, Angelo Ranaldo and Paul Söderlind
Ohio State University; Fisher College of Business - Department of Finance, University of St. Gallen and University of St. Gallen
Downloads 895 (23,765)

Abstract:

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exchange rates, liquidity, transaction costs, commonality, low-frequency

10.
Downloads 713 ( 32,631)
Citation 20

Safe Haven Currencies

Review of Finance, Vol. 10, pp. 385-407, 2010 , University of St. Gallen Economics Discussion Paper No. 2007-22
Number of pages: 28 Posted: 16 Jul 2007 Last Revised: 15 Jun 2013
Angelo Ranaldo and Paul Söderlind
University of St. Gallen and University of St. Gallen
Downloads 704 (32,678)
Citation 20

Abstract:

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exchange rates, high-frequency data, crisis episodes, non-linear effects

Safe Haven Currencies

CEPR Discussion Paper No. DP7249
Number of pages: 31 Posted: 15 Apr 2009
Angelo Ranaldo and Paul Söderlind
University of St. Gallen and University of St. Gallen
Downloads 9 (578,157)
Citation 20
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crisis episodes, high-frequency data, non-linear effects

Intraday Market Dynamics Around Public Information Arrivals

EFMA 2002 London Meeting, Forthcoming
Number of pages: 46 Posted: 02 Mar 2002
Angelo Ranaldo
University of St. Gallen
Downloads 363 (75,855)
Citation 11

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arrival of public information, intraday trading, transaction cost components, order flow, disclosure impact

Intraday Market Dynamics Around Public Information Arrivals

AFA 2004 San Diego Meetings
Number of pages: 37 Posted: 04 Dec 2003
Angelo Ranaldo
University of St. Gallen
Downloads 339 (82,202)
Citation 11

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Firm-specific news, public information arrivals, market microstructure, transaction cost components, price formation model, high frequency data, Paris Bourse

12.

Order Aggressiveness

EFMA 2001 Lugano Meetings
Number of pages: 67 Posted: 11 Jan 2001
Angelo Ranaldo
University of St. Gallen
Downloads 669 (35,607)
Citation 23

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limit order book; limit orders; microstructure; order aggressiveness

13.

Intraday Patterns in FX Returns and Order Flow

Queen Mary, University of London, School of Economics and Finance WP 694
Number of pages: 19 Posted: 04 Jul 2012
Francis Breedon and Angelo Ranaldo
University of London, Queen Mary - School of Economics and Finance and University of St. Gallen
Downloads 638 (37,881)
Citation 1

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Foreign exchange, Microstructure, Order flow, Liquidity

14.

A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

Forthcoming, Review of Financial Studies, University of St. Gallen, School of Finance Research Paper 2016/04
Number of pages: 53 Posted: 02 Feb 2016 Last Revised: 30 Jul 2017
Farshid Abdi and Angelo Ranaldo
University of Saint Gallen, SoF: School of Finance, Students and University of St. Gallen
Downloads 507 (51,026)

Abstract:

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Market liquidity, Transaction cost, Effective spread, TAQ data, Asset pricing

15.

Realized Bond-Stock Correlation: Macroeconomic Announcement Effects

Number of pages: 31 Posted: 10 Mar 2006
Charlotte Christiansen and Angelo Ranaldo
Aarhus University - CREATES and University of St. Gallen
Downloads 435 (61,718)
Citation 10

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Bond-stock correlation, Macroeconomic announcements, Realized correlation, Realized volatility

16.

How to Improve the Financial Architecture and Its Resilience

Number of pages: 22 Posted: 21 Jun 2014
ETH Zürich - Department of Humanities, Social and Political Sciences (GESS), London School of Economics & Political Science (LSE), Capital Fund Management, University College London - Financial Computing and Analytics Group, Department of Computer Science, University of Oxford, University of Western Sydney - School of Economics & Finance, Columbia University School of Law, University of Kiel - Institute for World Economics (IfW), Independent, University of St. Gallen, Independent and University of the West of England (UWE)
Downloads 410 (66,511)

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financial architecture, resilience, financial crisis, banking crisis, economic crisis, new economic thinking

17.

Save Haven Currencies

Review of Finance, Forthcoming
Number of pages: 28 Posted: 28 Feb 2008 Last Revised: 15 Jun 2013
Angelo Ranaldo and Paul Söderlind
University of St. Gallen and University of St. Gallen
Downloads 387 (70,926)

Abstract:

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foreign exchange rates, high-frequency data, crisis episodes, non-linear effects

18.

Monetary Policy Effects on Long-Term Rates and Stock Prices

EFA 2008 Athens Meetings Paper
Number of pages: 36 Posted: 06 Mar 2008
Samuel Reynard and Angelo Ranaldo
Swiss National Bank and University of St. Gallen
Downloads 353 (78,991)

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Monetary policy, Expectations, Long-term interest rates, Stock prices, Inflation, Real interest rate, Dividends, Economic shocks, Fed's private information

19.

Fragility of Money Markets

University of St.Gallen, School of Finance Research Paper No. 2016/01
Number of pages: 48 Posted: 11 Jan 2016 Last Revised: 20 Apr 2017
Angelo Ranaldo, Matthias Rupprecht and Jan Wrampelmeyer
University of St. Gallen, University of St. Gallen - School of Finance and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 350 (79,748)

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Money markets, unsecured and secured funding, liquidity spirals, monetary policy, regulation

20.

On the Predictability of Stock Prices: A Case for High and Low Prices

Journal of Banking and Finance, Forthcoming
Number of pages: 42 Posted: 18 Jun 2011 Last Revised: 15 Jun 2013
University of Padua - Department of Statistical Sciences, University of St. Gallen and Aarhus University - CREATES
Downloads 301 (94,552)

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high and low prices, predictability of asset prices, range, fractional cointegration, exit/entry trading signals, chart/technical analysis

21.

Forecasting Realized (Co)Variances with a Block Structure Wishart Autoregressive Model

Number of pages: 30 Posted: 12 Oct 2008 Last Revised: 15 Jun 2013
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 283 (101,088)
Citation 10

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realized volatility, forecasting, Value-at-Risk, Wishart

22.

Internet Appendix for 'Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums'

Number of pages: 59 Posted: 20 Dec 2011 Last Revised: 11 Jun 2013
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 232 (124,127)

Abstract:

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foreign exchange market, liquidity, commonality in liquidity, liquidity spiral, liquidity risk premium, carry trade

23.

Unsecured and Secured Funding

Number of pages: 45 Posted: 14 Aug 2016 Last Revised: 20 Apr 2018
Mario di Filippo, Angelo Ranaldo and Jan Wrampelmeyer
World Bank Group, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 220 (131,372)

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Liquidity hoarding, asymmetric information, counterparty credit risk, wholesale funding fragility, interbank market, liquidity

24.

Precious Metals under the Microscope: A High-Frequency Analysis

University of St. Gallen, School of Finance Research Paper No. 2014/9, Forthcoming in Quantitative Finance
Number of pages: 30 Posted: 13 May 2013 Last Revised: 23 Jun 2014
University of Padua - Department of Statistical Sciences, University of St. Gallen and University of Padua - Department of Economics
Downloads 218 (131,938)

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precious metals, high-frequency data, liquidity, commonality in liquidity, intradaily periodicity

25.

Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal

Bank of England Working Paper No. 711
Number of pages: 30 Posted: 21 Feb 2018
University of London, Queen Mary - School of Economics and Finance, University of Sussex, University of St. Gallen and Bank of England
Downloads 145 (189,618)

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Swiss franc, algorithmic trading, liquidity, volatility, price discovery, arbitrage opportunities

26.

Internet Appendix for 'The Euro Interbank Repo Market'

Number of pages: 28 Posted: 17 Dec 2013 Last Revised: 30 Jul 2015
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 139 (196,190)

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Repurchase agreements, repo market, central counterparty, short-term debt, liquidity hoarding, financial crisis, unconventional monetary policy

Does FOMC News Increase Global FX Trading?

Number of pages: 38 Posted: 08 Mar 2008
Andreas M. Fischer and Angelo Ranaldo
Swiss National Bank and University of St. Gallen
Downloads 106 (241,996)

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Trading volume, FOMC, Global linkages

Does FOMC News Increase Global FX Trading?

CEPR Discussion Paper No. DP6753
Number of pages: 39 Posted: 10 Jun 2008
Andreas M. Fischer and Angelo Ranaldo
Swiss National Bank and University of St. Gallen
Downloads 1 (640,038)
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FOMC, Global linkages, Trading volume

28.

Extreme Coexceedances in New EU Member States' Stock Markets

Number of pages: 31 Posted: 03 Mar 2008 Last Revised: 08 Nov 2017
Charlotte Christiansen and Angelo Ranaldo
Aarhus University - CREATES and University of St. Gallen
Downloads 103 (245,491)
Citation 1

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Financial market integration, Comovement, Emerging markets, EU enlargement, EU Member States, Extreme returns, New EU Member States, Stock markets

29.

Risk Spillovers in International Equity Portfolios

Number of pages: 32 Posted: 17 Jul 2011 Last Revised: 11 Mar 2012
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 101 (248,859)

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Risk spillover, portfolio risk, currency risk, variance forecasting, international portfolio, Wishart distribution

30.

Explaining the Failure of the Expectations Hypothesis with Short-Term Rates

University of St.Gallen, School of Finance Research Paper No. 2016/19
Number of pages: 69 Posted: 15 Oct 2016 Last Revised: 14 Feb 2017
Angelo Ranaldo and Matthias Rupprecht
University of St. Gallen and University of St. Gallen - School of Finance
Downloads 98 (253,932)

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Expectations hypothesis, interest rates, risk premium, monetary policy, repo

31.

Internet Appendix to 'A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices'

Number of pages: 21 Posted: 21 Jul 2016 Last Revised: 30 Jul 2017
Farshid Abdi and Angelo Ranaldo
University of Saint Gallen, SoF: School of Finance, Students and University of St. Gallen
Downloads 93 (262,743)

Abstract:

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Market liquidity, Transaction cost, Effective spread, TAQ data, Asset pricing

32.

Internet Appendix to 'Understanding FX Liquidity'

Number of pages: 36 Posted: 09 Jun 2015
Nina Karnaukh, Angelo Ranaldo and Paul Söderlind
Ohio State University; Fisher College of Business - Department of Finance, University of St. Gallen and University of St. Gallen
Downloads 82 (284,086)

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33.
Downloads 75 (299,502)

OTC Premia

University of St.Gallen, School of Finance Research Paper No. 2018/18
Number of pages: 54 Posted: 28 Aug 2018 Last Revised: 13 Dec 2018
Gino Cenedese, Angelo Ranaldo and Michalis Vasios
Fulcrum Asset Management, University of St. Gallen and Bank of England
Downloads 54 (360,198)

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interest rate swaps, financial regulation, central clearing, over-the-counter market, valuation adjustments

OTC Premia

Bank of England Working Paper No. 751
Number of pages: 50 Posted: 28 Aug 2018
Gino Cenedese, Angelo Ranaldo and Michalis Vasios
Fulcrum Asset Management, University of St. Gallen and Bank of England
Downloads 21 (504,268)

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Interest rate swaps, financial regulation, central clearing, over-the-counter market, valuation adjustments

34.

The Implementation of SNB Monetary Policy

Financial Markets and Portfolio Management, Vol. 23, pp. 349-359, 2009
Number of pages: 16 Posted: 02 Nov 2009 Last Revised: 11 Jun 2013
Angelo Ranaldo, Thomas Jordan and Paul Söderlind
University of St. Gallen, Swiss National Bank and University of St. Gallen
Downloads 75 (299,502)
Citation 1

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implementation of monetary policy, Libor, repo, Swiss franc money market, regime switching model

35.

A Forecast Based Comparison of Restricted Realized Covariance Models

Number of pages: 35 Posted: 24 Feb 2010
Massimiliano Caporin, Angelo Ranaldo and Matteo Bonato
University of Padua - Department of Statistical Sciences, University of St. Gallen and University of Johannesburg - Department of Economics and Econometrics
Downloads 67 (318,648)

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Realized covariance, WAR, HAR, multivariate volatility forecasts

36.

Heterogeneous Information Content of Global FX Trading

University of St.Gallen, School of Finance Research Paper No. 2018/20
Number of pages: 63 Posted: 16 Oct 2018 Last Revised: 13 Dec 2018
Angelo Ranaldo and Fabricius Somogyi
University of St. Gallen and University of St. Gallen
Downloads 60 (339,940)

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Carry trade, Currency portfolios, Heterogeneity, Order flow, Price discovery

37.

Trading Volume, Illiquidity and Commonalities in FX Markets

University of St.Gallen, School of Finance Research Paper No. 2018/23
Number of pages: 47 Posted: 22 Nov 2018 Last Revised: 26 Nov 2018
Angelo Ranaldo and Paolo Santucci de Magistris
University of St. Gallen and Aarhus University - CREATES
Downloads 36 (416,876)

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FX Trading Volume, Volatility, Illiquidity, MDH, Commonalities, Co-Jumps

38.

Uniform-Price Auctions for Swiss Government Bonds: Origin and Evolution

University of St.Gallen, School of Finance Research Paper No. 2016/09
Number of pages: 47 Posted: 21 Mar 2016
Angelo Ranaldo and Enzo Rossi
University of St. Gallen and Swiss National Bank
Downloads 31 (437,333)

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Government Bonds, Treasury Auctions, Uniform-price Auction

39.

The Reaction of Asset Markets to Swiss National Bank Communication

Number of pages: 36 Posted: 19 Mar 2016
Angelo Ranaldo and Enzo Rossi
University of St. Gallen and Swiss National Bank
Downloads 30 (441,902)
Citation 4

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Central bank communication; Interviews; Speeches; Asset Markets; High-frequency data

40.

Hedge Fund Performance and Higher-Moment Market Models

Journal of Alternative Investments, Winter 2005
Posted: 13 Jan 2006
Angelo Ranaldo and Laurent Favre
University of St. Gallen and AlternativeSoft

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Hedge Funds, Higher Moments, Skewness, Kurtosis, Coskewness, and Cokurtosis

41.

Order Aggressiveness in Limit Order Book Markets

Journal of Financial Markets, Vol. 7, No. 1, 2004
Posted: 15 Jan 2004
Angelo Ranaldo
University of St. Gallen

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Limit order book, limit orders, microstructure, order aggressiveness, probit model

42.

Intraday Market Liquidity on the Swiss Stock Exchange

Financial Markets & Portfolio Management, Vol. 15, No. 3, 2001
Posted: 11 Mar 2002
Angelo Ranaldo
University of St. Gallen

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intraday market liquidity, liquidity proxies, Swiss Stock Exchange, volume concentration

43.

Transaction Costs on the Swiss Stock Exchange

Financial Markets and Portfolio Management, Vol. 16, No. 1, pp. 53-68, 2002
Posted: 11 Mar 2002
Angelo Ranaldo
University of St. Gallen

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transaction cost, bid-ask spread components, Swiss Stock Exchange