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

View CV
SCHOLARLY PAPERS

39

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17,309

CITATIONS
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SSRN RANKINGS

Top 4,232

in Total Papers Citations

127

Scholarly Papers (39)

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
Ecole Polytechnique Fédérale de Lausanne, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 1,900 (6,015)
Citation 8

Abstract:

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 Sr.
University of St. Gallen and AlternativeSoft
Downloads 1,569 (7,164)
Citation 10

Abstract:

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 1,194 (12,730)
Citation 17

Abstract:

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 267 (93,258)
Citation 17

Abstract:

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 (547,475)
Citation 17

Abstract:

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

4.

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 1,046 (14,178)
Citation 1

Abstract:

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

5.

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 1,030 (14,343)
Citation 2

Abstract:

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

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 872 (20,585)
Citation 6

Abstract:

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 (392,052)
Citation 6

Abstract:

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 447 (51,026)
Citation 1

Abstract:

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 280 (88,503)
Citation 1

Abstract:

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

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 356 (67,180)
Citation 11

Abstract:

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 332 (73,049)
Citation 11

Abstract:

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

9.

Order Aggressiveness

EFMA 2001 Lugano Meetings
Number of pages: 67 Posted: 11 Jan 2001
Angelo Ranaldo
University of St. Gallen
Downloads 639 (31,394)
Citation 23

Abstract:

limit order book; limit orders; microstructure; order aggressiveness

10.

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
Ecole Polytechnique Fédérale de Lausanne, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 628 (18,475)

Abstract:

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

11.
Downloads 590 ( 36,189)
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 581 (36,382)
Citation 20

Abstract:

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 (521,782)
Citation 20

Abstract:

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

12.

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
University of Saint Gallen, SoF: School of Finance, University of St. Gallen and University of St. Gallen
Downloads 576 (24,306)

Abstract:

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

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 454 (37,879)
Citation 1

Abstract:

Foreign exchange, Microstructure, Order flow, Liquidity

14.

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 365 (63,410)

Abstract:

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

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 362 (55,627)
Citation 11

Abstract:

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

16.

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 313 (71,063)

Abstract:

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

17.

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 University of Aarhus - CREATES
Downloads 256 (86,581)

Abstract:

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

18.

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, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 249 (92,258)
Citation 10

Abstract:

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

19.

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 239 (65,605)

Abstract:

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

20.

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 169 (123,718)

Abstract:

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

21.

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
Ecole Polytechnique Fédérale de Lausanne, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 166 (117,024)

Abstract:

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

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 103 (218,046)

Abstract:

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 (571,149)

Abstract:

FOMC, Global linkages, Trading volume

23.

Extreme Coexceedances in New EU Member States' Stock Markets

Number of pages: 31 Posted: 03 Mar 2008 Last Revised: 15 Jun 2013
Charlotte Christiansen and Angelo Ranaldo
Aarhus University - CREATES and University of St. Gallen
Downloads 91 (229,165)
Citation 1

Abstract:

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

24.

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
Ecole Polytechnique Fédérale de Lausanne, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 89 (192,788)

Abstract:

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

25.

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, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 89 (225,939)

Abstract:

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

26.

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
Downloads 59 (287,328)

Abstract:

Realized covariance, WAR, HAR, multivariate volatility forecasts

27.

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 51 (289,680)
Citation 1

Abstract:

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

28.

Internet Appendix to 'Understanding FX Liquidity'

Number of pages: 36 Posted: 09 Jun 2015
Nina Karnaukh, Angelo Ranaldo and Paul Söderlind
University of Saint Gallen, SoF: School of Finance, University of St. Gallen and University of St. Gallen
Downloads 15 (282,691)

Abstract:

29.

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 0 (255,461)

Abstract:

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

30.

Unsecured and Secured Funding

Number of pages: 29 Posted: 14 Aug 2016
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 0 (164,206)

Abstract:

Money markets, bank funding, short-term debt, financial crisis, counterparty risk, liquidity

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: 15 Apr 2017
Farshid Abdi and Angelo Ranaldo
University of St. Gallen - School of Finance and University of St. Gallen
Downloads 0 (273,800)

Abstract:

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

32.

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 0 (408,345)

Abstract:

Government Bonds, Treasury Auctions, Uniform-price Auction

33.

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 0 (427,967)
Citation 4

Abstract:

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

34.

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

University of St. Gallen, School of Finance Research Paper 2016/04
Number of pages: 61 Posted: 02 Feb 2016 Last Revised: 18 Apr 2017
Farshid Abdi and Angelo Ranaldo
University of St. Gallen - School of Finance and University of St. Gallen
Downloads 0 (66,480)

Abstract:

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

35.

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 0 (85,541)

Abstract:

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

36.

Hedge Fund Performance and Higher-Moment Market Models

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

Abstract:

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

37.

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

Abstract:

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

38.

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

Abstract:

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

39.

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

Abstract:

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