Andrey Pankratov

University of Lugano

Swiss Finance Institute

PhD

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

4

DOWNLOADS

251

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Securities lending and information transmission: a model of endogenous short-sale constraints

Swiss Finance Institute Research Paper No. 20-69
Number of pages: 64 Posted: 25 Aug 2020 Last Revised: 28 Nov 2020
Andrey Pankratov
University of Lugano
Downloads 81 (374,329)

Abstract:

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Security lenders, Short interest, Information leakages, Distribution of profits, Short-sale constraints, Market efficiency

2.

Leverage Effect Puzzle: A Rational Explanation

Swiss Finance Institute Research Paper No. 18-52
Number of pages: 34 Posted: 08 Feb 2019 Last Revised: 17 Feb 2019
Andrey Pankratov
University of Lugano
Downloads 71 (403,320)
Citation 1

Abstract:

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Leverage effect, Skewness, Asymmetric information, Market microstructure, Short sale constraints, Market efficiency, Price impact, Volatility, Uncertainty

3.

Information Leakages, Distribution of Profits from Informed Trading, and Last Mover Advantage

Swiss Finance Institute Research Paper No. 20-76
Number of pages: 25 Posted: 27 Aug 2020 Last Revised: 03 Sep 2020
Andrey Pankratov
University of Lugano
Downloads 50 (477,953)

Abstract:

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Asymmetric information, Information leakages, Market microstructure, Market efficiency, Equilibrium, HFT, Sharing profits, Short-swing profit rule

4.

Do Short Sale Constraints Impede the Diffusion of Negative Information?

Number of pages: 65 Posted: 15 Jun 2017
Andrey Pankratov
University of Lugano
Downloads 49 (482,056)

Abstract:

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asymmetric information, insider trading