Francesco A. Franzoni

Università della Svizzera italiana (USI), Lugano

Professor

Via G. Buffi 13

Lugano, 6904

Switzerland

Swiss Finance Institute

Senior Chair

Switzerland

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 1,143

SSRN RANKINGS

Top 1,143

in Total Papers Downloads

19,347

CITATIONS
Rank 4,355

SSRN RANKINGS

Top 4,355

in Total Papers Citations

123

Scholarly Papers (17)

1.
Downloads 2,647 ( 3,387)
Citation 1

Do ETFs Increase Volatility?

Charles A. Dice Center Working Paper No. 2011-20, Fisher College of Business Working Paper No. 2011-03-20, Swiss Finance Institute Research Paper No. 11-66, AFA 2013 San Diego Meetings Paper
Number of pages: 110 Posted: 02 Dec 2011 Last Revised: 27 Mar 2017
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University - Fisher College of Business, Finance Department, Università della Svizzera italiana (USI), Lugano and Villanova University - Department of Finance
Downloads 2,604 (3,404)
Citation 1

Abstract:

ETFs, volatility, arbitrage, fund flows

Do Etfs Increase Volatility?

NBER Working Paper No. w20071
Number of pages: 59 Posted: 28 Apr 2014
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University - Fisher College of Business, Finance Department, Università della Svizzera italiana (USI), Lugano and Villanova University - Department of Finance
Downloads 43 (352,452)
Citation 1

Abstract:

2.
Downloads 2,624 ( 3,433)
Citation 17

Private Equity Performance and Liquidity Risk

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 09-43
Number of pages: 80 Posted: 04 Dec 2009 Last Revised: 13 Sep 2012
Francesco A. Franzoni, Eric Nowak and Ludovic Phalippou
Università della Svizzera italiana (USI), Lugano, University of Lugano and University of Oxford - Said Business School
Downloads 2,232 (4,436)
Citation 17

Abstract:

Private equity, Liquidity risk, Cost of capital

Private Equity Performance and Liquidity Risk

Netspar Discussion Paper No. 06/2010-024, Journal of Finance, Forthcoming
Number of pages: 65 Posted: 05 Aug 2010 Last Revised: 13 Sep 2012
Francesco A. Franzoni, Eric Nowak and Ludovic Phalippou
Università della Svizzera italiana (USI), Lugano, University of Lugano and University of Oxford - Said Business School
Downloads 392 (59,571)
Citation 17

Abstract:

private equity, liquidity risk, cost of capital

Learning About Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM

Federal Reserve Bank of New York Staff Report No. 193
Number of pages: 48 Posted: 09 Apr 2003 Last Revised: 14 Oct 2008
Tobias Adrian and Francesco A. Franzoni
International Monetary Fund and Università della Svizzera italiana (USI), Lugano
Downloads 1,874 (5,974)
Citation 18

Abstract:

Asset Pricing, Bayesian Learning, CAPM Anomalies

Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM

Swiss Finance Institute Research Paper No. 08-36
Number of pages: 51 Posted: 21 Nov 2008
Tobias Adrian and Francesco A. Franzoni
International Monetary Fund and Università della Svizzera italiana (USI), Lugano
Downloads 407 (56,929)
Citation 18

Abstract:

Asset Pricing, Bayesian Learning, CAPM Anomalies, Value Premium

4.

Hedge Fund Stock Trading in the Financial Crisis of 2007-2009

AFA 2011 Denver Meetings Paper, Charles A. Dice Center Working Paper No. 2010-2, Fisher College of Business Working Paper No. 2010-03-002, Swiss Finance Institute Research Paper No. 11-08
Number of pages: 83 Posted: 09 Feb 2010 Last Revised: 14 Sep 2011
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University - Fisher College of Business, Finance Department, Università della Svizzera italiana (USI), Lugano and Villanova University - Department of Finance
Downloads 1,857 (5,197)
Citation 20

Abstract:

Hedge funds, Liquidity, Aggregate Liquidity, Arbitrage, Funding Liquidity, Illiquidity, Liquidity Crisis, Crisis Stock Market Crash, Limits to Arbitrage, Liquidity Spirals, Short Selling, Short Sellers, 13-F, TASS, Uncertainty, Equity Market, Investment Strategy, Mutual Funds, Retail Investors

5.

Do Hedge Funds Manipulate Stock Prices?

Journal of Finance, Forthcoming, Charles A. Dice Center Working Paper No. 2011-005, Fisher College of Business Working Paper No. 2011-03-005, Swiss Finance Institute Research Paper No. 11-53, AFA 2013 San Diego Meetings Paper
Number of pages: 80 Posted: 17 Feb 2011 Last Revised: 16 Sep 2012
Itzhak Ben-David, Francesco A. Franzoni, Augustin Landier and Rabih Moussawi
Ohio State University - Fisher College of Business, Finance Department, Università della Svizzera italiana (USI), Lugano, Toulouse School of Economics and Villanova University - Department of Finance
Downloads 1,817 (5,400)
Citation 3

Abstract:

Hedge fund, Manipulation, Stock, Reporting, Manager, Monthly returns, Competition, Inflation, Fraud, Performance reporting, Investors, Returns

6.
Downloads 1,463 ( 9,318)

Exchange Traded Funds (ETFs)

Charles A. Dice Center Working Paper No. 2016-22, Fisher College of Business Working Paper No. 2016-03-022, Swiss Finance Institute Research Paper No. 16-64
Number of pages: 35 Posted: 08 Nov 2016 Last Revised: 11 Nov 2016
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University - Fisher College of Business, Finance Department, Università della Svizzera italiana (USI), Lugano and Villanova University - Department of Finance
Downloads 1,443 (9,331)

Abstract:

ETFs, Mutual Funds, Investment Managers, Volatility, Arbitrage, Fund Flows

Exchange Traded Funds (Etfs)

NBER Working Paper No. w22829
Number of pages: 33 Posted: 14 Nov 2016
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University - Fisher College of Business, Finance Department, Università della Svizzera italiana (USI), Lugano and Villanova University - Department of Finance
Downloads 20 (456,361)

Abstract:

7.
Downloads 1,335 ( 10,783)
Citation 34

Pension Plan Funding and Stock Market Efficiency

Number of pages: 50 Posted: 16 Sep 2004 Last Revised: 16 Nov 2008
Francesco A. Franzoni and Jose M. Marin
Università della Svizzera italiana (USI), Lugano and Universidad Carlos III de Madrid
Downloads 1,335 (10,581)
Citation 34

Abstract:

Asset Pricing, Market Efficiency, Alpha, Anomalies, Mispricing, Pension Plans, Pension Accounting, Pension Shortfall

Pension Plan Funding and Stock Market Efficiency

Journal of Finance, Forthcoming
Posted: 25 May 2005
Francesco A. Franzoni and Jose M. Marin
Università della Svizzera italiana (USI), Lugano and Universidad Carlos III de Madrid

Abstract:

Asset Pricing, Anomalies, Mispricing, Pension Plans, Pension Accounting, Pension Shortfall

8.
Downloads 1,060 ( 15,571)
Citation 2

Portable Alphas from Pension Mispricing

Number of pages: 25 Posted: 19 Oct 2005 Last Revised: 25 Feb 2012
Francesco A. Franzoni and Jose M. Marin
Università della Svizzera italiana (USI), Lugano and Universidad Carlos III de Madrid
Downloads 1,060 (15,273)
Citation 2

Abstract:

Market Efficiency, Anomaly, Defined Benefit Plans, Portable Alpha, Enhanced Indexing, Pension Contributions

Portable Alphas from Pension Mispricing

Journal of Portfolio Management, Summer 2006
Posted: 26 Feb 2012
Jose M. Marin and Francesco A. Franzoni
Universidad Carlos III de Madrid and Università della Svizzera italiana (USI), Lugano

Abstract:

Market Efficiency, Anomaly, Defined Benefit Plans, Portable Alpha, Enhanced Indexing, Pension Contributions

The Relevance of Broker Networks for Information Diffusion in the Stock Market

Swiss Finance Institute Research Paper No. 16-63, Harvard Business School Finance Working Paper
Number of pages: 74 Posted: 28 Oct 2016 Last Revised: 10 Jun 2017
Marco Di Maggio, Francesco A. Franzoni, Amir Kermani and Carlo Sommavilla
Harvard Business School, Università della Svizzera italiana (USI), Lugano, University of California, Berkeley and Università della Svizzera italiana (USI), Lugano; Swiss Finance Institute
Downloads 606 (34,174)

Abstract:

broker networks, institutional investors, asset prices, information

The Relevance of Broker Networks for Information Diffusion in the Stock Market

NBER Working Paper No. w23522
Number of pages: 75 Posted: 19 Jun 2017
Marco Di Maggio, Francesco A. Franzoni, Amir Kermani and Carlo Sommavilla
Harvard Business School, Università della Svizzera italiana (USI), Lugano, University of California, Berkeley and Università della Svizzera italiana (USI), Lugano; Swiss Finance Institute
Downloads 5 (540,024)

Abstract:

The Granular Nature of Large Institutional Investors

Fisher College of Business Working Paper No. 2015-03-09, Swiss Finance Institute Research Paper No. 15-67, Charles A. Dice Center Working Paper No. 2015-09
Number of pages: 87 Posted: 20 Jun 2015 Last Revised: 16 Nov 2016
Itzhak Ben-David, Francesco A. Franzoni, Rabih Moussawi and John Sedunov III
Ohio State University - Fisher College of Business, Finance Department, Università della Svizzera italiana (USI), Lugano, Villanova University - Department of Finance and Villanova University - Department of Finance
Downloads 527 (41,155)

Abstract:

Financial institutions, institutional investors, granularity

The Granular Nature of Large Institutional Investors

NBER Working Paper No. w22247
Number of pages: 62 Posted: 16 May 2016
Itzhak Ben-David, Francesco A. Franzoni, Rabih Moussawi and John Sedunov III
Ohio State University - Fisher College of Business, Finance Department, Università della Svizzera italiana (USI), Lugano, Villanova University - Department of Finance and Villanova University - Department of Finance
Downloads 10 (513,855)

Abstract:

11.

Where is Beta Going? The Riskiness of Value and Small Stocks

Number of pages: 53 Posted: 11 Oct 2006 Last Revised: 24 Sep 2008
Francesco A. Franzoni
Università della Svizzera italiana (USI), Lugano
Downloads 533 (37,484)
Citation 19

Abstract:

beta, systematic risk, value stocks, small stocks, CAPM

What Constrains Liquidity Provision? Evidence From Hedge Fund Trades

Systemic Risk: Liquidity Risk, Governance and Financial Stability, 2013, Swiss Finance Institute Research Paper No. 13-10
Number of pages: 42 Posted: 26 Mar 2013 Last Revised: 03 Jul 2015
Francesco A. Franzoni and Alberto Plazzi
Università della Svizzera italiana (USI), Lugano and USI-Lugano
Downloads 433 (52,761)

Abstract:

hedge funds, limits of arbitrage, liquidity provision, trading costs, funding liquidity

What Constrains Liquidity Provision? Evidence From Hedge Fund Trades

Number of pages: 45 Posted: 04 Oct 2013 Last Revised: 11 Nov 2014
Francesco A. Franzoni and Alberto Plazzi
Università della Svizzera italiana (USI), Lugano and USI-Lugano
Downloads 66 (286,798)

Abstract:

hedge funds, limits of arbitrage, liquidity provision, trading costs, funding liquidity

13.

Fund Flows and Market States

Review of Financial Studies, 2017, DOI:10.1093/rfs/hhx015
Number of pages: 82 Posted: 13 May 2013 Last Revised: 19 Jun 2017
Francesco A. Franzoni and Martin C. Schmalz
Università della Svizzera italiana (USI), Lugano and University of Michigan, Stephen M. Ross School of Business
Downloads 477 (26,706)

Abstract:

Bayesian learning, parameter uncertainty, mutual funds, flow-performance, Kalman filter, beta

14.

The Changing Nature of Market Risk

Swiss Finance Institute Research Paper No. 08-35
Number of pages: 52 Posted: 04 Oct 2006 Last Revised: 23 Nov 2008
Francesco A. Franzoni
Università della Svizzera italiana (USI), Lugano
Downloads 383 (59,444)
Citation 1

Abstract:

CAPM, beta, systematic risk, valuation, value stocks, value premium, growth options, volatility

Underinvestment vs. Overinvestment: Evidence from Price Reactions to Pension Contributions

Swiss Finance Institute Research Paper No. 08-22
Number of pages: 67 Posted: 08 Feb 2007 Last Revised: 16 Nov 2008
Francesco A. Franzoni
Università della Svizzera italiana (USI), Lugano
Downloads 302 (80,725)
Citation 8

Abstract:

underinvestment, overinvestment, financial constraints, corporate governance, pension

Underinvestment vs. Overinvestment: Evidence from Price Reactions to Pension Contributions

Journal of Financial Economics (JFE), Forthcoming, Swiss Finance Institute Research Paper No. 08-22
Posted: 24 Oct 2008
Francesco A. Franzoni
Università della Svizzera italiana (USI), Lugano

Abstract:

financial constraints, corporate governance, underinvestment, overinvestment, market efficiency, pension

Financial Conglomerate Affiliated Hedge Funds: Risk Taking Behavior and Liquidity Provision

Swiss Finance Institute Research Paper No. 15-68, Swedish House of Finance Research Paper No. 17-7, ECGI - Finance Working Paper No. 506/2017
Number of pages: 70 Posted: 01 Jan 2016 Last Revised: 15 May 2017
Francesco A. Franzoni and Mariassunta Giannetti
Università della Svizzera italiana (USI), Lugano and Stockholm School of Economics
Downloads 185 (134,083)

Abstract:

Hedge Funds, Financial Conglomerates, Volker Rule, Liquidity Provision

Financial Conglomerate Affiliated Hedge Funds: Risk Taking Behavior and Liquidity Provision

CEPR Discussion Paper No. DP12040
Number of pages: 67 Posted: 15 May 2017
Francesco A. Franzoni and Mariassunta Giannetti
Università della Svizzera italiana (USI), Lugano and Stockholm School of Economics
Downloads 0

Abstract:

Financial Conglomerates, Hedge Funds, Liquidity Provision, Volker Rule

17.

Brokers and Order Flow Leakage: Evidence from Fire Sales

Number of pages: 36 Posted: 23 Jun 2017
Andrea Barbon, Marco Di Maggio, Francesco A. Franzoni and Augustin Landier
Università della Svizzera italiana (USI), Lugano, Harvard Business School, Università della Svizzera italiana (USI), Lugano and Toulouse School of Economics
Downloads 0 (415,730)

Abstract:

Predatory Trading, Back Running, Fire Sales, Brokers