Francesco A. Franzoni

USI Lugano

Professor

Via G. Buffi 13

Lugano, 6904

Switzerland

Swiss Finance Institute

Senior Chair

Switzerland

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 834

SSRN RANKINGS

Top 834

in Total Papers Downloads

28,783

SSRN CITATIONS
Rank 2,709

SSRN RANKINGS

Top 2,709

in Total Papers Citations

290

CROSSREF CITATIONS

111

Scholarly Papers (23)

1.
Downloads 5,164 ( 1,460)
Citation 40

Do ETFs Increase Volatility?

Journal of Finance, Forthcoming, Fisher College of Business Working Paper No. 2011-03-20, Swiss Finance Institute Research Paper No. 11-66, AFA 2013 San Diego Meetings Paper, Charles A. Dice Center Working Paper No. 2011-20
Number of pages: 145 Posted: 02 Dec 2011 Last Revised: 03 Dec 2017
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance
Downloads 5,049 (1,504)
Citation 25

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ETFs, volatility, arbitrage, fund flows

Do Etfs Increase Volatility?

NBER Working Paper No. w20071
Number of pages: 59 Posted: 28 Apr 2014 Last Revised: 08 May 2014
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance
Downloads 115 (249,218)
Citation 10

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2.
Downloads 3,219 ( 3,383)
Citation 11

Exchange Traded Funds (ETFs)

Annual Review of Financial Economics, Volume 9, 2017, Forthcoming, 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: 16 Sep 2017
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance
Downloads 3,153 (3,432)
Citation 3

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

Exchange Traded Funds (Etfs)

NBER Working Paper No. w22829
Number of pages: 35 Posted: 14 Nov 2016 Last Revised: 20 Nov 2016
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance
Downloads 66 (354,678)
Citation 4

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3.
Downloads 3,127 ( 3,538)
Citation 31

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
USI Lugano, Swiss Finance Institute and University of Oxford - Said Business School
Downloads 2,669 (4,550)
Citation 4

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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
USI Lugano, Swiss Finance Institute and University of Oxford - Said Business School
Downloads 458 (63,305)
Citation 30

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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 USI Lugano
Downloads 1,944 (7,743)
Citation 6

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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 USI Lugano
Downloads 437 (66,947)
Citation 15

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Asset Pricing, Bayesian Learning, CAPM Anomalies, Value Premium

5.

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 (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance
Downloads 2,281 (6,035)
Citation 68

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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

6.

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 (OSU) - Department of Finance, USI Lugano, HEC and Villanova University - Department of Finance
Downloads 2,245 (6,186)
Citation 14

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

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: 30 Aug 2018
Marco Di Maggio, Francesco A. Franzoni, Amir Kermani and Carlo Sommavilla
Harvard Business School, USI Lugano, University of California, Berkeley and Università della Svizzera italiana (USI), Lugano; Swiss Finance Institute
Downloads 1,610 (10,613)
Citation 5

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broker networks, institutional investors, asset prices, information

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

Harvard Business School Finance Working Paper No. 18-001
Number of pages: 76 Posted: 05 Jul 2017
Marco Di Maggio, Francesco A. Franzoni, Amir Kermani and Carlo Sommavilla
Harvard Business School, USI Lugano, University of California, Berkeley and Università della Svizzera italiana (USI), Lugano; Swiss Finance Institute
Downloads 163 (188,139)
Citation 1

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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, USI Lugano, University of California, Berkeley and Università della Svizzera italiana (USI), Lugano; Swiss Finance Institute
Downloads 13 (604,459)

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Brokers and Order Flow Leakage: Evidence from Fire Sales

Forthcoming in Journal of Finance, Swiss Finance Institute Research Paper No. 17-61
Number of pages: 61 Posted: 23 Jun 2017 Last Revised: 15 Oct 2019
Andrea Barbon, Marco Di Maggio, Francesco A. Franzoni and Augustin Landier
Università della Svizzera italiana (USI), Lugano, Harvard Business School, USI Lugano and HEC
Downloads 1,056 (20,273)
Citation 3

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Predatory Trading, Back Running, Fire Sales, Brokers

Brokers and Order Flow Leakage: Evidence from Fire Sales

Harvard Business School Finance Working Paper No. 18-046
Number of pages: 61 Posted: 29 Nov 2017
Andrea Barbon, Marco Di Maggio, Francesco A. Franzoni and Augustin Landier
Università della Svizzera italiana (USI), Lugano, Harvard Business School, USI Lugano and HEC
Downloads 342 (89,482)
Citation 4

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Brokers and Order Flow Leakage: Evidence from Fire Sales

NBER Working Paper No. w24089
Number of pages: 60 Posted: 06 Dec 2017
Andrea Barbon, Marco Di Maggio, Francesco A. Franzoni and Augustin Landier
Università della Svizzera italiana (USI), Lugano, Harvard Business School, USI Lugano and HEC
Downloads 7 (647,770)

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9.
Downloads 1,374 ( 13,852)
Citation 17

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
USI Lugano and Universidad Carlos III de Madrid
Downloads 1,374 (13,582)
Citation 17

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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
USI Lugano and Universidad Carlos III de Madrid

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

10.
Downloads 1,074 ( 20,150)
Citation 1

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
USI Lugano and Universidad Carlos III de Madrid
Downloads 1,074 (19,784)
Citation 1

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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 USI Lugano

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

11.
Downloads 948 ( 24,199)
Citation 2

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: 96 Posted: 20 Jun 2015 Last Revised: 12 Jun 2018
Itzhak Ben-David, Francesco A. Franzoni, Rabih Moussawi and John Sedunov
Ohio State University (OSU) - Department of Finance, USI Lugano, Villanova University - Department of Finance and Villanova University - Department of Finance
Downloads 930 (24,442)

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Institutional investors, Concentration, Granularity, Fire Sales, Liquidity

The Granular Nature of Large Institutional Investors

NBER Working Paper No. w22247
Number of pages: 86 Posted: 16 May 2016
Itzhak Ben-David, Francesco A. Franzoni, Rabih Moussawi and John Sedunov
Ohio State University (OSU) - Department of Finance, USI Lugano, Villanova University - Department of Finance and Villanova University - Department of Finance
Downloads 18 (570,058)
Citation 1

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The Granular Nature of Large Institutional Investors

CEPR Discussion Paper No. DP13427
Number of pages: 48 Posted: 11 Jan 2019
Itzhak Ben-David, Francesco A. Franzoni, Rabih Moussawi and John Sedunov
Ohio State University (OSU) - Department of Finance, USI Lugano, Villanova University - Department of Finance and Villanova University - Department of Finance
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Concentration, fire sales, granularity, institutional investors, liquidity

12.

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
USI Lugano and University of Oxford - Finance
Downloads 931 (24,836)
Citation 13

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

13.

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
USI Lugano
Downloads 640 (41,705)
Citation 19

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

What Constrains Liquidity Provision? Evidence From Institutional Trades

Systemic Risk: Liquidity Risk, Governance and Financial Stability, 2013, Swiss Finance Institute Research Paper No. 13-10
Number of pages: 44 Posted: 26 Mar 2013 Last Revised: 17 Jan 2020
Efe Cotelioglu, Francesco A. Franzoni and Alberto Plazzi
USI Lugano, USI Lugano and Swiss Finance Institute
Downloads 515 (54,706)
Citation 10

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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
USI Lugano and Swiss Finance Institute
Downloads 87 (301,336)
Citation 7

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

What Constrains Liquidity Provision? Evidence from Hedge Fund Trades

CEPR Discussion Paper No. DP13645
Number of pages: 46 Posted: 09 Apr 2019
Francesco A. Franzoni, Alberto Plazzi and Efe Cotelioglu
USI Lugano, Swiss Finance Institute and USI Lugano
Downloads 1 (703,682)
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funding liquidity, Hedge Funds, Limits of arbitrage, Liquidity Provision, Trading Costs

15.

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
USI Lugano
Downloads 412 (72,717)

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

Costs and Benefits of Financial Conglomerate Affiliation: Evidence from Hedge Funds

Swiss Finance Institute Research Paper No. 15-68, Swedish House of Finance Research Paper No. 17-7, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 506/2017, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 74 Posted: 01 Jan 2016 Last Revised: 05 Sep 2018
Francesco A. Franzoni and Mariassunta Giannetti
USI Lugano and Stockholm School of Economics
Downloads 368 (82,423)
Citation 1

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Hedge Funds, Financial Conglomerates, Risk Taking

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
USI Lugano and Stockholm School of Economics
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Financial Conglomerates, Hedge Funds, Liquidity Provision, Volker Rule

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
USI Lugano
Downloads 328 (93,829)
Citation 6

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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
USI Lugano

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

An Improved Method to Predict Assignment of Stocks into Russell Indexes

Fisher College of Business Working Paper No. 2019-03-024, Charles A. Dice Center Working Paper No. 2019-24, Swiss Finance Institute Research Paper No. 19-56
Number of pages: 41 Posted: 10 Oct 2019 Last Revised: 14 Nov 2019
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance
Downloads 133 (223,047)

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Russell, institutional investors, ETFs, volatility

An Improved Method to Predict Assignment of Stocks into Russell Indexes

Swiss Finance Institute Research Paper No. 19-56
Number of pages: 43 Posted: 01 Nov 2019 Last Revised: 15 Nov 2019
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance
Downloads 51 (403,472)

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Russell, institutional investors, ETFs, volatility

An Improved Method to Predict Assignment of Stocks into Russell Indexes

CEPR Discussion Paper No. DP14234
Number of pages: 44 Posted: 14 Jan 2020
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance
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ETFs, institutional investors, Russell, volatility

19.
Downloads 144 (208,559)
Citation 2

The Value of Intermediation in the Stock Market

Number of pages: 53 Posted: 02 Aug 2019 Last Revised: 09 Aug 2019
Marco Di Maggio, Mark Egan and Francesco A. Franzoni
Harvard Business School, Harvard University - Business School (HBS) and USI Lugano
Downloads 136 (219,002)
Citation 2

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Financial Intermediation, Institutional Investors, Research Analysts, Broker Networks, Equity Trading

The Value of Intermediation in the Stock Market

NBER Working Paper No. w26147
Number of pages: 54 Posted: 12 Aug 2019
Marco Di Maggio, Mark Egan and Francesco A. Franzoni
Harvard Business School, Harvard University - Business School (HBS) and USI Lugano
Downloads 8 (640,574)
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The Value of Intermediation in the Stock Market

CEPR Discussion Paper No. DP13936
Number of pages: 56 Posted: 07 Oct 2019
Marco Di Maggio, Mark Egan and Francesco A. Franzoni
Harvard Business School, Harvard University - Business School (HBS) and USI Lugano
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Broker Networks, Equity Trading, Financial Intermediation, institutional investors, Research Analysts

20.

An Improved Method to Predict Assignment of Stocks into Russell Indexes

NBER Working Paper No. w26370
Number of pages: 42 Posted: 14 Oct 2019
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance
Downloads 11 (594,251)
Citation 1
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21.

Strategic Trading as a Response to Short Sellers

CEPR Discussion Paper No. DP13812
Number of pages: 60 Posted: 30 Jul 2019
Marco Di Maggio, Francesco A. Franzoni, Massimo Massa and Roberto Tubaldi
Harvard Business School, USI Lugano, INSEAD - Finance and USI Lugano
Downloads 1 (193,060)
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Informed trading, institutional investors, Market Efficiency, Short selling, Strategic traders

22.

Strategic Trading As a Response to Short Sellers

Swiss Finance Institute Research Paper No. 19-23
Number of pages: 39 Posted: 05 Apr 2019
Marco Di Maggio, Francesco A. Franzoni, Massimo Massa and Roberto Tubaldi
Harvard Business School, USI Lugano, INSEAD - Finance and USI Lugano
Downloads 157

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Short selling, Informed trading, Strategic traders, Institutional investors, Market efficiency

23.

Exchange-Traded Funds

Annual Review of Financial Economics, Vol. 9, pp. 169-189, 2017
Posted: 03 Jan 2018
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance

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