Francesco A. Franzoni

Universita della Svizzera italiana (USI Lugano)

Swiss Finance Institute

Senior Chair

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

26

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46,226

SSRN CITATIONS
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Top 1,726

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603

CROSSREF CITATIONS

128

Scholarly Papers (26)

1.
Downloads 6,184 ( 1,736)
Citation 82

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, Universita della Svizzera italiana (USI Lugano) and Villanova University - Department of Finance
Downloads 6,003 (1,790)
Citation 29

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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: 07 May 2022
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, Universita della Svizzera italiana (USI Lugano) and Villanova University - Department of Finance
Downloads 181 (232,431)
Citation 53

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2.
Downloads 5,825 ( 1,792)

Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - 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Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. 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Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
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non-standard errors, multi-analyst approach, liquidity

Competition for Attention in the ETF Space

Fisher College of Business Working Paper No. 2021-03-001, Charles A. Dice Center Working Paper No. 2021-01, Swiss Finance Institute Research Paper No. 21-03
Number of pages: 80 Posted: 14 Jan 2021 Last Revised: 05 Jan 2022
Itzhak Ben-David, Francesco A. Franzoni, Byungwook Kim and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, Universita della Svizzera italiana (USI Lugano), Ohio State University (OSU) - Department of Finance and Villanova University - Department of Finance
Downloads 4,984 (2,449)

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exchange-traded funds, ETFs, financial innovation, competition, attention, retail investors, trading, securities, mutual funds, financial intermediation, overvaluation

Competition for Attention in the ETF Space

NBER Working Paper No. w28369
Number of pages: 78 Posted: 27 Jan 2021 Last Revised: 08 Jul 2022
Itzhak Ben-David, Francesco A. Franzoni, Byungwook Kim and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, Universita della Svizzera italiana (USI Lugano), Ohio State University (OSU) - Department of Finance and Villanova University - Department of Finance
Downloads 35 (614,939)

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Competition for Attention in the ETF Space

CEPR Discussion Paper No. DP15762
Number of pages: 43 Posted: 11 Feb 2021
Itzhak Ben-David, Francesco A. Franzoni, Byungwook Kim and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, Universita della Svizzera italiana (USI Lugano), Ohio State University (OSU) - Department of Finance and Villanova University - Department of Finance
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4.
Downloads 4,258 ( 3,254)
Citation 13

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, Universita della Svizzera italiana (USI Lugano) and Villanova University - Department of Finance
Downloads 4,166 (3,339)
Citation 6

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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: 19 May 2022
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, Universita della Svizzera italiana (USI Lugano) and Villanova University - Department of Finance
Downloads 92 (385,904)
Citation 7

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Downloads 3,631 ( 4,253)
Citation 42

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
Universita della Svizzera italiana (USI Lugano), Swiss Finance Institute and University of Oxford - Said Business School
Downloads 3,095 (5,524)
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
Universita della Svizzera italiana (USI Lugano), Swiss Finance Institute and University of Oxford - Said Business School
Downloads 536 (72,950)
Citation 42

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private equity, liquidity risk, cost of capital

6.

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, Universita della Svizzera italiana (USI Lugano) and Villanova University - Department of Finance
Downloads 2,468 (8,040)
Citation 80

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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

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 Universita della Svizzera italiana (USI Lugano)
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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 Universita della Svizzera italiana (USI Lugano)
Downloads 452 (89,773)
Citation 20

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Asset Pricing, Bayesian Learning, CAPM Anomalies, Value Premium

8.

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, Universita della Svizzera italiana (USI Lugano), HEC and Villanova University - Department of Finance
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Citation 16

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

9.
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Citation 7

The Granular Nature of Large Institutional Investors

Management Science, Forthcoming, Charles A. Dice Center Working Paper No. 2015-09, Fisher College of Business Working Paper No. 2015-03-09, Swiss Finance Institute Research Paper No. 15-67
Number of pages: 97 Posted: 20 Jun 2015 Last Revised: 08 Jul 2020
Itzhak Ben-David, Francesco A. Franzoni, Rabih Moussawi and John Sedunov
Ohio State University (OSU) - Department of Finance, Universita della Svizzera italiana (USI Lugano), Villanova University - Department of Finance and Villanova University - Department of Finance
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Citation 6

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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: 96 Posted: 16 May 2016 Last Revised: 16 Apr 2022
Itzhak Ben-David, Francesco A. Franzoni, Rabih Moussawi and John Sedunov
Ohio State University (OSU) - Department of Finance, Universita della Svizzera italiana (USI Lugano), Villanova University - Department of Finance and Villanova University - Department of Finance
Downloads 42 (574,950)
Citation 2

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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, Universita della Svizzera italiana (USI Lugano), Villanova University - Department of Finance and Villanova University - Department of Finance
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Concentration, fire sales, granularity, institutional investors, liquidity

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, Universita della Svizzera italiana (USI Lugano), University of California, Berkeley and Università della Svizzera italiana (USI), Lugano; Swiss Finance Institute
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Citation 13

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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, Universita della Svizzera italiana (USI Lugano), University of California, Berkeley and Università della Svizzera italiana (USI), Lugano; Swiss Finance Institute
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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 Last Revised: 10 Apr 2022
Marco Di Maggio, Francesco A. Franzoni, Amir Kermani and Carlo Sommavilla
Harvard Business School, Universita della Svizzera italiana (USI Lugano), University of California, Berkeley and Università della Svizzera italiana (USI), Lugano; Swiss Finance Institute
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11.
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Citation 28

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
University of St. Gallen, Harvard Business School, Universita della Svizzera italiana (USI Lugano) and HEC
Downloads 1,273 (22,325)
Citation 21

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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
University of St. Gallen, Harvard Business School, Universita della Svizzera italiana (USI Lugano) and HEC
Downloads 355 (118,587)
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 Last Revised: 28 Apr 2022
Andrea Barbon, Marco Di Maggio, Francesco A. Franzoni and Augustin Landier
University of St. Gallen, Harvard Business School, Universita della Svizzera italiana (USI Lugano) and HEC
Downloads 19 (734,635)
Citation 9

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12.
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Citation 22

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
Universita della Svizzera italiana (USI Lugano) and Universidad Carlos III de Madrid
Downloads 1,408 (19,155)
Citation 22

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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
Universita della Svizzera italiana (USI Lugano) and Universidad Carlos III de Madrid

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

13.
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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
Universita della Svizzera italiana (USI Lugano) and Universidad Carlos III de Madrid
Downloads 1,086 (28,210)
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 Universita della Svizzera italiana (USI Lugano)

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

14.

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, Martin C. Schmalz and Martin C. Schmalz
Universita della Svizzera italiana (USI Lugano) and CEPRUniversity of Oxford - Finance
Downloads 1,055 (29,885)
Citation 16

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

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, Forthcoming in Review of Finance
Number of pages: 46 Posted: 26 Mar 2013 Last Revised: 30 Jun 2020
Efe Cotelioglu, Francesco A. Franzoni and Alberto Plazzi
Bilkent University - Faculty of Business Administration, Universita della Svizzera italiana (USI Lugano) and Universita' della Svizzera italiana
Downloads 656 (56,335)
Citation 12

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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
Universita della Svizzera italiana (USI Lugano) and Universita' della Svizzera italiana
Downloads 112 (338,532)
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
Universita della Svizzera italiana (USI Lugano), Universita' della Svizzera italiana and Bilkent University - Faculty of Business Administration
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funding liquidity, Hedge Funds, Limits of arbitrage, Liquidity Provision, Trading Costs

16.

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
Universita della Svizzera italiana (USI Lugano)
Downloads 696 (52,894)
Citation 21

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

The Wealth Creation Effect in Stock Returns

Swiss Finance Institute Research Paper No. 22-27
Number of pages: 56 Posted: 17 Mar 2022 Last Revised: 09 May 2022
Francesco A. Franzoni, Daniel Obrycki and Rafael Resendes
Universita della Svizzera italiana (USI Lugano), The Applied Finance Group, Ltd. and The Applied Finance Group, Ltd.
Downloads 583 (65,570)

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The Wealth Creation Effect in Stock Returns

CEPR Discussion Paper No. DP17251
Number of pages: 56 Posted: 27 May 2022
Francesco A. Franzoni, Daniel Obrycki and Rafael Resendes
Universita della Svizzera italiana (USI Lugano), The Applied Finance Group, Ltd. and The Applied Finance Group, Ltd.
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Asset Pricing, Investment Factor, Net-Present Value, Profitability factor, Wealth Creation

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
Universita della Svizzera italiana (USI Lugano) and Stockholm School of Economics
Downloads 440 (92,654)
Citation 8

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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
Universita della Svizzera italiana (USI Lugano) and Stockholm School of Economics
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Citation 1
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Financial Conglomerates, Hedge Funds, Liquidity Provision, Volker Rule

19.

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
Universita della Svizzera italiana (USI Lugano)
Downloads 431 (95,755)

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

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, Universita della Svizzera italiana (USI Lugano) and Villanova University - Department of Finance
Downloads 337 (125,692)

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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, Universita della Svizzera italiana (USI Lugano) and Villanova University - Department of Finance
Downloads 90 (391,388)
Citation 1

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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, Universita della Svizzera italiana (USI Lugano) and Villanova University - Department of Finance
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Citation 4
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ETFs, institutional investors, Russell, volatility

21.
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Citation 4

The Value of Intermediation in the Stock Market

Swiss Finance Institute Research Paper No. 21-01, Harvard Business School Finance Working Paper No. 20-016
Number of pages: 63 Posted: 02 Aug 2019 Last Revised: 15 Jul 2021
Marco Di Maggio, Mark Egan and Francesco A. Franzoni
Harvard Business School, Harvard University - Business School (HBS) and Universita della Svizzera italiana (USI Lugano)
Downloads 366 (114,592)
Citation 4

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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: 62 Posted: 12 Aug 2019 Last Revised: 12 Jun 2022
Marco Di Maggio, Mark Egan and Francesco A. Franzoni
Harvard Business School, Harvard University - Business School (HBS) and Universita della Svizzera italiana (USI Lugano)
Downloads 18 (743,433)

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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 Universita della Svizzera italiana (USI Lugano)
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Broker Networks, Equity Trading, Financial Intermediation, institutional investors, Research Analysts

Strategic Trading As a Response to Short Sellers

Swiss Finance Institute Research Paper No. 19-23
Number of pages: 78 Posted: 05 Apr 2019 Last Revised: 18 Feb 2021
Marco Di Maggio, Francesco A. Franzoni, Massimo Massa and Roberto Tubaldi
Harvard Business School, Universita della Svizzera italiana (USI Lugano), INSEAD - Finance and BI Norwegian Business School
Downloads 376 (111,141)

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

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, Universita della Svizzera italiana (USI Lugano), INSEAD - Finance and BI Norwegian Business School
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Informed trading, institutional investors, Market Efficiency, Short selling, Strategic traders

23.

Avoiding Idiosyncratic Volatility: Flow Sensitivity to Individual Stock Returns

Number of pages: 100 Posted: 18 Feb 2021 Last Revised: 16 May 2022
Marco Di Maggio, Francesco A. Franzoni, Shimon Kogan and Ran Xing
Harvard Business School, Universita della Svizzera italiana (USI Lugano), Reichman University - Arison School of Business and Stockholm University - Stockholm Business School
Downloads 353 (120,163)

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News trading, mutual fund performance, fund flows, limits of arbitrage, financial constraints, earnings announcements

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
Universita della Svizzera italiana (USI Lugano)
Downloads 339 (124,933)
Citation 14

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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
Universita della Svizzera italiana (USI Lugano)

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

25.

An Improved Method to Predict Assignment of Stocks into Russell Indexes

NBER Working Paper No. w26370
Number of pages: 42 Posted: 14 Oct 2019 Last Revised: 22 Jul 2022
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University (OSU) - Department of Finance, Universita della Svizzera italiana (USI Lugano) and Villanova University - Department of Finance
Downloads 22 (687,657)

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26.

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, Universita della Svizzera italiana (USI Lugano) and Villanova University - Department of Finance

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