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Details about Paolo Pasquariello

E-mail:
Homepage:http://webuser.bus.umich.edu/ppasquar/
Workplace:Ross School of Business, University of Michigan, (more information at EDIRC)

Access statistics for papers by Paolo Pasquariello.

Last updated 2018-12-14. Update your information in the RePEc Author Service.

Short-id: ppa436


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Working Papers

2006

  1. Informed and strategic order flow in the bond markets
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (21)
    See also Journal Article in Review of Financial Studies (2007)

Journal Articles

2018

  1. Government Intervention and Arbitrage
    Review of Financial Studies, 2018, 31, (9), 3344-3408 Downloads View citations (1)

2015

  1. Strategic Cross-Trading in the U.S. Stock Market
    Review of Finance, 2015, 19, (1), 229-282 Downloads View citations (4)

2014

  1. Financial Market Dislocations
    Review of Financial Studies, 2014, 27, (6), 1868-1914 Downloads View citations (11)
  2. On the Price Comovement of U.S. Residential Real Estate Markets
    Real Estate Economics, 2014, 42, (1), 71-108 Downloads View citations (9)
  3. Prospect Theory and market quality
    Journal of Economic Theory, 2014, 149, (C), 276-310 Downloads View citations (4)

2010

  1. Central bank intervention and the intraday process of price formation in the currency markets
    Journal of International Money and Finance, 2010, 29, (6), 1045-1061 Downloads View citations (18)

2009

  1. Does Asymmetric Information Drive Capital Structure Decisions?
    Review of Financial Studies, 2009, 22, (8), 3211-3243 Downloads View citations (87)
  2. On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements
    Journal of Financial and Quantitative Analysis, 2009, 44, (06), 1265-1289 Downloads View citations (39)
  3. The on-the-run liquidity phenomenon
    Journal of Financial Economics, 2009, 92, (1), 1-24 Downloads View citations (28)

2008

  1. The anatomy of financial crises: Evidence from the emerging ADR market
    Journal of International Economics, 2008, 76, (2), 193-207 Downloads View citations (10)
  2. Time-series and cross-sectional excess comovement in stock indexes
    Journal of Empirical Finance, 2008, 15, (3), 481-502 Downloads View citations (37)
  3. Updating expectations: An analysis of post-9/11 returns
    Journal of Financial Markets, 2008, 11, (4), 400-432 Downloads View citations (6)

2007

  1. Informative trading or just costly noise? An analysis of Central Bank interventions
    Journal of Financial Markets, 2007, 10, (2), 107-143 Downloads View citations (18)
  2. Informed and Strategic Order Flow in the Bond Markets
    Review of Financial Studies, 2007, 20, (6), 1975-2019 Downloads View citations (62)
    See also Working Paper (2006)

2005

  1. An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets
    The Journal of Business, 2005, 78, (1), 169-212 Downloads View citations (24)

2002

  1. Regime Shifts in Asian Equity and Real Estate Markets
    Real Estate Economics, 2002, 30, (2), 263-291 Downloads View citations (40)
  2. Uncertainty of trading rules in currency markets: an application of non-parametric bootstrapping
    Journal of Multinational Financial Management, 2002, 12, (2), 107-133 Downloads View citations (2)
 
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