Papers by Loriana Pelizzon
SSRN Electronic Journal, 2018
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SSRN Electronic Journal, 2018
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SSRN Electronic Journal, 2022
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Commonality of liquidity refers to the linkages between liquidity across assets through common ma... more Commonality of liquidity refers to the linkages between liquidity across assets through common market-wide factors, while liquidity discovery refers to the transmission of liquidity between assets linked to each other through arbitrage. In the context of liquidity discovery, the transmission of liquidity shocks between the two assets is supported by the actions of two types of traders: market-makers and arbitrageurs. These two types of players are motivated and constrained by distinctly different forces. This paper investigates the microstructure of the relationship between liquidity dis-covery, through changes in the quotes posted by market makers and the reactions of arbitrageurs, and price discovery, through the transmission of price shocks between markets. We use data from the cash and futures markets, at the millisecond level, in the context of the Italian sovereign bond markets during the recent Euro-zone sovereign bond crisis and, surprisingly, find that: (i) even though the ...
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A liquid and stable stock market plays a critical role in the economy. It channels savings into l... more A liquid and stable stock market plays a critical role in the economy. It channels savings into long-term investments that are necessarily illiquid while simultaneously providing liquidity to investors by providing access to their capital when needed by trading with others, thereby promoting economic growth. Due to advances in technology, trading through anonymous open electronic order book markets (where there are no clearly designated market makers who are primarily responsible for liquidity provision) has become the preferred avenue for trading stocks. The popular view is that this has increased shortterm trading, which in turn has adversely affected the liquidity and short-term volatility in the market, thereby contributing to its potential fragility. The extant empirical findings are mixed. In this study, we contribute to this debate by identifying short-term and long-term traders and examining their role in liquidity provision during normal and fragile market conditions.
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We analyze the ESG rating criteria used by prominent agencies and show that there is a lack of a ... more We analyze the ESG rating criteria used by prominent agencies and show that there is a lack of a commonality in the definition of ESG (i) characteristics, (ii) attributes and (iii) standards in defining E, S and G components. We provide evidence that heterogeneity in rating criteria can lead agencies to have opposite opinions on the same evaluated companies and that agreement across those providers is substantially low. Those alternative definitions of ESG also a↵ect sustainable investments leading to the identification of di↵erent investment universes and consequently to the creation of di↵erent benchmarks. This implies that in the asset management industry it is extremely di cult to measure the ability of a fund manager if financial performances are strongly conditioned by the chosen ESG benchmark. Finally, we find that the disagreement in the scores provided by the rating agencies disperses the e↵ect of preferences of ESG investors on asset prices, to the point that even when the...
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SSRN Electronic Journal, 2021
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SSRN Electronic Journal, 2020
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SSRN Electronic Journal, 2020
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SSRN Electronic Journal, 2018
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SSRN Electronic Journal, 2019
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SSRN Electronic Journal, 2017
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SSRN Electronic Journal, 2018
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SSRN Electronic Journal, 2018
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SSRN Electronic Journal, 2016
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SSRN Electronic Journal, 2017
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SSRN Electronic Journal, 2016
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SSRN Electronic Journal, 2015
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SSRN Electronic Journal, 2013
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Papers by Loriana Pelizzon