Paolo Pasquariello : Citation Profile


Are you Paolo Pasquariello?

University of Michigan

14

H index

16

i10 index

737

Citations

RESEARCH PRODUCTION:

22

Articles

5

Papers

RESEARCH ACTIVITY:

   23 years (2001 - 2024). See details.
   Cites by year: 32
   Journals where Paolo Pasquariello has often published
   Relations with other researchers
   Recent citing documents: 67.    Total self citations: 9 (1.21 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa436
   Updated: 2024-07-05    RAS profile: 2024-06-07    
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Relations with other researchers


Works with:

Johannesson, Magnus (4)

Schuerhoff, Norman (4)

Ranaldo, Angelo (4)

Ait-Sahalia, Yacine (4)

Sarno, Lucio (4)

Zhang, S. Sarah (4)

Frömmel, Michael (4)

Füllbrunn, Sascha (4)

Rinne, Kalle (4)

Reitz, Stefan (4)

Hurlin, Christophe (4)

Wolff, Christian (4)

Renault, Thomas (4)

Pastor, Lubos (4)

Shachar, Or (4)

Lof, Matthijs (4)

Smales, Lee (4)

Dreber, Anna (4)

Korajczyk, Robert (4)

Gehrig, Thomas (4)

FERROUHI, EL MEHDI (4)

Schwarz, Marco (4)

Stefanova, Denitsa (4)

Deku, Solomon (4)

Brownlees, Christian (3)

Deev, Oleg (3)

Huang, Wenqian (3)

Roy, Saurabh (3)

Degryse, Hans (3)

Alexeev, Vitali (3)

Menkveld, Albert (3)

Bohorquez Correa, Santiago (3)

Caporin, Massimiliano (3)

Harris, Jeffrey (3)

Colliard, Jean-Edouard (3)

Palan, Stefan (3)

Jalkh, Naji (3)

CAPELLE-BLANCARD, Gunther (3)

Nielsson, Ulf (3)

Chernov, Mikhail (3)

Taylor, Nick (3)

Wilhelmsson, Anders (3)

Talavera, Oleksandr (3)

Koetter, Michael (3)

Ødegaard, Bernt (3)

Voigt, Stefan (3)

Horenstein, Alex (3)

Xia, Shuo (3)

Holzmeister, Felix (3)

Frijns, Bart (3)

Xiu, Dacheng (3)

Mihet, Roxana (3)

Schenk-Hoppé, Klaus (3)

Foucault, Thierry (3)

Vogel, Sebastian (2)

Tonks, Ian (2)

Pelizzon, Loriana (2)

Heath, Davidson (2)

Ferrara, Gerardo (2)

PASCUAL, ROBERTO (2)

Abudy, Menachem (2)

Chow, Nikolai Sheung-Chi (2)

Sojli, Elvira (2)

Dimpfl, Thomas (2)

Regis, Luca (2)

Davies, Ryan (2)

Vilkov, Grigory (2)

Walther, Thomas (2)

Prokopczuk, Marcel (2)

Putnins, Talis (2)

Jurkatis, Simon (2)

Lajaunie, Quentin (2)

Lopez-Lira, Alejandro (2)

Gorbenko, Arseny (2)

Kearney, Fearghal (2)

Moinas, Sophie (2)

He, Xuezhong (Tony) (2)

Bjønnes, Geir (2)

Park, Andreas (2)

Zhou, Chen (2)

Theissen, Erik (2)

Scaillet, Olivier (2)

Söderlind, Paul (2)

Hautsch, Nikolaus (2)

LINTON, OLIVER (2)

Verousis, Thanos (2)

van Kervel, Vincent (2)

Wong, Wing-Keung (2)

Dumitrescu, Ariadna (2)

Gerritsen, Dirk (2)

Adrian, Tobias (2)

Güçbilmez, Ufuk (2)

Bos, Charles (2)

Bouri, Elie (2)

Roy, Saurabh (2)

Patton, Andrew (2)

Hjalmarsson, Erik (2)

Liew, Chee (2)

Kassner, Bernhard (2)

Rakowski, David (2)

Patel, Vinay (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Paolo Pasquariello.

Is cited by:

Liow, Kim (15)

Menkhoff, Lukas (12)

Füss, Roland (8)

Fleming, Michael (8)

Asongu, Simplice (8)

Sévi, Benoît (7)

GUPTA, RANGAN (7)

Wang, Gaowang (6)

Eichler, Stefan (6)

Czech, Robert (6)

Lo, Ingrid (6)

Cites to:

Bollerslev, Tim (23)

Harvey, Campbell (17)

Kaminsky, Graciela (17)

Bekaert, Geert (17)

Andersen, Torben (16)

Diebold, Francis (16)

Subrahmanyam, Avanidhar (15)

Vega, Clara (15)

Lyons, Richard (13)

Shleifer, Andrei (12)

Fama, Eugene (10)

Main data


Where Paolo Pasquariello has published?


Journals with more than one article published# docs
The Review of Financial Studies5
Journal of Financial and Quantitative Analysis2
Journal of Financial Markets2
Real Estate Economics2

Recent works citing Paolo Pasquariello (2024 and 2023)


YearTitle of citing document
2023Price Impact of Order Flow Imbalance: Multi-level, Cross-sectional and Forecasting. (2021). Zhang, Chao ; Cucuringu, Mihai ; Cont, Rama. In: Papers. RePEc:arx:papers:2112.13213.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2023Narratives from GPT-derived Networks of News, and a link to Financial Markets Dislocations. (2023). Petrov, Constantin ; Miori, Deborah. In: Papers. RePEc:arx:papers:2311.14419.

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2023Dealer capacity and US Treasury market functionality. (2023). Van Tassel, Peter ; Fleming, Michael ; Shachar, OR ; Nelson, Claire ; Keane, Frank ; Duffie, Darrell. In: BIS Working Papers. RePEc:bis:biswps:1138.

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2023How does credit information sharing affect trade credit? Evidence from China. (2023). Zhao, Peixuan ; Gao, Haoyu ; Wen, Huiyu. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:5:p:4909-4938.

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2023Leverage and firm value. (2023). Brigida, Matthew ; Barboza, Gustavo A ; Pratt, William R. In: Economic Notes. RePEc:bla:ecnote:v:52:y:2023:i:2:n:e12218.

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2023The effect of option listing on financing decisions. (2023). King, Taohsien Dolly ; Park, Min C ; Hong, Eunpyo. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:3-4:p:858-891.

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2023.

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2023Nature of comovements in US state and MSA housing prices. (2023). Banerjee, Piyali ; Lee, Junsoo ; Lu, Yan ; Tidwell, Alan. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:4:p:959-989.

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2023Safe Asset Scarcity and Re-use in the European Repo Market. (2023). van Lelyveld, Iman ; Inhoffen, Justus. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2050.

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2023Safe Asset Scarcity and Re-use in the European Repo Market. (2023). Lelyveld, Iman ; van Lelyveld, Iman ; Inhoffen, Justus. In: Working Papers. RePEc:dnb:dnbwpp:787.

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2023Margin trading and spillover effects: Evidence from the Chinese stock markets. (2023). Ye, Qing ; Zhou, Shengjie. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014123000109.

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2023Industry regulation and the comovement of stock returns. (2023). Whitby, Ryan J ; Griffith, Todd G ; Blau, Benjamin M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:206-219.

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2023Macroeconomic news and price synchronicity. (2023). Wang, Qingwei ; Eshraghi, Arman ; Cheema, Arbab K. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:390-412.

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2023The risk spillover of high carbon enterprises in China: Evidence from the stock market. (2023). Yin, Hua ; Zhu, Pingheng ; Wu, Baohui ; Wen, Fenghua. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004371.

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2023Does FinTech development facilitate firms innovation? Evidence from China. (2023). Yu, Mingzhe ; Dong, Xiao. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003216.

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2024Political risks, excess and carry trade returns in global markets. (2024). Blenman, Lloyd P ; Kesse, Kwabena. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004222.

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2024Social media information diffusion and excess stock returns co-movement. (2024). Li, Sai-Ping ; Wu, Wang-Long ; Chen, Zhang-Hangjian ; Koedijk, Kees G ; Bao, Kun. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005525.

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2024Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2023Local FinTech development and stock price crash risk. (2023). Shan, Yaowen ; Lu, Meiting ; Feng, Zhuoan ; Cao, Yuqiang ; Wang, Xinyue. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000181.

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2023Broadband infrastructure and stock price crash risk: Evidence from a quasi-natural experiment. (2023). Feng, Zhuoan ; Cao, Yuqiang ; Chen, Zhiwu ; Shan, Yaowen ; Lu, Meiting. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323003987.

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2023The power from folk monitoring: Leading Officials’ Natural Resources Accountability Audit (NRAA) and corporate ESG performance. (2023). Wang, Jingang ; Chen, Zhiwu ; Yan, Kai ; Liang, Weiming. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009479.

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2024Digital transformation tone signal and the cost of equity: Evidence from Chinese listed companies. (2024). Huang, Xiaoxia ; Guo, Borui. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010929.

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2024Disentangling the supply and announcement effects of open market operations. (2024). Bulusu, Narayan. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000691.

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2024Bank opacity, systemic risk and financial stability. (2024). Mies, Michael. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923001110.

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2024Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001543.

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2023Fund flow-induced volatility and the cost of debt. (2023). Luo, Shikong ; Cook, Douglas O. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002825.

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2023Optimal financing and investment strategies under asymmetric information on liquidation value. (2023). Shibata, Takashi ; Nishihara, Michi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002898.

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2023Social learning in a network model of Covid-19. (2023). Schasfoort, Joeri ; Koziol, Tina ; Georg, Co-Pierre ; du Rand, Gideon ; Davids, Allan. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:213:y:2023:i:c:p:271-304.

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2023Macro-financial spillovers. (2023). Yilmaz, Kamil ; Hallam, Mark ; Cotter, John. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000256.

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2023Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints. (2023). Sundaresan, Suresh ; Klingler, Sven. In: Journal of Monetary Economics. RePEc:eee:moneco:v:135:y:2023:i:c:p:55-69.

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2023Social trust and the choice between bank debt and public debt: Evidence from international data. (2023). Rao, Ramesh ; Mazumder, Sharif. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:67:y:2023:i:c:s1042444x22000524.

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2023Pair analyst coverage and return comovement: Evidence from China. (2023). Xiang, Xueman ; Yi, Biao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002037.

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2023Do asymmetric information and leverage affect investment decisions?. (2023). Taskin, Dilvin ; Hunjra, Ahmed Imran ; Ahmad, Muhammad Munir. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:337-345.

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2024Estimating U.S. housing price network connectedness: Evidence from dynamic Elastic Net, Lasso, and ridge vector autoregressive models. (2024). Miller, Stephen ; GUPTA, RANGAN ; Gabauer, David ; Marfatia, Hardik A. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:349-362.

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2024Effect of information disclosure on firms direct financing in emerging securities markets. (2024). Tseng, Jauling. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:54-68.

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2023Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices. (2023). Zaremba, Adam ; Umar, Zaghum ; Kizys, Renatas ; Aharon, David Y. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922001891.

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2023Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363.

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2023COVID-19, a blessing in disguise for the Tech sector: Evidence from stock price crash risk. (2023). Xu, Jian ; Masum, Abdullah-Al ; Hossain, Ashrafee T. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000648.

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2024Do ICT firms manage R&D differently? Firm-level and macroeconomic effects on corporate R&D investment: Empirical evidence from a multi-countries context. (2024). Mazas-Perez, Cristina ; Alexeeva-Alexeev, Inna. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:198:y:2024:i:c:s0040162523006558.

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2023Effect of big data on enterprise financialization: Evidence from Chinas SMEs. (2023). Wang, Kaihua ; Gao, Yuqiang ; Lu, Yuchen ; Zhang, Ruiai. In: Technology in Society. RePEc:eee:teinso:v:75:y:2023:i:c:s0160791x23001562.

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2023Dealer Capacity and U.S. Treasury Market Functionality. (2023). van Tassel, Peter ; Shachar, OR ; Nelson, Claire ; Keane, Frank M ; Fleming, Michael J ; Duffie, Darrell. In: Staff Reports. RePEc:fip:fednsr:96553.

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2023Socialium or the Financial Price of Social Responsibility. (2023). Dumoulin, Regis ; Marie-Jeanne, Caroline ; Pop, Diana. In: Post-Print. RePEc:hal:journl:hal-04120305.

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2023Nexus Between Indian Financial Markets and Macro-economic Shocks: A VAR Approach. (2023). Rath, Prabhas Kumar. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:1:d:10.1007_s10690-022-09372-w.

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2023Competition and moral behavior: A meta-analysis of forty-five crowd-sourced experimental designs. (2023). Urbig, Diemo ; Spantig, Lisa ; Soraperra, Ivan ; Schmitz, Jan ; Schudy, Simeon ; Schram, Arthur ; Saral, Ali Seyhun ; Nieken, Petra ; Nesterov, Alexander ; Khadjavi, Menusch ; Johannesson, Magnus ; Huber, Christoph ; Holzmeister, Felix ; Glogowsky, Ulrich ; Freddi, Eleonora ; Fiala, Lenka ; Dreber, Anna ; Dold, Malte ; Demiral, Elif ; Bulutay, Muhammed ; Brütt, Katharina ; Barron, Kai ; Pirrone, Angelo ; Theodoropoulou, Andriana ; Cornelissen, Gert ; Mak, Vincent ; Weitzel, Utz ; Htter, Mandy ; Gasiorowska, Agata ; Peters, Kim ; Suetens, Sigrid ; Claassen, Maria Almudena ; Lucas, Brian ; Kirchler, Michael ; Hudja, Stanton ; Schneider, Florian ; Fries, Tilman ; Palumbo, Helena ; Steinme
2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv.

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2023Alternative risk premium: specification noise. (2023). Fabozzi, Frank J ; Gorman, Stephen A. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00327-y.

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2023The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure. (2023). Skiadopoulos, George ; Hiraki, Kazuhiro. In: Working Papers. RePEc:qmw:qmwecw:946.

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2023Size and liquidity of government securities in India. (2023). N. R. V. V. M. K. Rajendra Kumar, ; Chander, Jai ; Dayanandan, Ajit. In: Indian Economic Review. RePEc:spr:inecre:v:58:y:2023:i:1:d:10.1007_s41775-023-00178-9.

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2024Sentiment-Driven Exchange Rate Forecasting: Integrating Twitter Analysis with Economic Indicators. (2024). Ulusoy, Veysel ; Kklerli, Kazam Berk. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:14:y:2024:i:3:f:14_3_4.

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2023Cryptocurrency factor momentum. (2023). Zaremba, Adam ; Metko, Daniel ; Liedtke, Gerrit ; Fieberg, Christian. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:12:p:1853-1869.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527.

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2023Asymmetric responses to Purchasing Managers Index announcements in Chinas stock returns. (2023). Zhang, Qingpeng ; Yang, Xiaoguang ; Lu, Chang ; Wang, Yingli. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2937-2955.

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2024Inventory information arrival and the crude oil futures market. (2024). Hmedat, Waleed ; Chebbi, Tarek. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1513-1533.

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2023The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases. (2023). Lopez, Raquel ; Fernandezperez, Adrian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1499-1530.

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2024Entrepreneur characteristics and financing patterns in SMES of MENA countries: Overcoming the burdens of liability of newness. (2024). Fakhfakh, Imen ; Khanchel, Imen ; Lassoued, Naima ; Etteyeb, Mehdi. In: Journal of International Development. RePEc:wly:jintdv:v:36:y:2024:i:2:p:1507-1535.

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2024.

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2023Green investing, information asymmetry, and capital structure. (2023). Yang, Biao ; Li, Shasha. In: IWH Discussion Papers. RePEc:zbw:iwhdps:202023.

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2023Quantitative easing, the repo market, and the term structure of interest rates. (2023). Subrahmanyam, Marti G ; Pelizzon, Loriana ; Jappelli, Ruggero. In: SAFE Working Paper Series. RePEc:zbw:safewp:395.

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Works by Paolo Pasquariello:


YearTitleTypeCited
2002Regime Shifts in Asian Equity and Real Estate Markets In: Real Estate Economics.
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article50
2014On the Price Comovement of U.S. Residential Real Estate Markets In: Real Estate Economics.
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article29
2009On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements In: Journal of Financial and Quantitative Analysis.
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article80
2020Government Intervention and Strategic Trading in the U.S. Treasury Market In: Journal of Financial and Quantitative Analysis.
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article6
2008Time-series and cross-sectional excess comovement in stock indexes In: Journal of Empirical Finance.
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article45
2007Informative trading or just costly noise? An analysis of Central Bank interventions In: Journal of Financial Markets.
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article29
2008Updating expectations: An analysis of post-9/11 returns In: Journal of Financial Markets.
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article7
2008The anatomy of financial crises: Evidence from the emerging ADR market In: Journal of International Economics.
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article15
2014Prospect Theory and market quality In: Journal of Economic Theory.
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article10
2009The on-the-run liquidity phenomenon In: Journal of Financial Economics.
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article51
2010Central bank intervention and the intraday process of price formation in the currency markets In: Journal of International Money and Finance.
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article19
2002Uncertainty of trading rules in currency markets: an application of non-parametric bootstrapping In: Journal of Multinational Financial Management.
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article2
2024Nonstandard errors In: LSE Research Online Documents on Economics.
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paper14
2021Non-Standard Errors.(2021) In: Working Paper Series, Social and Economic Sciences.
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This paper has nother version. Agregated cites: 14
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2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 14
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2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 14
paper
2006Informed and strategic order flow in the bond markets In: International Finance Discussion Papers.
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paper103
2007Informed and Strategic Order Flow in the Bond Markets.(2007) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 103
article
2024Agency Costs and Strategic Speculation in the U.S. Stock Market In: The Review of Corporate Finance Studies.
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article0
2015Strategic Cross-Trading in the U.S. Stock Market In: Review of Finance.
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article19
2007Imperfect Competition, Information Heterogeneity, and Financial Contagion In: The Review of Financial Studies.
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article40
2009Does Asymmetric Information Drive Capital Structure Decisions? In: The Review of Financial Studies.
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article149
2014Financial Market Dislocations In: The Review of Financial Studies.
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article34
2018Government Intervention and Arbitrage In: The Review of Financial Studies.
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article6
2001Views: Use and abuse In: Journal of Asset Management.
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article0
2020Excess mortality from COVID-19: a commentary on the Italian experience In: International Journal of Public Health.
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article3
2005An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets In: The Journal of Business.
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article26

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