Search Results - "FRANZONI, FRANCESCO"

Do ETFs Increase Volatility? by BEN-DAVID, ITZHAK, FRANZONI, FRANCESCO, MOUSSAWI, RABIH

“…Due to their low trading costs, exchange-traded funds (ETFs) are a potential catalyst for short-horizon liquidity traders. The liquidity shocks can propagate…”
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Costs and benefits of financial conglomerate affiliation: Evidence from hedge funds by Franzoni, Francesco, Giannetti, Mariassunta

“…This paper explores how affiliation to financial conglomerates affects asset managers’ access to capital, risk taking, and performance. Focusing on a sample of…”
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Pension Plan Funding and Stock Market Efficiency by FRANZONI, FRANCESCO, MARÍN, JOSÉ M.

“…The paper argues that the market significantly overvalues firms with severely underfunded pension plans. These companies earn lower stock returns than firms…”
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Underinvestment vs. overinvestment: Evidence from price reactions to pension contributions by Franzoni, Francesco

“…Mandatory contributions to defined benefit pension plans provide a unique identification strategy to estimate the market's assessment of the value of internal…”
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Private Equity Performance and Liquidity Risk by FRANZONI, FRANCESCO, NOWAK, ERIC, PHALIPPOU, LUDOVIC

“…Private equity has traditionally been thought to provide diversification benefits. However, these benefits may be lower than anticipated as we find that…”
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The value of intermediation in the stock market by Di Maggio, Marco, Egan, Mark, Franzoni, Francesco

“…We estimate a structural model of broker choice to quantitatively decompose the value that institutional investors attach to broker services. Studying over 300…”
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The Granular Nature of Large Institutional Investors by Ben-David, Itzhak, Franzoni, Francesco, Moussawi, Rabih, Sedunov, John

“…Large institutional investors own an increasing share of the equity markets in the United States. The implications of this development for financial markets…”
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Competition for Attention in the ETF Space by Ben-David, Itzhak, Franzoni, Francesco, Kim, Byungwook, Moussawi, Rabih

“…Abstract The interplay between investors’ demand and providers’ incentives has shaped the evolution of exchange-traded funds (ETFs). While early ETFs invested…”
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The relevance of broker networks for information diffusion in the stock market by Maggio, Marco Di, Franzoni, Francesco, Kermani, Amir, Sommavilla, Carlo

“…This paper shows that the network of relationships between brokers and institutional investors shapes information diffusion in the stock market. Central…”
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Brokers and Order Flow Leakage: Evidence from Fire Sales by BARBON, ANDREA, DI MAGGIO, MARCO, FRANZONI, FRANCESCO, LANDIER, AUGUSTIN

“…Using trade-level data, we study whether brokers play a role in spreading order flow information in the stock market. We focus on large portfolio liquidations…”
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Fund Flows and Market States by Franzoni, Francesco, Schmalz, Martin C.

“…This paper establishes a new empirical fact: Mutual funds' flow-performance sensitivity is a hump-shaped function of aggregate risk-factor realizations…”
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Exchange-Traded Funds by Ben-David, Itzhak, Franzoni, Francesco, Moussawi, Rabih

“…Over nearly a quarter of a century, exchange-traded funds (ETFs) have become one of the most popular passive investment vehicles among retail and professional…”
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Strategic trading as a response to short sellers by Di Maggio, Marco, Franzoni, Francesco, Massa, Massimo, Tubaldi, Roberto

“…We examine whether the strategic response to short selling by other informed investors decelerates the incorporation of positive information. We find a…”
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Do Hedge Funds Manipulate Stock Prices? by BEN-DAVID, ITZHAK, FRANZONI, FRANCESCO, LANDIER, AUGUSTIN, MOUSSAWI, RABIH

“…We provide evidence suggesting that some hedge funds manipulate stock prices on critical reporting dates. Stocks in the top quartile of hedge fund holdings…”
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Corrigendum for Brokers and Order Flow Leakage: Evidence from Fire Sales

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Hedge Fund Stock Trading in the Financial Crisis of 2007-2009 by Ben-David, Itzhak, Franzoni, Francesco, Moussawi, Rabih

“…Hedge funds significantly reduced their equity holdings during the recent financial crisis. In 2008: Q3-Q4, hedge funds sold about 29% of their aggregate…”
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What Constrains Liquidity Provision? Evidence from Institutional Trades by Çötelioğlu, Efe, Franzoni, Francesco, Plazzi, Alberto

“…Abstract The article studies liquidity provision by institutional investors using trade-level data. We find that hedge fund trades are a more important…”
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Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM by Adrian, Tobias, Franzoni, Francesco

“…We amend the conditional CAPM to allow for unobservable long-run changes in risk factor loadings. In this environment, investors rationally “learn” the…”
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PCDD/F and dioxin-like PCB minimization: A 13-year experimental study along the flue gas cleaning system of a secondary aluminium refining plant by Collina, Elena, Bortolami, Michele, Franzoni, Francesco, Lasagni, Marina, Piccinelli, Elsa, Pitea, Demetrio

“…A 13-years study shows that a careful design of the flue gas cleaning system of a full scale secondary aluminium refining plant results in a minimized and very…”
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Fingerprint Biometrics From Newborn to Adult: A Study From a National Identity Database System by Preciozzi, Javier, Garella, Guillermo, Camacho, Vanina, Franzoni, Francesco, Di Martino, Luis, Carbajal, Guillermo, Fernandez, Alicia

“…In this work, we evaluate the use of fingerprints to identify people from a very young age. Although it is well known that fingerprints are stable all along…”
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