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Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2017 - This Version: September 15, 2017

others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They …

Persistent link: https://www.econbiz.de/10011723400

Sovereign credit risk, liquidity, and European Central Bank intervention : Deus ex machina?

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - In: Journal of financial economics 122 (2016) 1, pp. 86-115

Persistent link: https://www.econbiz.de/10011590889

Central bank-driven mispricing

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: October 2018

: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …

Persistent link: https://www.econbiz.de/10012062155

Paying for market liquidity : competition and incentives

Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2019

Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE … in rebates and requirements for DMMs, do not have any tangible effect on market liquidity. Our results are of relevance …

Persistent link: https://www.econbiz.de/10012062186

Paying for market liquidity : competition and incentives

Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2019

Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE … changes in rebates and requirements for DMMs, do not have any tangible effect on market liquidity. Our results are of …

Persistent link: https://www.econbiz.de/10011987269

Credit scoring in SME asset-backed securities : an Italian case study

Bedin, Andrea; Billio, Monica; Costola, Michele; … - In: Journal of risk and financial management : JRFM 12 (2019) 2/89, pp. 1-28

We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information provided by the European DataWarehouse platform and employ a logistic...

Persistent link: https://www.econbiz.de/10012022072

Buildings' energy efficiency and the probability of mortgage default : the Dutch case

Billio, Monica; Costola, Michele; Pelizzon, Loriana; … - 2019 - This draft: October 14, 2019

In this paper, we investigate the relation between buildings' energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional building energy ratings that are calculated by the...

Persistent link: https://www.econbiz.de/10012109899

Credit scoring in SME asset-backed securities : an Italian case study

Bedin, Andrea; Billio, Monica; Costola, Michele; … - 2019

Persistent link: https://www.econbiz.de/10012111366

Modelling illiquidity spillovers with Hawkes processes : an application to the sovereign bond market

Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana - In: Quantitative finance 18 (2018) 2, pp. 283-293

Persistent link: https://www.econbiz.de/10011906340

Central bank-driven mispricing

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: August 2018

: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …

Persistent link: https://www.econbiz.de/10011892699