User profiles for M. S. Pagano
Michael PaganoProfessor of Finance, Villanova University Verified email at villanova.edu Cited by 2049 |
A closing call's impact on market quality at Euronext Paris
MS Pagano, RA Schwartz - Journal of Financial Economics, 2003 - Elsevier
The Paris Bourse (currently Euronext Paris) refined its trading system to include electronic
call auctions at market closings in 1996 for its less-liquid Continuous B stocks and in 1998 for …
call auctions at market closings in 1996 for its less-liquid Continuous B stocks and in 1998 for …
Do bankers sacrifice value to build empires? Managerial incentives, industry consolidation, and financial performance
Bank consolidation is a global phenomenon that may enhance stakeholders’ value if
managers do not sacrifice value to build empires. We find strong evidence of managerial …
managers do not sacrifice value to build empires. We find strong evidence of managerial …
How did retail investors respond to the COVID-19 pandemic? The effect of Robinhood brokerage customers on market quality
Using data on stocks held by individual investors at retail brokerage firm Robinhood, we
document that these investors are actively engaged in both momentum and contrarian trading …
document that these investors are actively engaged in both momentum and contrarian trading …
Corruption's impact on foreign portfolio investment
Corruption has significant effects on a nation’s financial markets through its adverse impact
on foreign portfolio investment (FPI). Yet, the effects of corruption on FPI are nonlinear and …
on foreign portfolio investment (FPI). Yet, the effects of corruption on FPI are nonlinear and …
A call auction's impact on price formation and order routing: Evidence from the NASDAQ stock market
Electronic call auctions are used globally to open and close equity market trading; as such,
they are a critically important facility that needs to be better understood. The paper focuses …
they are a critically important facility that needs to be better understood. The paper focuses …
Understanding ESG ratings and ESG indexes
MS Pagano, G Sinclair, T Yang - Research handbook of finance …, 2018 - elgaronline.com
Every investment needs a benchmark. In a competitive market economy, all economic actors
are constantly calibrating their performance in relative and absolute terms against their …
are constantly calibrating their performance in relative and absolute terms against their …
Convergence and risk-return linkages across financial service firms
We examine the risk and return linkages across US commercial banks, securities firms, and
life insurance companies during the 1991–2001 period. After controlling for changes in the …
life insurance companies during the 1991–2001 period. After controlling for changes in the …
A new application of sustainable growth: A multi‐dimensional framework for evaluating the long run performance of bank mergers
GT Olson, MS Pagano - Journal of Business Finance & …, 2005 - Wiley Online Library
We study the mergers of US publicly traded bank holding companies during 1987–2000 and
find that the acquiring firm's sustainable growth rate is an important determinant of the cross…
find that the acquiring firm's sustainable growth rate is an important determinant of the cross…
[BOOK][B] ETF short interest and failures-to-deliver: Naked short-selling or operational shorting?
We identify an alternative source of ETF shorting related to the market maker liquidity provision
and creation/redemption activities. Unlike “directional shorting” used for informational or …
and creation/redemption activities. Unlike “directional shorting” used for informational or …
A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt
Using an integrated model to control for simultaneity, as well as new risk measurement
techniques such as Adapted Exposure CoVaR and Marginal Expected Shortfall (MES), we show …
techniques such as Adapted Exposure CoVaR and Marginal Expected Shortfall (MES), we show …