Paolo Pasquariello

Paolo Pasquariello

  • Associate Professor of Finance
Education
  • PhD New York University 2003
  • MPhil New York University 2002
  • MBA New York University 1998
  • LAUREA Universita' Commerciale Luigi Bocconi 1994

Contact Information

Phone
(734) 764-9286
Fax
(240) 526-7168
Email
Room
R4434
Research

Paolo's research interests are in the areas of information economics, international finance, and market microstructure. His research analyzes the impact of important features of trading (e.g., price manipulation, information asymmetry and heterogeneity, and imperfect competition among agents) and of human behavior (e.g., agency, short-termism, loss aversion, and risk seeking in losses) on the process of price formation in domestic and international equity, government and corporate bond, currency, and real estate markets. In recent studies, Paolo has examined strategic trading in stock and bond markets, government intervention in currency and bond markets, financial crises and contagion, financial market dislocations, and the relation between firm-level adverse selection and firms' capital structure decisions. His work has received numerous professional awards and has been published in several leading Finance, Economics, and Real Estate journals. He is an Editor of the Journal of Financial Markets and an Associate Editor of the Review of Financial Studies, and was an Associate Editor of the Journal of Financial Markets. Paolo has professional experience as a portfolio manager in Italy, as a fixed income analyst for Goldman Sachs, and as a foreign exchange analyst for J.P. Morgan.

Strategic Cross-Trading in the U.S. Stock Market

Authors
Paolo Pasquariello (with Clara Vega)
Published Date
2015

Source

Review of Finance
Volume: 
19
Issue: 
1
Pages: 
229-282

Financial Market Dislocations

Authors
Paolo Pasquariello
Published Date
2014

Source

The Review of Financial Studies (RFS)
Volume: 
27
Issue: 
6
Pages: 
1868-1914

On the Price Comovement of U.S. Residential Real Estate Markets

Authors
Jarl Kallberg, Crocker Liu, and Paolo Pasquariello
Published Date
2014

Source

The American Real Estate and Urban Economics Association (AREUEA) Journal
Volume: 
42
Issue: 
1
Pages: 
71-108

Prospect Theory and Market Quality

Authors
Paolo Pasquariello
Published Date
2014

Source

Journal of Economic Theory
Volume: 
149
Issue: 
1
Pages: 
276-310

Central Bank Intervention and the Intraday Process of Price Formation in Currency Markets

Authors
Paolo Pasquariello
Published Date
10/2010

Source

Journal of International Money and Finance
Volume: 
29
Issue: 
8
Pages: 
1045-1061

Does Asymmetric Information Drive Capital Structure Decisions?

Authors
Sreedhar Bharath, Paolo Pasquariello, and Guojun Wu
Published Date
2009

Source

The Review of Financial Studies (RFS)
Volume: 
22
Issue: 
8
Pages: 
3211-3243

On the Volatility and Comovement of U.S. Financial markets Around Macroeconomic News Announcements

Authors
Menachem Brenner, Paolo Pasquariello, and Marti Subrahmanyam
Published Date
12/2009

Source

Journal of Financial and Quantitative Analysis
Volume: 
44
Issue: 
6
Pages: 
1265-1289

The On-The-Run Liquidity Phenomenon

Authors
Paolo Pasquariello and Clara Vega
Published Date
2009

Source

Journal of Financial Economics
Volume: 
92
Issue: 
1
Pages: 
1-24

The Anatomy of Financial Crises: Evidence from the Emerging ADR Market

Authors
Paolo Pasquariello
Published Date
2008

Source

Journal of International Economics
Volume: 
76
Issue: 
1
Pages: 
193-207

Time-Series and Cross-Sectional Excess Comovement in Stock Indexes

Authors
Jarl Kallberg and Paolo Pasquariello
Published Date
2008

Source

Journal of Empirical Finance
Volume: 
15
Issue: 
1
Pages: 
481-502

Updating Expectations: An Analysis of Post-9/11 Returns

Authors
Jarl Kallberg, Crocker Liu, and Paolo Pasquariello
Published Date
2008

Source

Journal of Financial Markets
Volume: 
11
Issue: 
1
Pages: 
400-432

Imperfect Competition, Information Heterogeneity, and Financial Contagion

Authors
Paolo Pasquariello
Published Date
2007

Source

The Review of Financial Studies (RFS)
Volume: 
20
Issue: 
2
Pages: 
391-426

Informative Trading or Just Costly Noise? An Analysis of Central Bank Interventions

Authors
Paolo Pasquariello
Published Date
2007

Source

Journal of Financial Markets
Volume: 
10
Issue: 
1
Pages: 
107-143

Informed and Strategic Order Flow in the Bond Markets

Authors
Paolo Pasquariello and Clara Vega
Published Date
2007

Source

The Review of Financial Studies (RFS)
Volume: 
20
Issue: 
5
Pages: 
1975-2019

An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets

Authors
Jarl Kallberg, Crocker Liu, and Paolo Pasquariello
Published Date
2005

Source

Journal of Business (JB)
Volume: 
78
Issue: 
1
Pages: 
169-211

Regime Shifts in Asian Equity and Real Estate Markets

Authors
Jarl Kallberg, Crocker Liu, and Paolo Pasquariello
Published Date
2002

Source

Real Estate Economics
Volume: 
30
Issue: 
2
Pages: 
263-291

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