72 records from EconBiz based on author Name

1. Herding in equity crowdfunding

Åstebro, Thomas; Fernández, Manuel; Lovo, Stefano M.; Vulkan, Nir;
2024
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link

---

2. Carbon information, pricing, and bans : evidence from a field experiment

Handziuk, Yurii; Lovo, Stefano M.;
2023
Type: Arbeitspapier; Working Paper;
Availability: Link

---

3. Algorithmic Pricing and Liquidity in Securities Markets

abstract

We let "Algorithmic Market-Makers" (AMMs), using Q-learning algorithms, choose prices for a risky asset when their clients are privately informed about the asset payoff. We find that AMMs learn to cope with adverse selection and to update their prices after observing trades, as predicted by economic theory. However, in contrast to theory, AMMs charge a mark-up over the competitive price, which declines with the number of AMMs. Interestingly, markups tend to decrease with AMMs’ exposure to adverse selection. Accordingly, the sensitivity of quotes to trades is stronger than that predicted by theory and AMMs’ quotes become less competitive over time as asymmetric information declines

Colliard, Jean-Edouard; Foucault, Thierry; Lovo, Stefano M.;
2022
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link

---

4. Credit Rating Agencies, Information Asymmetry and Us Bond Liquidity

abstract

Do rating announcements reduce information asymmetries? We investigate the effect of rating disclosures on the volatility and liquidity of the US bond market. Although rating agencies' decisions often are anticipated by credit spread changes, we show that in the case of no regulatory change their release can reduce volatility and the bid-ask spread. This reduction is stronger when the rating agency announcement has been anticipated by the market, namely, after downgrades, whereas upgrades trigger mixed reaction. These findings are consistent with the predictions of a simple sequential trade model with event uncertainty, and noise and informed traders

Lovo, Stefano M.; Raimbourg, Philippe; Salvadè, Federica;
2022
Availability: Link Link

---

5. Credit rating agencies, information asymmetry and US bond liquidity

Lovo, Stefano M.; Raimbourg, Philippe; Salvadè, Federica;
2022
Type: Arbeitspapier; Working Paper;
Availability: Link

---

6. Auctions with participation costs and secret reserve prices

abstract

We consider a second-price private-value auction in the presence of an exogenous participation cost and a secret reserve price endogenously set by the seller. We show that, if the entry cost is strictly positive, the only equilibrium outcome is that the seller chooses a reserve price that deters entry and no buyer enters

Lovo, Stefano M.; Spaenjers, Christophe;
2016
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link

---

7. ESG investing : how to optimize impact?

abstract

This paper develops a general equilibrium model of a productive economy with negative externalities. Investors are not willing to accept lower returns than their best investment alternatives and entrepreneurs maximize profits. If capital markets are subject to a search friction, an ESG fund can raise assets and improve social welfare despite the selfishness of all agents. The presence of the ESG fund forces companies to partially internalize externalities. We derive the fund's optimal policy in terms of industry allocation and pollution limits imposed to portfolio companies. The fund prioritizes investments in companies where (i) the inefficiency induced by the externality is particularly acute and (ii) the capital search friction is strong. We also show that the ESG fund can take advantage of the supply-chain network: It can amplify its impact by imposing restrictions on the suppliers of the firms where it invests

Landier, Augustin; Lovo, Stefano M.;
2020
Type: Arbeitspapier; Working Paper;
Availability: Link Link
Citations: 17 (based on OpenCitations) Cited By

---

8. Algorithmic pricing and liquidity in securities markets

Colliard, Jean-Edouard; Foucault, Thierry; Lovo, Stefano M.;
2022
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link

---

9. Credit rating agencies, information asymmetry and US bond liquidity

Lovo, Stefano M.; Raimbourg, Philippe; Salvadè, Federica;
2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
Citations: 1 (based on OpenCitations) Cited By

---

10. Divisional buyouts by private equity and the market for divested assets

Hege, Ulrich; Lovo, Stefano M.; Slovin, Myron B.; Sushka, Marie Elizabeth;
2018
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link Link

---

Load More