Publications Prof. Angelo Ranaldo

Publications in refereed journals

2022	Ballensiefen, B., A. Ranaldo (2022): «Safe Asset Carry Trade», Review of Assset Pricing Studies, forthcoming.
2022	Bechtel, A., A. Ranaldo, J. Wrampelmeyer (2022): «Liquidity Risk and Funding Cost», Review of Finance, forthcoming.
2021	Ranaldo, A., P. Schaffner, M. Vasios (2021): «Regulatory Effects on Short Term Interest Rates», Journal of Financial Economics, 141(2), August 2021, 750-770.
2021	Ranaldo, A., F. Somogyi (2021): “Asymmetric Information Risk in FX Markets”, Journal of Financial Economics, 140(2), May 2021, 391-411.
2020	Di Filippo, M., A. Ranaldo, J. Wrampelmeyer (2020): “Unsecured and Secured Funding”, Journal of Money, Credit and Banking, forthcoming.
2020	Cenedese, G., A. Ranaldo, A., M. Vasios (2020): "OTC Premia", Journal of Financial Economics, 136(1), April 2020, 86-105.
2019	Schaffner, P., A. Ranaldo, K. Tsatsaronis (2019): «Euro repo market functioning: collateral is king», BIS Quarterly Review, December 2019, 95-108.
2017	Abdi, F., A. Ranaldo (2017): "A Simple Estimation of Bid‐Ask Spreads from Daily Close, High, and Low Prices", Review of Financial Studies, 30 (12), 4437-4480.
2016	Ranaldo, A., E. Rossi (2016): "Uniform-Price Auctions for Swiss Government Bonds: Origin and Evolution", SNB Economic Studies, 10/2016.
2016	Mancini, L., A. Ranaldo, J. Wrampelmeyer (2016): "The Euro Interbank Repo Market", Review of Financial Studies, 29 (7), 1747-1779.
2015	Karnaukh, N., A. Ranaldo, P. Söderlind (2015): "Understanding FX Liquidity", Review of Financial Studies, 28 (11), 3073-3108.
2014	Caporin, M., A. Ranaldo, G. G. Velo (2014): "Precious metals under the microscope: A high-frequency analysis", Quantitative Finance, Volume 15, Issue 5, 743-759.
2013	Caporin, M., A. Ranaldo, P. Santucci de Magistris (2013): "On the Predictability of Stock Prices: a Case for High and Low Prices", Journal of Banking & Finance, 37(12), 5132-5146.
2013	Bonato, M., M. Caporin, A. Ranaldo (2013): "Risk spillovers in international equity portfolios", Journal of Empirical Finance, 24, 121-137.
2012	Bonato, M., Caporin, M., Ranaldo, A. (2012): “A Forecast-Based Comparison of Restricted Wishart Autoregressive Models for Realized Covariance Matrices”, The European Journal of Finance, 18 (9), 761-774.
2012	Mancini, L., A. Ranaldo, J. Wrampelmeyer (2012): "Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums". Journal of Finance, Volume 68, Issue 5, 1805-1841.
2012	Breedon, F., A. Ranaldo (2012): "Intraday Patterns in FX Returns & Order Flow", Journal of Money, Credit & Banking, Volume 45, Issue 5, 953-965.
2011	Meichle, M., A. Ranaldo, A. Zanetti (2011): "Do Financial Market Variables Help Predict Swiss Turning Points?". Journal of Financial Markets & Portfolio Management. 25(4), 435-453.
2011	Fischer, A., A. Ranaldo (2011): "Does FOMC News Increase Global FX Trading?". Journal of Banking & Finance 35(11), 2965-2973.
2011	Christiansen, C., A. Ranaldo, P. Söderlind (2011): "The Time-Varying Systematic Risk of Carry Trade Strategies". Journal of Financial & Quantitative Analysis 46(4), 1107–1125.
2010	Ranaldo, A., P, Söderlind (2010): "Safe Haven Currencies". Review of Finance 14(3), 385–407. (Lead Article).
2010	Ranaldo, A., E. Rossi (2010): "The Reaction of Financial Assets to Swiss National Bank Communication". Journal of International Money & Finance 29(3), 486–503.
2009	Ranaldo, A. (2009): "Segmentation & Time-of-Day Patterns in Foreign Exchange Markets". Journal of Banking & Finance 33(12), 2199-2206.
2009	Ranaldo, A., P. Söderlind (2009): "Editorial". Journal of Financial Markets & Portfolio Management 23(4), 333-334.
2009	Jordan, T., A. Ranaldo, P. Söderlind (2009): "Implementation of the SNB Monetary Policy". Journal of Financial Markets & Portfolio Management 23(4), 349-359.
2009	Christiansen, C., A. Ranaldo (2009): "Extreme Coexceedances in New EU Member States' Stock Markets". Journal of Banking & Finance 33(6), 1048-1057.
2008	Ranaldo, A., R. Haeberle (2008): "Wolf in Sheep’s Clothing: the Active Investment Strategies Behind Index Performance". European Financial Management 14(1), 55-81.
2007	Christiansen, C., A. Ranaldo (2007): "Realized Stock-Bond Correlation: Macroeconomic Announcement Effects". Journal of Futures Markets 27(5), 439-469.
2005	Ranaldo, A., L. Favre (2005): "Hedge Fund Performance & Higher-Moment Market Models". Journal of Alternative Investments, Winter Issue 8(3), 37-51.
2004	Ranaldo, A. (2004): "Order Aggressiveness in Limit Order Book Markets". Journal of Financial Markets 7(1), 53-74.
2002	Ranaldo, A. (2002): "Transaction Costs on the Swiss Stock Exchange". Journal of Financial Markets & Portfolio Management 16(1), 53-68.
2001	Ranaldo, A. (2001): "Intraday Market Liquidity on the Swiss Stock Exchange". Journal of Financial Markets & Portfolio Management 15(3), 309-327.
2001	Pasquier, J., A. Ranaldo, L. Chammartin (2001) : "Le Financement du Sport". Swiss Journal of Business Research & Practice (Die Unternehmung) 01/2001. Journal of Financial & Quantitative Analysis 46(4), 1107–1125.