Mean-variance portfolio rebalancing with transaction costs PH Dybvig, L Pezzo Available at SSRN 3373329, 2020 | 44 | 2020 |
Economic policy uncertainty, agency problem, and funding structure: Evidence from US banking industry DV Tran, MK Hassan, AW Alam, L Pezzo, M Abdul-Majid Research in International Business and Finance 58, 101470, 2021 | 22 | 2021 |
Importance of Transaction Costs for Asset Allocations in FX Markets AT Maurer, L Pezzo Working paper - http://ssrn.com/abstract=3143970, 2018 | 13* | 2018 |
Tail-risk connectedness between sukuk and conventional bond markets and their determinants: Evidence from a country-level analysis SM Billah, B Kapar, MK Hassan, L Pezzo, MR Rabbani Borsa Istanbul Review 24 (1), 137-163, 2024 | 3 | 2024 |
Efficient modeling of cross-sectional stock returns via Reduced Rank (Seemingly Unrelated) Regression L Pezzo, R Velu, Z Zhou, L Wang Efficient modeling of cross-sectional stock returns via Reduced Rank …, 2022 | 2 | 2022 |
Large scale mean-variance strategies in the US stock market L Pezzo, L Wang, D Zirek Research in International Business and Finance, 102062, 2023 | 1 | 2023 |
Mean-Variance Market Timing the US Stock Market L Pezzo, L Wang, D Zirek Available at SSRN 3828222, 2021 | 1 | 2021 |
Partial adjustment towards performance‐based mutual fund returns: Evidence from US‐based equity funds WJ Hippler, MK Hassan, L Pezzo International Journal of Finance & Economics 26 (4), 5864-5883, 2021 | 1 | 2021 |
When the Risk Premium Is Negative L Pezzo, Y Zhu Available at SSRN 3497848, 2020 | 1 | 2020 |
Importance of Transaction Costs for Asset Allocation in Foreign Exchange Markets I Filippou, TA Maurer, L Pezzo, MP Taylor | | 2024 |
Dynamics of mining markets: Equilibrium implications for professional and casual miners L Pezzo, L Wang, S Shin, D Zirek Global Finance Journal 57, 100866, 2023 | | 2023 |
Characteristics-Based Factor Modeling via Reduced Rank Regression L Pezzo, R Velu, ZC Zhou, L Wang Available at SSRN 4083935, 2023 | | 2023 |
Feasible GLS factors L Pezzo, R Velu, L Wang, Z Zhou | | 2022 |
Dynamics of Crypto-Prices: Equilibrium Implications for Professional and Casual Miners L Pezzo, L Wang, S Shin Available at SSRN 4187137, 2022 | | 2022 |
On the Wedge between Theoretical and Actual Prices and its Implications for Investment Decisions L Pezzo Washington University in St. Louis, 2018 | | 2018 |
What Is Wrong With Representative Agent Equilibrium Models? L Pezzo | | 2017 |