Antonio Gargano

Local Experiences, Search, and Spillovers in the Housing Market

A Gargano, M Giacoletti, E Jarnecic

Journal article  |  2023  |  Journal of Finance

Recent local price growth explains differences in search behavior across prospective homebuyers. Those experiencing higher growth ..

Foreign Exchange Volume

G Cespa, A Gargano, SJ Riddiough, L Sarno

Journal article  |  2022  |  Review of Financial Studies

We investigate the information contained in foreign exchange (FX) volume using a novel data set from the over-The-counter market. ..

Out of Sync: Dispersed Short Selling and the Correction of Mispricing

A Gargano, J Sotes-Paladino, P Verwijmeren

Journal article  |  2022  |  Journal of Financial and Quantitative Analysis

How synchronized are short sellers? We examine a unique dataset on the distribution of profits across a stock's short sellers and ..

Bond Return Predictability: Economic Value and Links to the Macroeconomy

A Gargano, D Pettenuzzo, A Timmermann

Journal article  |  2019  |  Management Science

Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return predictability and t..

Does It Pay to Pay Attention?

Antonio Gargano, Alberto G Rossi

Journal article  |  2018  |  The Review of Financial Studies

We employ a novel brokerage account data set to investigate which individual investors are the most attentive, how investors alloc..

The Freedom of Information Act and the Race Toward Information Acquisition

Antonio Gargano, Alberto G Rossi, Russ Wermers

Journal article  |  2017  |  REVIEW OF FINANCIAL STUDIES

We document a little-known source of information exploited by sophisticated institutional investors: the Freedom of Information Ac..

Does it Pay to Pay Attention?

Antonio Gargano, Alberto G Rossi

Journal article  |  2016  |  SSRN Electronic Journal

Complete subset regressions with large-dimensional sets of predictors

Graham Elliott, Antonio Gargano, Allan Timmermann

Journal article  |  2015  |  JOURNAL OF ECONOMIC DYNAMICS & CONTROL

We analyze the complete subset regression (CSR) approach of Elliott et al. (2013) in situations with many possible predictor varia..

Forecasting commodity price indexes using macroeconomic and financial predictors

Antonio Gargano, Allan Timmermann

Journal article  |  2014  |  INTERNATIONAL JOURNAL OF FORECASTING

Using a long sample of commodity spot price indexes over the period 1947-2010, we examine the out-of-sample predictability of comm..

Complete subset regressions

Graham Elliott, Antonio Gargano, Allan Timmermann

Journal article  |  2013  |  JOURNAL OF ECONOMETRICS

This paper proposes a new method for combining forecasts based on complete subset regressions. For a given set of potential predic..