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The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility
Capelle-Blancard, Gunther; Havrylchyk, Olena - HAL - 2013
liquidity and volatility. To identify causality, we rely on the unique design of this tax that is imposed only on large French … measures of liquidity, such as price impact, and no significant effect on volatility. The results are robust if we rely on …
Persistent link: https://www.econbiz.de/10011025599
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Fire Sales Forensics: Measuring Endogenous Risk
Cont, Rama; Wagalath, Lakshithe - HAL - 2012
We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large …
Persistent link: https://www.econbiz.de/10010548433
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French IPO returns and subsequent security offerings:Signaling hypothesis versus market feedback hypothesis
Ginglinger, Edith; Faugeron-Crouzet, Anne-Marie; … - HAL - 2003
In this article, we look at two competing hypotheses to explain IPO underpricing in France when a seasoned offering follows the IPO. The first hypothesis assumes that the initial underpricing is a signal from a high quality firm in the anticipation of a subsequent equity issue at a higher price....
Persistent link: https://www.econbiz.de/10008794116
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Liquidity, risk and occupational choices
Bianchi, Milo; Bobba, Matteo - HAL - 2010
model to highlight how liquidity and insurance constraints respond differently to the time profile of expected cash …
Persistent link: https://www.econbiz.de/10010738986
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Export dynamics and sales at home
Berman, Nicolas; Berthou, Antoine; Héricourt, Jérôme - HAL - 2012
How do rms' sales interact across markets? Are foreign and domestic sales complements or substitutes? Using a large French rm-level database that combine balance-sheet and product-destination-speci c export information over the period 1995-2001, we study the interconnections between exports and...
Persistent link: https://www.econbiz.de/10011026174
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L'effet de levier de trésorerie
Juhel, Jean-Claude - HAL - 2008
The effect of leverage on liquidity is a tool for analysing the level of liquidity for a given production process. It … measures the sensitivity of the level of liquidity that results from changes in the volume of production and unit operating … flows from production influence liquidity levels. The estimated costs do not directly influence the level of liquidity …
Persistent link: https://www.econbiz.de/10008789411
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Share repurchase regulations: do firms play by the rules?
Ginglinger, Edith; Hamon, Jacques - HAL - 2009
adverse effect on liquidity only for the smallest and least liquid firms. …
Persistent link: https://www.econbiz.de/10008790731
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Actual share repurchases, timing and liquidity
Ginglinger, Edith; Hamon, Jacques - HAL - 2007
,848 repurchases made by 352 French firms, we show that corporate share repurchases have a significant adverse effect on liquidity as …
Persistent link: https://www.econbiz.de/10008790923
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Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach
Deville, Laurent; Riva, Fabrice - HAL - 2007
conventional limits to arbitrage, we show that liquidity-linked variables are associated with a faster reversion of arbitrage …
Persistent link: https://www.econbiz.de/10008791500
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Price Dynamics in a Markovian Limit Order Market
Cont, Rama; Larrard, Adrien De - HAL - 2010
volatility of price changes in terms of parameters describing the arrival rates of buy and sell orders and cancelations. These …
Persistent link: https://www.econbiz.de/10008794238