Similar Search Results

Seasoned Equity Issues in a Closely Held Market: Evidence from France.

Gajewski, Jean-François; Ginglinger, Edith - Université Paris-Dauphine - 2002

offerings, due to stronger underwriter certification for the public offerings. We find that the share price effect is positively …

Persistent link: https://www.econbiz.de/10008520057

IPO Underpricing, Post-Listing Liquidity, and Information Asymmetry in the Secondary Market.

Gajewski, Jean-François; Gresse, Carole - Université Paris-Dauphine

Using a ten-year sample of IPOs undertaken on Euronext with various mechanisms, our study examines the relationship between initial returns and post-listing liquidity, and tests whether it is influenced by ownership structure and information asymmetry. According to most of our findings,...

Persistent link: https://www.econbiz.de/10008532377

Actual share repurchases, timing and liquidity.

Hamon, Jacques; Ginglinger, Edith - Université Paris-Dauphine - 2007

Research on the impact of open market share repurchases has been hindered by the lack of data available on actual share …,848 repurchases made by 352 French firms, we show that corporate share repurchases have a significant adverse effect on liquidity as … measured by bid–ask spread or depth. Our results also indicate that share repurchases largely reflect contrarian trading rather …

Persistent link: https://www.econbiz.de/10008532667

Ownership, control and market liquidity.

Hamon, Jacques; Ginglinger, Edith - Université Paris-Dauphine

We examine how ownership concentration and the separation of ownership and control affect market liquidity in France. We find that firms with a large insider blockholder exhibit significantly lower liquidity. Different methods of concentrating control affect liquidity in different ways. Pyramid...

Persistent link: https://www.econbiz.de/10008572210

Effects of the Competition between Multiple Trading Platforms on Market Liquidity : Evidence from the MiFID Experience.

Gresse, Carole - Université Paris-Dauphine

Based on high frequency data from eight exchanges and a trade reporting facility for a sample of LSE- and Euronext-listed equities, this article compares global and local liquidity before and after MiFID and investigates how liquidity relates to market fragmentation and internalization. Market...

Persistent link: https://www.econbiz.de/10009653286

Examining Trust in Information Technology Artifacts : The Effects of System Quality and Culture.

Vance, Tony; Elie-Dit-Cosaque, Christophe; Straub, Detmar W. - Université Paris-Dauphine - 2008

The topic of trust in information technology (IT) artifacts has piqued interest among researchers, but studies of this form of trust are not definitive regarding which factors contribute to it the most. Our study empirically tests a model of trust in IT artifacts that increases our understanding...

Persistent link: https://www.econbiz.de/10009321014

How does the Introduction of an ETF Market with Liquidity Providers Impact the Liquidity of the Underlying Stocks?.

Platten, Isabelle; Gresse, Carole; De Winne, Rudy - Université Paris-Dauphine

This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as market makers. We find that: (1) the market...

Persistent link: https://www.econbiz.de/10009370244

Systemic risk in derivative markets : a graph-theory analysis.

Lautier, Delphine; Raynaud, Franck - Université Paris-Dauphine

This article inves tigates the time evolution of the integra tion of derivative markets through the graph-theory. We focus on three categor ies of underlying as sets : energy and agricultural products , as well as ﬁnancial assets . Integration is seen as a necessary condition for systemic risk...

Persistent link: https://www.econbiz.de/10009370250

Stochastic Volatility for Levy Processes.

Geman, Hélyette; Carr, Peter; Madan, Dilip B.; Yor, Marc - Université Paris-Dauphine - 2003

Three processes reflecting persistence of volatility are initially formulated by evaluating three Lévy processes at a time change given by the integral of a mean-reverting square root process. The model for the mean-reverting time change is then generalized to include non-Gaussian models that...

Persistent link: https://www.econbiz.de/10008520048

Trading Volume, Price Autocorrelation and Volatility under Proportional Transaction Costs.

Hua, Cheng - Université Paris-Dauphine

We develop a dynamic model in which traders have differential information about the payoff of the risky asset and trade the risky asset with proportional transaction costs. Firstly, trading volume provides useful information on the asset fundamental value which cannot be inferred from the...

Persistent link: https://www.econbiz.de/10008551709