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The pricing of French unit seasoned equity offerings

Ginglinger, Edith; Chollet, Pierre - Université Paris-Dauphine (Paris IX) - 2001

Units are bundles of common stock and warrants. By issuing units, firms precommit to a future and uncertain seasoned offering at the exercise price of the warrants. This study shows that the issuance of units seasoned offerings in France is accompanied by significant abnormal returns of on...

Persistent link: https://www.econbiz.de/10010707146

Informed trading before rights issues

Koenig-Matsoukis, Laure - Université Paris-Dauphine (Paris IX) - 2012

This paper provides evidence of informed trading before and after a rights issue. First, we find significant net buying and selling activity by informed traders prior to the announcement date leading to a temporary price pressure effect. Even though those results are consistent with the presence...

Persistent link: https://www.econbiz.de/10010707329

Volatility returns with vengeance: Financial markets vs. commodities

Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2015

returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks …

Persistent link: https://www.econbiz.de/10011205311

Production de crédit et offre de monnaie : monnaies endogène et exogène

de Boyer des Roches, Jérôme - Université Paris-Dauphine (Paris IX) - 1998

There is a duality of money : it is endogenous and exogenous. Therefore it is important to distinguish between monetary creation and money supply. Buying and selling means the exchange of goods and debts, which is very different from barter. In doing so the economic agents are asked to take two...

Persistent link: https://www.econbiz.de/10010706552

Dealing with the Inventory Risk

Guéant, Olivier; Lehalle, Charles-Albert; Tapia, … - Université Paris-Dauphine (Paris IX) - 2011

Market makers have to continuously set bid and ask quotes for the stocks they have under consideration. Hence they face …

Persistent link: https://www.econbiz.de/10010706651

Cross-market linkages between commodities, stocks and bonds

Ielpo, Florian; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013

This article assesses the cross-market linkages between commodities, stocks and bonds in a cointegration framework …

Persistent link: https://www.econbiz.de/10010707610

Volatility spillovers in commodity markets

Ielpo, Florian; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013

This article investigates volatility spillovers in commodity markets by following the methodology pioneered in Diebold and Yilmaz (2012). By using a broad data set during 1995–2012, we address three key research questions: are there volatility spillovers within commodities? between standard...

Persistent link: https://www.econbiz.de/10010708343

Study of Statistical Correlations in Intraday and Daily Financial Return Time Series

Tilak, Gayatri; Szell, Tamas; Chicheportiche, Rémy; … - Université Paris-Dauphine (Paris IX) - 2013

The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to … of Allez and Bouchaud 2011: the average correlation between stocks increases throughout the day. We then use … be used in identifying potential pairs of stocks for “pairs trade”. …

Persistent link: https://www.econbiz.de/10011073154

Intra-day market activity

Gouriéroux, Christian; Jasiak, Joanna; Le Fol, Gaëlle - Université Paris-Dauphine (Paris IX) - 1999

measures for single stocks and multiple assets. The proposed measures involve weighted durations, i.e. times necessary to sell … (buy) a predetermined volume or value of stocks. As such, they capture dependencies between intra-trade durations … of selected stocks. …

Persistent link: https://www.econbiz.de/10011074170

The Effect of Crossing-Network Trading on Dealer Market's Bid-Ask Spreads

Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2006

This article provides new insights into market competition between traditional exchanges and alternative trading systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity of a traditional dealer market (DM) by comparing data...

Persistent link: https://www.econbiz.de/10011093892