Narrow search
Showing 1 - 10 of 375
Cover Image
Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index
Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014
shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the … way index traders distribute across index markets, with the ETF market absorbing the liquidity demand from some hedgers or …
Persistent link: https://www.econbiz.de/10010799319
Cover Image
Liquidity and Risk Sharing Benefits from Opening an ETF Market with Liquidity Providers: Evidence from the CAC 40 Index
De Winne, Rudy; Gresse, Carole; Platten, Isabelle - Université Paris-Dauphine (Paris IX) - 2014
This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the … underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to … those of non-index stocks, after the introduction of the ETF but this liquidity improvement is not driven by changes in …
Persistent link: https://www.econbiz.de/10010861453
Cover Image
Intra-day market activity
Gouriéroux, Christian; Jasiak, Joanna; Le Fol, Gaëlle - Université Paris-Dauphine (Paris IX) - 1999
, transaction volumes and prices, and can be interpreted as liquidity measures. This approach allows us to highlight the intra …-day variations of liquidity, its costs and volatility, and to develop a liquidity based asset ordering. The extension to a … multivariate analysis yields new insights into the dynamics of portfolio liquidity by revealing various aspects of asset …
Persistent link: https://www.econbiz.de/10011074170
Cover Image
The Effect of Crossing-Network Trading on Dealer Market's Bid-Ask Spreads
Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2006
systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity …
Persistent link: https://www.econbiz.de/10011093892
Cover Image
The short-term timing of initial public offerings
Bouis, Romain - Université Paris-Dauphine (Paris IX) - 2009
This paper examines the effect of stock market conditions on the waiting time of initial public offering (IPO) candidates, from the date firms file a registration statement with the Securities and Exchange Commission (SEC) to the effective IPO date. I find that issuers are going public faster...
Persistent link: https://www.econbiz.de/10010735777
Cover Image
Les procédures d'introduction en Bourse en Europe : évolution des pratiques et perspectives
Labégorre, Florence; Gajewski, Jean-François; … - Université Paris-Dauphine (Paris IX) - 2006
Because IPO mechanisms determine both the initial trading price and the allocation of newly-listed firms' shares, they have financial and strategic consequences for shareholders. For that reason, it is of interest to analyse the relative advantages and disadvantages of the different procedures...
Persistent link: https://www.econbiz.de/10010861383
Cover Image
Publication d'informations sur les risques et comportement des investisseurs : étude empirique de la politique d'information des sociétés françaises.
Ghozzi, Mohamed Khaled - Université Paris-Dauphine (Paris IX) - 2005
The purpose of this paper is to study the effect of operational, and market risks disclosures on investors’ disagreements about French firms’ value. The paper provides evidence on risks reporting efficiency in reducing investors’ disagreements about the implication for firm’s value of...
Persistent link: https://www.econbiz.de/10010706681
Cover Image
Convenience Yield and Commodity Markets
Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2009
This article explains the role of the convenience yield in the relationships linking spot and futures prices in commodity derivatives markets. First, this variable restores the non arbitrage relationship between the prices of the underlying asset and the derivative instrument. Second, it allows...
Persistent link: https://www.econbiz.de/10010707061
Cover Image
Financial intermediation and the rights offer paradox
Koenig-Matsoukis, Laure - Université Paris-Dauphine (Paris IX) - 2010
In this study, we investigate the trading dynamics around rights issues. We employ signed and unsigned trading activity measures in order to provide evidence of costly financial intermediation. We, first, document short selling activity by underwriters and shareholders during rights issues...
Persistent link: https://www.econbiz.de/10010708694
Cover Image
Effet des informations liées aux risques : cas du marché français
Ghozzi, Mohamed Khaled - Université Paris-Dauphine (Paris IX) - 2005
Selon les travaux de Hamada (1972), Ryan (1997) et Pae (2002), l’incertitude des investisseurs sur la valeur est liée aux sources de risques sectoriels et inhérents. Depuis, peu de travaux se sont intéressées à la relation entre les informations liées aux sources de risques et le marché...
Persistent link: https://www.econbiz.de/10011074141