This paper examines the link between the intensity of news coverage, the news pressure, and stock market outcomes in the event of major corporate news announcements. Our first result is that stock market activity is related to the implications for the public of corporate news announcements, as...

This paper presents a study of intra-day patterns of stock market activity and introduces duration based activity 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...

Our study investigates by which channels IPO underpricing impacts post-listing liquidity. Using a sample of IPOs undertaken on Euronext with diverse mechanisms, we show that when ownership structure is not influenced by initial underpricing, this underpricing still has a positive impact on...

Size has become a significant factor in explaining returns. According to the size effect, smaller capitalization stocks on average outperform larger capitalization stocks over long periods of time. This paper first documents the traditional size effect on the French market for the 1986-1998...

The purpose of the regulated interruptions of quotation on Stock exchange markets is to reduce asymmetries of information and volatility and to allow the emergence of a consensus. The use of these interruptions is very frequent on the French stock exchange market for the values included in the...

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the spot-futures price efficiency improvement observed after...

Privately informed owners securitizing assets signal positive information by retaining sufficient interest. Signaling provides social benefits, allowing uninformed investors to insure without fearing adverse selection. Instead of signaling, owners of high value assets may prefer a pooling...

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...

Cet ouvrage présente et simule les principaux modèles de volatilité et d'évaluation d'options standards avec une discussion essentiellement centrée autour du smile de volatilité. Le premier chapitre permet d'aborder les modèles de volatilité locale et implicite. Le second chapitre se...