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...

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...

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...

This paper presents a theory for Islamic venture capital namely ‘Mudharabah’ contract under adverse selection problem. In order to avoid selecting a low type entrepreneur for a given good project, the framework defines the profit sharing ratio (PSR) as a screening device. We then develop a...

This paper presents a theory for Islamic venture capital namely ‘Mudharabah’ contract under adverse selection problem. In order to avoid selecting a low type entrepreneur for a given good project, the framework defines the profit sharing ratio (PSR) as a screening device. We then develop a...

The motivation of this paper comes from repeated games with incomplete information and imperfect monitoring. It concerns the existence, for any payoff function, of a particular equilibrium (called completely revealing) allowing each player to learn the state of nature. We consider thus an...

We study a class of symmetric strategic experimentation games. Each of two players faces an (exponential) two-armed bandit problem, and must decide when to stop experimenting with the risky arm. The equilibrium amount of experimentation depends on the degree to which experimentation outcomes are...

We study information transmission between informed experts and an uninformed decision-maker who only takes binary decisions. In the single expert case, we show that information transmission can only be relatively poor. Hence, even sophiscated communication games do not yield equilibria which (ex...