This paper compares difference continuous-time specifications for the short-term interest rate dynamics on five European markets. We propose a general specification which encompasses nine well-known processes of the financial literature. A classical estimation of the parameters leads us to the...

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...

We employ detailed data from all Euronext venues to investigate whether domestic traders outperform other traders. Compared with previous literature [particularly Agarwal, S., Faircloth, S., Liu, C. and Rhee, G.S., 2009, Why Do Foreign Investors Underperform Domestic Investors in Trading...

Using an online experiment, we examine to what extent people are ready to bear negative interest rates (NIR hereafter) on their savings. We find some tolerance to NIR, i.e. people being willing to let money in the bank, rather than spend it, and thereby accepting to have less at some later time...

We measure the extent to which consolidated liquidity in modern fragmented equity markets overstates true liquidity due to a phenomenon that we call Ghost Liquidity (GL). GL exists when traders place duplicate limit orders on competing venues, intending for only one of the orders to execute, and...

Surveys worldwide indicate that return expectations of individual investors are often high. This paper investigates the determinants of individual target returns and the capacity of investors to reach their expectations. Using trading records and matched survey data for 4,140 retail investors,...

The paper empirically investigates market makers' behavior on Nasdaq Europe. The impact of market makers' competition and some other microstructure effects on spreads are analyzed. We perform a decomposition of the spread into its components in both Huang amp; Stoll (1997) and Lin, Sanger amp;...

Artificial intelligence, or AI, enhancements are increasingly shaping our daily lives. Financial decision-making is no exception to this. We introduce the notion of AI Alter Egos, which are shadow robo-investors, and use a unique data set covering brokerage accounts for a large cross-section of...

The recent implementation of negative interest rates (NIR) by central and commercial banks invites empirical scrutiny of how people would react to this atypical financial policy where one has to pay to let money in the bank. Economic thinking on this issue posits that people would not tolerate...