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...

The competition between SEAQ International and Continental European equity markets to attract transactions in the most actively traded European stocks has intensified since the late 1980s. Comparisons of official transaction volumes from SEAQ International and the French CAC market system are...

Based on data from eight exchanges and a trade reporting facility for a large sample of LSE- and Euronext-listed equities, this article investigates how lit and dark market fragmentation affects liquidity. Neither dark trading, nor fragmentation between lit order books, is found to harm...

Using Institutional Investors (I/I) and Extel rankings and I/B/E/S data for European analysts over 15 years, we show that European analyst rankings are determined more by popularity than by intrinsic skills, the first determinant of recognition being employer size. Becoming an I/I star is like...

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...

We investigate the relationship between rule-based versus risk-based regulatory choices in different countries and the real investment performance of their pension funds. Pension systems in countries with more mature risk-based regulatory regimes tend to demonstrate superior investment...

We investigate the relationship between rule-based versus risk-based regulatory choices in different countries and the real investment performance of their pension funds. Pension systems in countries with more mature risk-based regulatory regimes tend to demonstrate superior investment...