This paper contributes to the resolution of the rights offer paradox, using a database of French SEOs. We first document higher direct flotation costs, but also improved stock market liquidity after public offerings and standby rights relative to uninsured rights. We find that blockholder...

This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through...

ETF markets generally provide high levels of liquidity but occasionally break down under turbulent conditions. We show that this seemingly ambivalent behavior can optimally arise in an inventory model of market making that explicitly accounts for the ETF specific dual trading structure. Our...

This paper contributes to the resolution of the rights offer paradox, using a database of French SEOs. We first document higher direct flotation costs, but also improved stock market liquidity after public offerings and standby rights relative to uninsured rights. We find that blockholder...

We investigate the impact of Exchange-Traded Funds (ETFs) on their constituent securities. The analysis is performed using a novel identification which exploits the switch from synthetic to physical replication of a large French ETF. We find that, after the switch, constituent stocks experience...

This paper examines the impact of market liquidity on seasoned equity offerings (SEO) characteristics in France. We find that, besides blockholders' takeup, liquidity is an important determinant of SEO flotation method choice. We document higher direct equity offering flotation costs, but also...

This paper examines the determinants of the time it takes for an index options market to return to no arbitrage values after put-call parity deviations, using intraday transactions data from the French index options market. We employ survival analysis to characterize how limits to arbitrage...