Publications using data from EUROFIDAI

This page presents publications whose authors used EUROFIDAI services, daily or high frequency data.

• "The Globalization Risk Premium" by J.-N. Barrot (MIT), E. Loualiche (University of Minnesota), and J. Sauvagnat (Bocconi University) - Journal of Finance, forthcoming - DAILY DATA
   
• "Financial Institutions Network and the Certification Value of Bank Loans" by C. J. Godlewski (University of Strasbourg) and B. Sanditov (Telecom Ecole de Management, Institut Mines-Telecom Paris) - Financial Management, Volume 47, Issue 2, Summer 2018, 253-283 - DAILY DATA
   
• "Financial Transaction Taxes, Market Composition and Liquidity" by J.E. Colliard (HEC Paris) and P. Hoffmann (European Central Bank) - Journal of Finance, Volume 72, Issue 6, December 2017, 2685-2716 - HFT BEDOFIH DATA
   
• "Liquidity Provision, Commonality and High Frequency Trading" by P. Anagnostidis (IEF EUROFIDAI) and P. Fontaine (EUROFIDAI) - Working paper, 2018 - HFT BEDOFIH DATA
   
• "Price efficiency and High Frequency Trading in call auctions" by P. Anagnostidis (IEF EUROFIDAI), P. Fontaine (EUROFIDAI), and C. Varsakelis (Université Catholique de Louvain) - Working paper, 2018 - HFT BEDOFIH DATA
   
• "Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options" by A. Rathgeber (University of Augsburg), J. Stadler (University of Augsburg) and M. Ulze (University of Augsburg) - Working paper, 2017 - HFT BEDOFIH DATA
   
• "High-Frequency Market Making: Liquidity Provision, Adverse Selection, and Competition" by M. Bellia (Goethe University Frankfurt, Research Center SAFE) - Working paper, 2017 - HFT BEDOFIH DATA
   
• "Coming Early to the Party: High Frequency Traders in the Pre-Opening Phase and the Opening Auction of NYSE Euronext Paris" by M. Bellia (SAFE - Goethe University Frankfurt), L. Pelizzon (SAFE - Goethe University Frankfurt), M. G. Subrahmanyam (Leonard N. Stern School of Business - New York University), J. Uno (Waseda University Tokyo) and D. Yuferova (Norwegian School of Economics) - Working paper, 2017 - HFT BEDOFIH DATA
   
• "The Role of Pre-Opening Mechanisms in Fragmented Markets" by S. Boussetta (University of Toulouse 1), L. Lescourret (ESSEC Business School) and S. Moinas (Toulouse School of Economics) - Working paper, 2017 - HFT BEDOFIH DATA
   
• "When cutting dividends is not bad news: The case of optional stock dividends" by T. David and E. Ginglinger (Paris-Dauphine University) - Journal of Corporate Finance, 2016, 40, 174-191 - DAILY DATA
   
• "Diversification, gambling and market forces" by M-H. Broihanne, M. Merli, P. Roger (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg) - Review of Quantitative Finance and Accounting, 2016, 47, 129-157 - DAILY DATA
   
• "Are Retail Traders Compensated for Providing Liquidity?" by J.N. Barrot (Massachsetts Institute of Technology), R. Kaniel (University of Rochester), David Sraer (Princeton University) - Journal of Financial Economics, April 2016 - DAILY DATA
   
• "Why Do Companies Switch the Listing Section of Their Common Stocks" by P. Fontaine, A. K. Cisse - Research in International Business and Finance, N°36, 2016, pp 624-640 - DAILY DATA
   
• "Repurchase behavior of individual investors, sophistication and regret" by M. Merli, C. Magron (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg) -  Journal of Banking and Finance, December 2015, 61, 15-26 - DAILY DATA
   
• "Through the looking glass: Indirect inference via simple equilibria" by L. Calvet et V. Czellar (HEC Paris) - Journal of Econometrics, 2015, volume 185, issue 2, April 2015, pages 343-358 - DAILY DATA
   
• "Accurate Methods for Approximate Bayesian Computation Filtering" by L. Calvet and V. Czellar (HEC Paris) - Journal of Financial Econometrics, 2015, 13(4), 798-838 - DAILY DATA
   
• "Consequences of Voluntary Stock Exchange Section Switching on Stocks Price, Liquidity and Volatility" par P. Fontaine et A. K. Cisse - Bankers, Markets and Investors, N°136-137, mai-juillet 2015, pp 42-62 - DAILY DATA
   
• "The 99% Market Sentiment Index" by P. Roger (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg) - Finance 2014/3 (35), 53-96 - DAILY DATA
   
• "Employee Ownership: a Theoretical and Empirical Investigation of Management Entrenchment vs. Reward Management" by N. Aubert (Toulon University and INSEEC Business School), G. Garnotel (INSEEC Business School), A. Lapied (Aix-Marseille University) and P. Rousseau (Aix-Marseille University) - Economic Modelling, 2014, vol. 40, issue C, 423-434 - DAILY DATA
   
• "What drives the herding behavior of individual investors?" by M. Merli (LaRGE Research Center, EM Strasbourg Business School), T. Roger (Paris Dauphine University) - December 2013, Finance 34(3) - DAILY DATA
   
• "Global, Local, and Contagious Investor Sentiment" by M. Baker (Harvard Business School and NBER), J. Wurgler (NYU Stern School of Business and NBER), Y. Yu (Wharton School of Business) - Journal of Financial Economics, 2012, 104(2), 272-287 - DAILY DATA
   
• "Individual Investors and Volatility" by T. Foucault, D. Thesmar (HEC Paris), D. Sraer (Princeton University) - Journal of Finance, August 2011, 66 (4), 1369-1406 - DAILY DATA
   
• "How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data" by M. Zouaoui (University of Franche-Comté and LEG UMR 5118), G. Nouyrigat (University of Grenoble), F. Beer (California State University of San Bernardino)  - The Financial Review, 2011, 46 - DAILY DATA
   
• "Households Learning in the Dark: Evidence from Retail Traders" by J.N. Barrot (HEC Paris) - Working paper, August 2012 - DAILY DATA
   
• "Informed and Uninformed traders at work: Evidence from the French Market" by F. Ferriani (University of Bologna) - Working paper, June 2011 - HFT DATA
   
• "In search of positive skewness: the case of individual investors" by M.H. Broihanne, M. Merli, P. Roger (LaRGE Research Center, EM Strasbourg Business School) - Working paper, June 2012 - DAILY DATA