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 (Massachusetts Institute of Technology), 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
   
• "Investment goals and mental accounting in French retail clients" by M.H. Broihanne and H. Orkut (University of Strasbourg) - Finance, 2018/1 (Vol. 39), p. 107-144 - DAILY DATA
   

• "Investor Sentiment and Stock Return Predictability: the Power of Ignorance" by Catherine D'Hondt (Louvain Finance (IMMAQ), Louvain School of Management, Catholic University of Louvain) and Patrick Roger (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg) - Finance 2017/2 (Vol. 38), p. 7-37 - 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
   

• "High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?" by Bellia Mario (Goethe University Frankfurt - Research Center SAFE); Christensen Kim (University of Aarhus - CREATES); Kolokolov Alexey (Goethe University Frankfurt - Research Center SAFE); Pelizzon Loriana (Goethe University Frankfurt - Faculty of Economics and Business Administration); Reno Roberto (Department of Economics, University of Verona) - Working paper, 2018 - 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
   
• "Fragmentation and the Price Discovery Dynamics: The Contributions of Multilateral Trading Facilities and Regulated Market" by R. Gillet and S. Ligot (Université Paris 1 Panthéon-Sorbonne) - Working paper, 2018 - HFT BEDOFIH DATA
   
• "The Equity Market and Its Price Discovery Risk: An Empirical Study for the CAC40 Stock Market Index" by R. Gillet and S. Ligot (Université Paris 1 Panthéon-Sorbonne) - 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 (Massachusetts 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