Skip to main content

Publications using DAILY data

Mutual Fund Proliferation and Entry Deterrence

  • Sebastien Betermier, McGill University
  • David Schumacher, McGill University
  • Ali Shahrad, University of Saskatchewan

The Review of Asset Pricing Studies

2023

Disentangling domiciles and investor locations in European mutual fund data

  • David Rakowski (The University of Texas at Arlington)

Finance Research Letters

2022

Analyst Incentives and Stock Return Synchronicity: Evidence from MiFID II

  • Yihan Li (University of Bath)
  • Xin Liu (Renmin University of China)
  • Vesa Pursiainen (University of St. Gallen and Swiss Finance Institute)

Financial Analysts Journal

2022

What drives retail portfolio exposure to ESG factors?

  • Catherine D’Hondt (UCLouvain, Louvain School of Management & Louvain Finance (LIDAM))
  • Maxime Merli (EM Strasbourg Business School, University of Strasbourg, LaRGE Research Center)
  • Tristan Roger (ICN Business School, CEREFIGE, Université de Lorraine)

Finance Research Letters

2022

Publications using HFT BEDOFIH DATA

Detecting the risk of cross-product manipulation in the EUREX fixed income futures market

  • Alexis Stenfors (University of Portsmouth)
  • Kaveesha Dilshani (University of Technology Sydney)
  • Andy Guo (University of Technology Sydney)
  • Peter Mere (Macquarie University)

Journal of Internationals FInancial Markets, Institutions and Money

2024

  • Mohammed Salek, Université Paris-Saclay, CentraleSupélec
  • Damien Challet, Université Paris-Saclay, CentraleSupélec
  • Ioane Muni Toke, Université Paris-Saclay, CentraleSupélec 

Quantitative Finance

2024

A Model to Quantify the Risk of CrossProduct Manipulation: Evidence from the European Government Bond Futures Market

  • Alexis Stenfors, University of Portsmouth
  • Kaveesha Dilshani, University of Technology Sydney
  • Andy Guo, University of Technology Sydney
  • Peter Mere, Macquarie University

Economics & Finance

2023

  • Mario Bellia, European Commission, Joint Research Centre (JRC)
  • Loriana Pelizzon, SAFE, Goethe University Frankfurt and Ca’Foscari University of Venice
  • Marti G. Subrahmanyam, Leonard N. Stern School of Business, New York University and NYU Shanghai
  • Darya Yuferova, Norwegian School of Economics (NHH)

Management Science

2024

Working papers using DAILY data

In search of positive skewness: the case of individual investors

  • M.H. Broihanne (LaRGE Research Center, EM Strasbourg Business School)
  • M. Merli (LaRGE Research Center, EM Strasbourg Business School)
  • P. Roger (LaRGE Research Center, EM Strasbourg Business School)

June 2012

Measuring the Disposition Effect

Rudy De Winne (UCLouvain - Louvain Finance)

2021

CEO Compensation and Risk-Taking: Evidence from Listed European Hotel Firms

  • Olga Fullana (Universitat de València)
  • Alba María Priego de la Cruz (University of Castilla-La Mancha)
  • David Toscano (University of Liverpool; University of Huelva)

2020

The Impact of UCITS IV Directive on European Mutual Funds Performance

  • Khim Veasna (University of Lorraine - CEREFIGE Research Center)
  • Hery Razafitombo (University of Lorraine - CEREFIGE Research Center)

2018

Working papers using HFT BEDOFIH DATA

Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement

  • T. Fabre (CentraleSupélec, Université Paris-Saclay)
  • V. Ragel (CentraleSupélec, Université Paris-Saclay) 

2023

Price impact in equity auctions: zero, then linear

  • Mohammed Salek (Université Paris-Saclay, CentraleSupélec)
  • Damien Challet (Université Paris-Saclay, CentraleSupélec)
  • Ioane Muni Toke (Université Paris-Saclay, CentraleSupélec)

Université Paris-Saclay

2023

Resiliency: Cross-Venue Dynamics with Hawkes Processes

  • Loriana Pelizzon (Goethe University Frankfurt - Faculty of Economics and Business Administration; Leibniz Institute for Financial Research SAFE)
  • Ca Foscari (University of Venice)
  • Satchit Sagade (Goethe University Frankfurt - Department of Finance; Leibniz Institute for Financial Research SAFE)
  • Katia Vozian (Hanken School of Economics

2020

Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk

  • Alejandro Bernales (Universidad de Chile)
  • Nicolás Garrido (University of Chile)
  • Satchit Sagade (Goethe University Frankfurt - Department of Finance; Leibniz Institute for Financial Research SAFE)
  • Marcela Valenzuela (Pontificia Universidad Católica de Chile)
  • Christian Westheide (University of Vienna - Department of Finance;

2018