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Publications using DAILY data

Cultural Biases in Equity Analysis

  • Vesa Pursiainen (University of St. Gallen)

Journal of Finance

2021

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

Equity auction dynamics: latent liquidity models with activity acceleration

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

Université Paris-Saclay

Market Liquidity and Competition among Designated Market Makers

  • Mario Bellia, European Commission, Joint Research Centre (JRC), Italy
  • 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

2023

Are retail investors less aggressive on small price stocks?

  • C. Métais (Université de Strasbourg, LaRGE Research Center)
  • T. Roger (ICN Business School, CEREFIGE, Université de Lorraine)

Journal of Financial Markets

2021

No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process

  • Markus Ulze (Institute of Materials Resource Management, University of Augsburg)
  • Johannes Stadler (Institute of Materials Resource Management, University of Augsburg)
  • Andreas W.Rathgeber (Institute of Materials Resource Management, University of Augsburg)

The Quarterly Review of Economics and Finance

2021

Working papers using DAILY data

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

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

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

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

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)

2023

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

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