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Publications using DAILY data

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

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

Disentangling domiciles and investor locations in European mutual fund data

  • David Rakowski (The University of Texas at Arlington)

Finance Research Letters

2022

Cultural Biases in Equity Analysis

  • Vesa Pursiainen (University of St. Gallen)

Journal of Finance

2021

Publications using HFT BEDOFIH DATA

Are High-Frequency traders informed

  • P. Anagnostidis (IEF EUROFIDAI)
  • P. Fontaine (EUROFIDAI)
  • C. Varsakelis (UC Louvain)

Economic Modelling

2020

Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency

  • Stephanie Ligot (Sorbonne Management School (PRISM Sorbonne and Labex ReFi), University Paris 1 Panthéon Sorbonne)
  • Roland Gillet (Sorbonne Management School (PRISM Sorbonne and Labex ReFi), University Paris 1 Panthéon Sorbonne and Solvay Brussels School of Economics and Management (CEBRIG), ULB)
  • Iryna Veryzhenko (CNAM Paris)

Journal of International Financial Markets, Institutions & Money

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

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

Working papers using DAILY data

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

Measuring the Disposition Effect

Rudy De Winne (UCLouvain - Louvain Finance)

2021

Diversification, gambling and market forces

  • 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)

2013

Households Learning in the Dark: Evidence from Retail Traders

  • J.N. Barrot (HEC Paris)

2015

Working papers using HFT BEDOFIH DATA

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

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

Market Liquidity and Competition among Designated Market Makers

  • M. Bellia (European Union - JRC-Ispra, European Commision)
  • L. Pelizzon (Goethe University Frankfurt - Faculty of Economics and Business Administration; Leibniz Institute for Financial Research SAFE; Ca Foscari University of Venice)
  • M. G. Subrahmanyam (New York University (NYU) - Department of Finance)
  • D. Yuferova (Norwegian Schoo

2019

High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?

  • M. Bellia (Goethe University Frankfurt - Research Center SAFE)
  • K. Christensen(University of Aarhus - CREATES)
  • A. Kolokolov (Goethe University Frankfurt - Research Center SAFE)
  • L. Pelizzon (Goethe University Frankfurt - Faculty of Economics and Business Administration)
  • R. Reno (Department of Economics, University of Verona)<

2018