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
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
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
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
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
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