Using daily options prices on the Eurostoxx 50 stock index over the whole year 2008, we compare the performance of three popular stochastic volatility models (Heston, 1993; Bates, 1996; Heston and Nandi, 2'007, in addition to the traditional Black-Scholes model and a proprietary trading desk model. We...

This study aims at forecasting periods of intraday low execution price uncertainty. We compute an adjusted Amihud illiquidity ratio to detect those periods in the stock market. Our methodology is built around a fixed volume event chart and presents a threefold advantage. First, we solve the non...

Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine the activity of a common ELP type – high frequency traders (HFTs) – around extreme price movements (EPMs). We find that on average HFTs provide liquidity during EPMs by absorbing imbalances created by...

Since the 1990's run up in stock prices and subsequent crashes, the financial community has taken a dim view of the traditional valuation ratios and has instead turned its attention to a new valuation ratio: the Bond-Equity Yield Ratio (BEYR). In this paper we provide the first comprehensive,...

The Bond-Equity Yield Ratio (BEYR) has recently become a popular relative pricing tool favored by market practitioners. In this paper we compare the short-term profitability of a naive strategy based on the extreme values of the BEYR to the short-term profitability of a more sophisticated...

We put forward the Bond-Equity Yield Ratio (BEYR) as a criterium to dynamically allocate capital between equities and bonds on a short-term basis. Relying upon 30 years of monthly data for a large collection of countries, we use the cointegration, regimeswitching and ARMA-GARCH type...

Liquidity co-movements are studied within three different market capitalization indices, each made up of 100 NYSE stocks. Long-run liquidity co-movements are quantified in each class and compared to short-run liquidity co-movements. To condition the analysis of systematic liquidity upon index...

The predictability of stock returns in ten countries is assessed taking into account recently developed out-of-sample statistical tests and risk-adjusted metrics. Predictive variables include both valuation ratios and interest rate variables. Out-of-sample predictive power is found to be...

We find significant evidence of liquidity commonalities among cryptos, in particular when liquidity is estimated by relying on order-book-based proxies. Both the magnitude and pervasiveness of these co-movements are very similar to those estimated for US stocks 10 and 20 years ago. When we...

French Abstract. L’objectif de cet article est de mieux comprendre l’impact que le capital-risque peut avoir sur la performance à court terme des entreprises après leur introduction en bourse. Notre échantillon est composé de 601 entreprises ayant été introduites en bourse sur les...