This paper is a concise review of the equity markets' reaction to the COVIDcrisis in 2020. Relative to other global institutions, equity markets performed remarkably well in 2020 and investors ought not to be ashamed of their reactions relative to consumers. It would be a terrible abuse of...

We take a new look at the resampled efficiency technique developed by Michaud (1998) and compare it with the Markowitz mean-variance portfolio construction technique by assessing the performance of three representative portfolios, i.e. the global minimum variance portfolio, the intermediate...

We investigate how informative is price dynamics to estimate contemporaneous intraday liquidity on Euronext for three market capitalization classes: small, mid, and large caps. Liquidity is measured by a comprehensive set of both book-based and trade-based proxies. Price dynamics is captured by...

Using the Exchange Liquidity Measure, we show that implicit transaction costs exhibit intraday regularities around specific price change signals for a sample of European blue chips publicly quoted on Euronext. Not only transaction costs follow a reverse J-shape throughout the day, but they also...