Mikael Petitjean

Catholic University of Lille - IÉSEG School of Management, Lille Campus

3 rue de la Digue

Lille, 59000

France

Lille Economie & Management (LEM) UMR 9221

Lille

France

Louvain School of Management (UCL)

Associate Professor of Finance

Belgium

Catholic University of Louvain (UCL) - Louvain Finance (LFIN)

34 Voie du Roman Pays - L1.03.01

Louvain-la-Neuve, 1348

Belgium

SCHOLARLY PAPERS

39

DOWNLOADS
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Top 15,464

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4,500

SSRN CITATIONS
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SSRN RANKINGS

Top 20,563

in Total Papers Citations

40

CROSSREF CITATIONS

9

Scholarly Papers (39)

1.

The Intraday Performance of Market Timing Strategies and Trading Systems Based on Japanese Candlesticks

Quantitative Finance, vol. 13 (7), 2013
Number of pages: 27 Posted: 08 Aug 2012 Last Revised: 23 Jan 2016
Matthieu Du Duvinage, Paolo Mazza and Mikael Petitjean
National Bank of Belgium, IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 887 (37,029)
Citation 4

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Technical analysis, trading systems, market timing, bootstrap, SSPA, Japanese candlesticks

2.

Dynamic Asset Allocation between Stocks and Bonds Using the Bond-Equity Yield Ratio

CORE Discussion Paper No. 2005/10
Number of pages: 55 Posted: 23 Feb 2006
Pierre Giot and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 482 (81,627)

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3.

Intraday Liquidity Dynamics and News Releases around Price Jumps: Evidence from the DJIA Stocks

Journal of Financial Markets, 17, 121–149
Number of pages: 39 Posted: 03 Dec 2010 Last Revised: 22 Jan 2016
Kris Boudt and Mikael Petitjean
Ghent University and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 365 (112,727)
Citation 9

Abstract:

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High-frequency data, liquidity, news, price jumps, volatility

4.

On the statistical and economic performance of stock return predictive regression models: an international perspective

Quantitative FInance, Vol. 11 (2), 2011
Number of pages: 36 Posted: 06 Dec 2006 Last Revised: 19 Jan 2021
Pierre Giot and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 309 (134,859)
Citation 5

Abstract:

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predictability, profitability, efficiency, out-of-sample.

5.

Short-Term Market Timing Using the Bond-Equity Yield Ratio

European Journal of Finance, 15(4), 2009.
Number of pages: 28 Posted: 06 Dec 2006 Last Revised: 23 Jan 2016
Pierre Giot and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 309 (134,859)
Citation 3

Abstract:

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6.

Factor Structure in Cryptocurrency Returns and Volatility

Number of pages: 53 Posted: 30 May 2019 Last Revised: 19 Jun 2021
Jiatao Liu, Ian W. Marsh, Paolo Mazza and Mikael Petitjean
Cass Business School, City University London - Sir John Cass Business School, IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 293 (142,618)
Citation 2

Abstract:

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Cryptocurrency, Factor Structure, Bitcoin Bubble, Realised Volatility

7.

Bank Failures and Regulation: A Critical Review

Journal of Financial Regulation and Compliance, Vol. 21(1), 2013
Number of pages: 27 Posted: 23 Jan 2016
Mikael Petitjean
Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 199 (207,564)
Citation 2

Abstract:

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Banks, Regulation, Bank failures, Basel

8.

What drives retail investment in passive exchange-traded funds?

Number of pages: 34 Posted: 17 Feb 2020 Last Revised: 22 Jan 2022
UCLouvain, Louvain School of Management - Louvain Finance, UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 190 (216,373)
Citation 1

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Behavioral biases, ETFs, Financial literacy, Passive investing, Retail investors

9.

The Information Content of the Bond-Equity Yield Ratio: Better than a Random Walk?

International Journal of Forecasting, Vol. 27, No. 2, 2007
Number of pages: 46 Posted: 06 Dec 2006 Last Revised: 23 Jan 2016
Pierre Giot and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 186 (220,419)
Citation 2

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10.

Trading Activity, Realized Volatility and Jumps

Journal of Empirical Finance, Vol. 17, 2010
Number of pages: 35 Posted: 19 Jan 2009 Last Revised: 23 Jan 2016
Pierre Giot, Sébastien Laurent and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP), AMSE and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 162 (247,796)
Citation 10

Abstract:

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volume, volatility, transactions, jumps, bi-power variation

11.

To What Extent is Resampling Useful in Portfolio Management?

Applied Economics Letters, Vol. 18, Nos. 1-3, 2011
Number of pages: 12 Posted: 23 Jan 2016
Francois Delcourt and Mikael Petitjean
Business Consultant and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 122 (309,209)

Abstract:

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sampling error, resampling, Markowitz, Michaud

12.

The Performance of Popular Stochastic Volatility Option Pricing Models During the Subprime Crisis

Applied Financial Economics, Vol. 21, No. 4, 2011
Number of pages: 21 Posted: 23 Jan 2016
Thibaut Moyaert and Mikael Petitjean
Louvain School of Management (UCL) and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 106 (341,145)

Abstract:

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Heston, stochastic volatility, out-of-sample, delta hedge, forecasting

13.

Testing the Profitability of Contrarian Trading Strategies Based on the Overreaction Hypothesis

Bankers, Markets, and Investors, Vol. 133, 2014
Number of pages: 17 Posted: 22 Jan 2016 Last Revised: 28 Apr 2021
Matthieu Du Duvinage, Paolo Mazza and Mikael Petitjean
National Bank of Belgium, IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 103 (347,634)
Citation 1

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Return predictability, high market variation, overreaction, behaviorial bias, SSPA

14.

Does Holding Passive ETFs Change Retail Investors’ Trading Behavior for the Better?

Number of pages: 31 Posted: 02 Mar 2021
UCLouvain, Louvain School of Management - Louvain Finance, UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 86 (389,521)

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ETFs, Stocks, Retail Investors, Passive Investing, Gambling Behavior

15.

The Rise of Fast Trading: Curse or Blessing for Liquidity?

Forthcoming in Finance, the French Finance Association Review
Number of pages: 45 Posted: 10 May 2019 Last Revised: 10 Jun 2021
Christophe Desagre, Catherine D'Hondt and Mikael Petitjean
Catholic University of Louvain (UCL) - Louvain Finance (LFIN), UCLouvain, Louvain School of Management - Louvain Finance and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 71 (434,220)

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Liquidity, Fast Trading, Stock Exchanges, Full Order Book, Market Member ID, Euronext

16.

Determining an Optimal Multiplier in Dynamic Core-Satellite Strategies

Journal of Asset Management, Vol. 14(4), 2013
Number of pages: 25 Posted: 25 Jan 2016
Thibaut Caliman, Catherine D'Hondt and Mikael Petitjean
Louvain School of Management (UCL), UCLouvain, Louvain School of Management - Louvain Finance and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 68 (444,236)

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Dynamic, core, satellite, multiplier, downside risk, protection

17.

On the Usefulness of Intraday Price Ranges to Gauge Liquidity in Cap-Based Portfolios

Economic Modelling, Vol. 54, 2016
Number of pages: 37 Posted: 17 Jul 2013 Last Revised: 23 Jan 2016
Paolo Mazza and Mikael Petitjean
IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 67 (447,726)
Citation 2

Abstract:

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Liquidity, Price Dynamics, Intraday, Panel

18.

Liquidity Co-Movements and Volatility Regimes in Cryptocurrencies

Number of pages: 22 Posted: 19 Jan 2021
affiliation not provided to SSRN, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), affiliation not provided to SSRN and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 64 (458,194)

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Liquidity, co-movements, bitcoin, volatility, cryptos

19.

Eco-Friendly Policies and Financial Performance: Was the Financial Crisis a Game Changer for Large US Companies?

Energy Economics, Vol. 80, 2019
Number of pages: 22 Posted: 21 Jan 2021
Mikael Petitjean
Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 58 (480,753)

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Financial crisis, Environmental performance, Financial performance

20.

Judging the Functioning of Equity Markets in 2020

Forthcoming, Bankers, Markets and Investors
Number of pages: 16 Posted: 20 Jan 2021 Last Revised: 26 Apr 2021
Mikael Petitjean
Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 56 (488,411)

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Equity markets, COVID, crisis, irrationality, market review, CAPE, ECAPEY, BEYR, bond, Tesla, liquidity, money supply, central banks, beauty context, system 1, system 2, small, mid, large, Nasdaq, tech, sector indices, valuation

21.

Capital-risque et performance à court terme de l’entreprise après introduction en bourse (Venture Capital and Post-IPO Short-Term Firm Performance)

Number of pages: 14 Posted: 21 Jan 2021
Victor Boullenger, Mikael Petitjean and Patrick Daguet
affiliation not provided to SSRN, Catholic University of Lille - IÉSEG School of Management, Lille Campus and IESEG School of Management
Downloads 55 (492,368)

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Venture capital, IPO, short-term, performance, firms, US

22.

How Integrated is the European Carbon Derivatives Market?

Finance Research Letters, Vol. 15, 2015
Number of pages: 24 Posted: 22 Jan 2016
Paolo Mazza and Mikael Petitjean
IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 52 (504,814)

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Carbon, derivatives, EU ETS, cointegration, volatility, futures

23.

Market Instability and Technical Trading at High Frequency: Evidence from NASDAQ Stocks

Economic Modelling, Forthcoming
Number of pages: 30 Posted: 08 Jul 2021
Deniz Erdemlioglu, Mikael Petitjean and Nicolas Vargas
IESEG School of Management, LEM-CNRS 9221, France, Catholic University of Lille - IÉSEG School of Management, Lille Campus and affiliation not provided to SSRN
Downloads 27 (634,632)

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Market instability, Jumps, Volatility, Trading signals, Technical analysis, High-frequency data, NASDAQ, Sectoral analysis, Small-cap stocks

24.

Gestion du risque et investissement dans les hedge funds : le cas de la faillite d’Amaranth Advisors (Risk Management and Investment in Hedge Funds: The Amaranth Case)

Revue Sciences de Gestion, vol. 46, n°249-250, 27-32, 2011.
Number of pages: 18 Posted: 21 Jan 2021
Mikael Petitjean and Sébastien Lebrun
Catholic University of Lille - IÉSEG School of Management, Lille Campus and affiliation not provided to SSRN
Downloads 24 (655,515)

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risk, management, hedge funds, collapse, bankruptcy, Amaranth, Alpha League, LTCM

25.

Testing the Effect of Technical Analysis on Market Quality and Order Book Dynamics

Applied Economics, Volume 51, 2019 - Issue 18, 1947-1976.
Number of pages: 36 Posted: 21 Jan 2021
Paolo Mazza and Mikael Petitjean
IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 21 (677,354)

Abstract:

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Agent-based model, Liquidity, Technical Analysis, Limit Order Market

26.

De l’(in)utilité des agences de notation (On the (Dis)utility of Credit Rating Agencies)

Regards économiques, septembre 2012, numéro 98.
Number of pages: 20 Posted: 21 Jan 2021
Mikael Petitjean
Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 19 (692,384)

Abstract:

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agences de notation, rating agencies

27.

Implicit Transaction Cost Management Using Intraday Price Dynamics

Applied Economics, vol. 50 (39), 4264-4274, 2018
Number of pages: 24 Posted: 21 Jan 2021
Paolo Mazza and Mikael Petitjean
IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 18 (700,030)
Citation 1

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XLM, Transaction costs, Liquidity, Execution

28.

What Explains the Success of Reward-Based Crowdfunding Campaigns As They Unfold?

Finance Research Letters, Vol. 26, 2018
Number of pages: 8 Posted: 21 Jan 2021
Mikael Petitjean
Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 17 (707,910)

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Crowdfunding, factors, success, binary response models

29.

De la médiocrité des conseils d’investissement de Test-Achats invest sur actions individuelles (On the Poor Investment Recommendations of Test-Achats Investment Letters on Individual Stocks)

Brussels Economic Review, vol. 57 (3), 399-421, 2014.
Number of pages: 23 Posted: 10 Mar 2021
Camille Godart and Mikael Petitjean
affiliation not provided to SSRN and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 13 (740,652)

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Active portfolio management, stock market investing, investor protection, performance measurement

30.

Conditions concurrentielles au sein du secteur bancaire belge entre 2002 et 2008 (Competitive Conditions in the Belgian Banking Sector between 2002 and 2008)

Revue Bancaire et Financière (Bank- en Financiewezen), vol. 8, 499-505, 2010
Number of pages: 7 Posted: 21 Jan 2021
Mikael Petitjean and Hervé Sauvage
Catholic University of Lille - IÉSEG School of Management, Lille Campus and affiliation not provided to SSRN
Downloads 12 (749,457)

Abstract:

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Banking, Belgium, competition, Herfindahl-Hirschman Index, Panzar, Rosse

31.

Biais comportementaux, aléa moral et juste régulation (Behavioral Biases, Moral Hazard, and Fair Regulation)

Revue Bancaire et Financière (Bank- en Financiewezen), vol. 1, 63-71, 2009
Number of pages: 9 Posted: 21 Jan 2021
Mikael Petitjean
Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 12 (749,457)

Abstract:

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banks, financial institutions, incentives, regulation, negative externalities

32.

Déduction pour intérêts notionnels et diminution du coût des fonds propres : Une application empirique du MEDAF (Notional Interest Deduction and Cost of Equity Reduction: An Empirical Application of the CAPM)

Revue Bancaire et Financière (Bank- en Financiewezen), vol. 2-3, 178-185, 2009
Number of pages: 8 Posted: 21 Jan 2021
Mikael Petitjean and Saïd Taleb
Catholic University of Lille - IÉSEG School of Management, Lille Campus and affiliation not provided to SSRN
Downloads 10 (767,077)

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Notional interests, cost of equity, CAPM

33.

Volume, changement de cotation et contrat de liquidité sur Alternext (Volume, Listing Changes and Liquidity Contract on Alternext)

Revue Bancaire et Financière (Bank- en Financiewezen), vol. 8, 488-496, 2008
Number of pages: 9 Posted: 21 Jan 2021
Mikael Petitjean and Jean Waelput
Catholic University of Lille - IÉSEG School of Management, Lille Campus and affiliation not provided to SSRN
Downloads 10 (767,077)

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fixing, continuous trading, liquidity provider, Alternext, volume, switch

34.

Variations communes de liquidité au sein de portefeuilles de faible, moyenne et forte capitalisation: les enseignements des crises financières asiatique et russe (Commonalities in Liquidity within Size-Based Portfolios: What Do We Learn from the Asian and Russian Financial Crises?)

Revue Bancaire et Financière (Bank- en Financiewezen), vol. 1, 49-56, 2010
Number of pages: 8 Posted: 21 Jan 2021
Renaud Beaupain, Stéphanie Dauginet and Mikael Petitjean
Catholic University of Lille - IESEG School of Management, affiliation not provided to SSRN and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 7 (794,608)

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commonalities, liquidity, market cap, co-movements, crises, crisis, NYSE

35.

Volatility regimes and liquidity co-movements in cap-based portfolios

Finance (Journal of the French Finance Association), Vol. 31 (1), 2010
Number of pages: 29 Posted: 21 Mar 2007 Last Revised: 19 Jan 2021
Renaud Beaupain, Pierre Giot and Mikael Petitjean
Catholic University of Lille - IESEG School of Management, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 7 (794,608)
Citation 1

Abstract:

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commonality, liquidity, volatility, regime, market, capitalization, index

36.

Extreme Events and the Cumulative Distribution of Net Gains in Gambling and Structured Products

Applied Economics, Volume 50, 2018 - Issue 58.
Number of pages: 37 Posted: 21 Jan 2021
Frédéric D. Vrins and Mikael Petitjean
LFIN/LIDAM, UCLouvain and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 6 (803,925)

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Extreme events, ethical communication, distribution of gains, simulations, gambling, lotteries, structured products

37.

Political Idealism and Economic Realism: A Forced Marriage to Preserve the Eurozone

Revue Bancaire et Financière (Bank- en Financiewezen), vol. 4, 215-223, 2012.
Number of pages: 11 Posted: 21 Jan 2021
Mikael Petitjean
Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 4 (822,697)

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Eurozone crisis, financial regulation, structural measures, stability

38.

Liquidity and CDS Premiums on European Companies Around the Subprime Crisis

Review of Derivatives Research, Vol. 15, No. 3, 2012
Number of pages: 29 Posted: 23 Jan 2016 Last Revised: 19 Jan 2021
Independent, Financial Services and Markets Authority (FSMA) and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 3 (832,739)
Citation 4

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CDS, Liquidity, Subprime crisis

39.

Mini Flash Crashes: Review, Taxonomy and Policy Responses

Bulletin of Economic Research, vol. 72 (3), 251-271, 2020.
Posted: 21 Jan 2021
Floris Laly and Mikael Petitjean
Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and Catholic University of Lille - IÉSEG School of Management, Lille Campus

Abstract:

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Other Papers (1)

Total Downloads: 8
1.

Intraday Liquidity and Trading Dynamics Around Extreme Price Movements in Cryptocurrencies

Number of pages: 34 Posted: 04 Mar 2020
Christophe Desagre, Paolo Mazza and Mikael Petitjean
Catholic University of Louvain (UCL) - Louvain Finance (LFIN), IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 8

Abstract:

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cryptocurrencies, liquidity, trading activity, bitcoin