Carole Gresse

Université Paris-Dauphine, PSL

Professor of Finance

DRM

Pôle Universitaire Léonard de Vinci

Paris La Défense cedex, 92916

France

http://www.carolegresse.com

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

1.

Effects of Lit and Dark Market Fragmentation on Liquidity

Journal of Financial Markets, forthcoming
Number of pages: 63 Posted: 30 Aug 2011 Last Revised: 02 Mar 2017
Carole Gresse
Université Paris-Dauphine, PSL
Downloads 690 (36,460)
Citation 10

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Fragmentation, Liquidity, Multilateral Trading Facility (MTF), OTC trading, Internalization, Dark trading

2.

A Survey of the European IPO Market

ECMI Research Paper No. 2
Number of pages: 94 Posted: 15 Feb 2012
Jean-Francois Gajewski and Carole Gresse
University Savoie Mont-Blanc, IREGE and Université Paris-Dauphine, PSL
Downloads 509 (54,210)
Citation 1

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European, IPO, initial public offering, euronext, investment banks

Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity: Evidence from the CAC 40 Index

European Financial Management, 20(2), 352-373, 2014.
Number of pages: 38 Posted: 03 Aug 2011 Last Revised: 15 Mar 2014
EDHEC Business School, Université Paris-Dauphine, PSL and Université Paris Ouest Nanterre La Défense
Downloads 210 (144,832)
Citation 2

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Futures, Exchange-Traded Fund, ETF, Efficiency, Arbitrage, Liquidity

Direct and Indirect Effects of Index ETFs on Spot‐Futures Pricing and Liquidity: Evidence from the CAC 40 Index

European Financial Management, Vol. 20, Issue 2, pp. 352-373, 2014
Number of pages: 22 Posted: 15 Mar 2014
EDHEC Business School, Université Paris-Dauphine, PSL and Université Paris Ouest Nanterre La Défense
Downloads 1 (685,321)
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futures, exchange‐traded fund, ETF, efficiency, arbitrage, liquidity

Pension Regulation and Investment Performance: Rule-Based vs. Risk-Based

Number of pages: 12 Posted: 26 Feb 2014
Tilburg University, Amundi Asset Management, Université Paris-Dauphine, PSL and Tilburg University - Center for Economic Research (CentER)
Downloads 128 (222,989)

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funded pension, risk regulation, regulatory quality

Pension Regulation and Investment Performance: Rule-Based vs. Risk-Based

Netspar Discussion Paper No. 02/2014-005
Number of pages: 13 Posted: 26 Mar 2014
Tilburg University, Amundi Asset Management, Université Paris-Dauphine, PSL and Tilburg University - Center for Economic Research (CentER)
Downloads 73 (325,581)

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Funded pension, risk regulation, regulatory quality

5.

Rising and Senior Stars in European Financial Analyst Rankings: The Talented and the Famous

Number of pages: 42 Posted: 10 Aug 2014 Last Revised: 03 Jun 2016
Université Paris-Dauphine, PSL and Groupe ESC PAU
Downloads 101 (263,514)

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Analyst forecasts, analyst rankings, reputation, analyst recommendations

6.

Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity

Number of pages: 40 Posted: 10 Apr 2019 Last Revised: 14 Aug 2019
KU Leuven, Department Accounting, Finance and Insurance, UCLouvain, Université Paris-Dauphine, PSL and City University London - Sir John Cass Business School
Downloads 34 (449,606)

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high frequency trading (HFT), algorithmic trading (AT), fragmentation, ghost liquidity

7.

The Effect of Crossing-Network Trading on Dealer Market's Bid-Ask Spreads

European Financial Management, Vol. 12, No. 2, pp. 143-160, March 2006
Number of pages: 18 Posted: 08 May 2006
Carole Gresse
Université Paris-Dauphine, PSL
Downloads 27 (483,059)
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8.

Liquidity and Risk Sharing Benefits from Opening an ETF Market with Liquidity Providers: Evidence from the CAC 40 Index

International Review of Financial Analysis, 34, 31-43.
Posted: 12 Sep 2008 Last Revised: 16 Dec 2014
Rudy De Winne, Carole Gresse and Isabelle Platten
UCLouvain, Université Paris-Dauphine, PSL and Facultes Un. Notre-Dame de la Paix Namur (FUNDP), CEREFIM

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Exchange-traded fund (ETF), index trading, transaction costs, liquidity, risk sharing

9.

Liquidity Benefits from IPO Underpricing: Ownership Dispersion or Information Effect

Financial Management, 44(4), 785-810, 2015
Posted: 25 Aug 2008 Last Revised: 02 Mar 2017
Université Paris Dauphine, University Savoie Mont-Blanc, IREGE and Université Paris-Dauphine, PSL

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IPO, initial underpricing, ownership structure, post-listing liquidity, information asymmetry, analyst coverage

10.

Centralised Order Books Versus Hybrid Order Books: A Paired Comparison of Trading Costs on NSC (Euronext Paris) and SETS (London Stock Exchange)

Journal of Banking and Finance, Vol. 31, No. 9, 2007
Posted: 14 Jun 2003 Last Revised: 16 Dec 2014
Jean-Francois Gajewski and Carole Gresse
University Savoie Mont-Blanc, IREGE and Université Paris-Dauphine, PSL

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transaction costs, spread components, order book, hybrid market, centralised market, fragmentation

11.

The Diversion of Order Flow on French Stocks from CAC to Seaq International: A Field Study

European Financial Management, vol 4:2, July 1998
Posted: 23 Jan 1998
Bertrand Jacquillat and Carole Gresse
Associes en Finance and Université Paris-Dauphine, PSL

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