Alfonso Dufour

ICMA Centre, Henley Business School, University of Reading

Associate Professor of Finance

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

  • ICMA Centre, Henley Business School, University of Reading

SCHOLARLY PAPERS

27

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SSRN CITATIONS
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Top 41,133

in Total Papers Citations

13

CROSSREF CITATIONS

4

Scholarly Papers (27)

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1.

The Determinants of a Cross Market Arbitrage Opportunity: Theory and Evidence for the European Bond Market

Number of pages: 30 Posted: 07 Jun 2010 Last Revised: 26 Jan 2015
Marcelo Perlin, Alfonso Dufour and Chris Brooks
Escola de Administração - UFRGS, ICMA Centre, Henley Business School, University of Reading and University of Bristol - School of Economics, Finance and Management
Downloads 370 (125,834)

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Arbitrage Opportunities, Negative Spreads, Market Microstructure, Market Efficiency

2.

An Empirical Model for Spillover Effects in Price Discovery with Application to the European Bond Market

Number of pages: 22 Posted: 15 Apr 2010 Last Revised: 16 Aug 2012
Marcelo Perlin, Alfonso Dufour and Chris Brooks
Escola de Administração - UFRGS, ICMA Centre, Henley Business School, University of Reading and University of Bristol - School of Economics, Finance and Management
Downloads 341 (137,647)

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market microstructure, spillover effect, commonalities, liquidity, price impact of a trade

3.

Credit and Liquidity Components of Corporate CDS Spreads

Number of pages: 41 Posted: 26 Feb 2012 Last Revised: 09 Jul 2013
Filippo Coro, Alfonso Dufour and Simone Varotto
University of Reading, ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 323 (145,739)
Citation 5

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CDS, Liquidity, Credit Risk, Financial Crisis, Informed trading, Trade impact

4.

Degrees of Specialness: An Empirical Analysis of the Italian BTP Repo Market

Number of pages: 30 Posted: 23 Jan 2006
Frank S. Skinner and Alfonso Dufour
Brunel University and ICMA Centre, Henley Business School, University of Reading
Downloads 231 (204,686)

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Repo, Bonds, Credit risk, Liquidity

5.

The Shape and Information Content of a Post-MiFID Limit Order Book

Number of pages: 32 Posted: 14 Mar 2013
Alfonso Dufour and Satchit Sagade
ICMA Centre, Henley Business School, University of Reading and Nasdaq, Inc.
Downloads 204 (230,065)

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Limit Order Books, Information Content, MiFID, Transaction Costs, Order Book Slope

6.

The Differential Impact of Leverage on the Default Risk of Small and Large Firms

Number of pages: 83 Posted: 17 Aug 2018 Last Revised: 04 Nov 2019
Lara Cathcart, Alfonso Dufour, Ludovico Rossi and Simone Varotto
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading, CUNEF Universidad and ICMA Centre - Henley Business School, University of Reading
Downloads 195 (239,490)

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7.

On the Performance of the Tick Test

Quarterly Review of Economics and Finance, Vol. 54, No. 1, 2014
Number of pages: 22 Posted: 22 Jul 2011 Last Revised: 27 Jan 2015
Marcelo Perlin, Chris Brooks and Alfonso Dufour
Escola de Administração - UFRGS, University of Bristol - School of Economics, Finance and Management and ICMA Centre, Henley Business School, University of Reading
Downloads 191 (243,960)
Citation 1

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tick test, market microstructure, sign of a trade, PIN

8.

Permanent Trading Impacts and Bond Yields

Number of pages: 45 Posted: 29 Jun 2009 Last Revised: 02 Aug 2011
Alfonso Dufour and Minh Nguyen
ICMA Centre, Henley Business School, University of Reading and Newcastle University Business School
Downloads 186 (249,656)
Citation 6

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Bond markets, Liquidity, Information asymmetry

9.

Explaining Repo Specialness

Number of pages: 56 Posted: 22 Mar 2017
Alfonso Dufour, Miriam Marra, Ivan Sangiorgi and Frank S. Skinner
ICMA Centre, Henley Business School, University of Reading, University of Reading - ICMA Centre, Henley Business School, ICMA Centre, Henley Business School, University of Reading and Brunel University
Downloads 181 (255,783)

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Repo Specialness, Short-Selling, Fire-Sales, Liquidity, Auctions, High Frequency Data

10.

The Equity-Like Behaviour of Sovereign Bonds

Number of pages: 48 Posted: 08 Oct 2014 Last Revised: 22 Mar 2016
Alfonso Dufour, Andrei Stancu and Simone Varotto
ICMA Centre, Henley Business School, University of Reading, University of East Anglia (UEA) - Norwich Business School and ICMA Centre - Henley Business School, University of Reading
Downloads 146 (306,356)
Citation 1

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Government Bonds, Stock-Bond Co-movements, Subprime Crisis, Sovereign Debt Crisis, Credit Risk, Liquidity Risk.

11.

Euro Area Government Bond Market Liquidity

Number of pages: 45 Posted: 29 Jul 2014 Last Revised: 13 Aug 2015
Madhucchand Darbha and Alfonso Dufour
University of Reading - ICMA Centre and ICMA Centre, Henley Business School, University of Reading
Downloads 118 (362,201)
Citation 4

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Market Microstructure, Asset Pricing, Liquidity, Sovereign Debt Crisis

12.

Deal Complexity, Default Risk and the Resilience of the Mortgage-Backed Securities Market

Number of pages: 53 Posted: 27 Apr 2021 Last Revised: 26 Jul 2021
Monica Billio, Monica Billio, Alfonso Dufour, Samuele Segato and Simone Varotto
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, ICMA Centre, Henley Business School, University of Reading, ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 109 (380,720)

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Asset-Backed Securities, STS Securitisation, Residential Mortgage-Backed Securities, Default Risk, COVID-19 pandemic

13.

Bond Supply Expectations and the Term Structure of Interest Rates

Number of pages: 62 Posted: 01 Jul 2020
Monica Billio, Monica Billio, Filippo Busetto, Alfonso Dufour and Simone Varotto
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, European Central Bank (ECB), ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 109 (380,720)

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Expected Supply, Quantitative Easing, Term Structure, Interest Rates, Government Bonds

14.

COVID-19 and Fiscal Policy in the Euro Area

A New World Post COVID-19: Lessons for Business, the Finance Industry and Policy Makers, 2020
Number of pages: 14 Posted: 05 Aug 2020
Filippo Busetto, Alfonso Dufour and Simone Varotto
European Central Bank (ECB), ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 108 (383,203)

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Fiscal Policy, Debt, COVID-19, Interest Rates, Sovereign Yields

15.

Corporate Bankruptcy and Banking Deregulation: the Effect of Financial Leverage

Downloads 100 (403,848)

Corporate Bankruptcy and Banking Deregulation: the Effect of Financial Leverage

Number of pages: 58 Posted: 17 Apr 2021 Last Revised: 23 Nov 2022
Lara Cathcart, Alfonso Dufour, Ludovico Rossi and Simone Varotto
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading, CUNEF Universidad and ICMA Centre - Henley Business School, University of Reading
Downloads 89 (439,224)

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banking deregulation; banking competition; bankruptcy risk; debt maturity; financial constraints; financial leverage

Corporate Bankruptcy and Banking Deregulation: The Effect of Financial Leverage

Number of pages: 59 Posted: 29 Nov 2022
Lara Cathcart, Alfonso Dufour, Ludovico Rossi and Simone Varotto
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading, CUNEF Universidad and ICMA Centre - Henley Business School, University of Reading
Downloads 11 (890,388)

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banking deregulation, banking competition, bankruptcy risk, debt maturity, financial constraints, financial leverage

16.

Modeling Intraday Volatility in European Bond Markets: A Data Filtering Application

Number of pages: 50 Posted: 12 Jan 2018 Last Revised: 09 Feb 2019
Hanyu Zhang and Alfonso Dufour
Central University of Finance and Economics (CUFE) - China Economics and Management Academy and ICMA Centre, Henley Business School, University of Reading
Downloads 76 (477,924)

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Financial Econometrics, GARCH, High-Frequency Data, Data Filter

17.

Intraday Dynamics and Determinants of CCP and Bilateral General-Collateral Repos

Number of pages: 71 Posted: 26 Oct 2017
Alfonso Dufour, Miriam Marra and Ivan Sangiorgi
ICMA Centre, Henley Business School, University of Reading, University of Reading - ICMA Centre, Henley Business School and ICMA Centre, Henley Business School, University of Reading
Downloads 57 (554,034)

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Intraday Interest Rate, Repurchase Agreement, Bond Collateral, Funding Liquidity, Central Counterparty Clearing, Counteparty Credit Risk

18.

The Impact of Global Warming on Small and Micro European Firms

Number of pages: 43 Posted: 28 Dec 2022 Last Revised: 06 Feb 2023
Lara Cathcart, Zhenghong Ding, Alfonso Dufour and Simone Varotto
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading, ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 51 (582,508)

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Temperature shocks, small and micro firms, climate risk, firm performance

19.

Leveraged and Covenant-Lite Loans, Syndication Networks and Systemic Risk

Number of pages: 42 Posted: 28 Jul 2022
Monica Billio, Monica Billio, Alfonso Dufour, Ana Sina and Simone Varotto
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, ICMA Centre, Henley Business School, University of Reading, University of Reading - Henley Business School, and ICMA Centre - Henley Business School, University of Reading
Downloads 39 (647,294)

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Leveraged loans, covenant-lite loans, systemic risk, financial networks.

20.

The Systemic Risk of Leveraged and Covenant-Lite Loan Syndications

Number of pages: 46 Posted: 07 Dec 2022
Monica Billio, Monica Billio, Alfonso Dufour, Ana Sina and Simone Varotto
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, ICMA Centre, Henley Business School, University of Reading, University of Reading - Henley Business School, and ICMA Centre - Henley Business School, University of Reading
Downloads 30 (704,875)

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Leveraged loans, covenant-lite loans, Systemic risk, financial networks

21.

The Term Structure of Bond Market Illiquidity and Default Risk

Posted: 29 Jul 2014
Madhucchand Darbha and Alfonso Dufour
University of Reading - ICMA Centre and ICMA Centre, Henley Business School, University of Reading

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Sovereign Default, Liquidity, Market Microstructure, Sovereign Debt Crisis

22.

Time and the Price Impact of a Trade

Journal of Finance, Vol. 55, No. 6, 2000
Posted: 29 Oct 2013
Alfonso Dufour and Robert F. Engle
ICMA Centre, Henley Business School, University of Reading and New York University (NYU) - Department of Finance

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23.

The Price Impact of Limit Order Cancellations

Posted: 17 Jul 2013 Last Revised: 19 Jul 2013
Luciano Machain and Alfonso Dufour
University of Reading - Henely Business School - ICMA Centre and ICMA Centre, Henley Business School, University of Reading

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Limit orders, cancellations, price discovery

24.

Liquidity Supply and the Intensity of Limit Order Cancellations

Posted: 17 Jul 2013 Last Revised: 19 Jul 2013
Luciano Machain and Alfonso Dufour
University of Reading - Henely Business School - ICMA Centre and ICMA Centre, Henley Business School, University of Reading

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Limit orders, cancellations, liquidity

25.

Time-Varying Price Discovery in the European Treasury Markets

Posted: 16 Jun 2008 Last Revised: 01 Nov 2013
Minh Nguyen and Alfonso Dufour
Newcastle University Business School and ICMA Centre, Henley Business School, University of Reading

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Price Discovery, Trading Intensity, Duration, Bond Markets

26.

The Mifid: Competition in a New European Equity Market Regulatory Structure

Posted: 06 Dec 2005
Ryan J. Davies, Alfonso Dufour and Brian Scott-Quinn
Babson College - Finance Division, ICMA Centre, Henley Business School, University of Reading and University of Reading - ICMA Centre

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securities regulation, fragmentation, internalization, Europe

27.

Building a Competitive and Efficient European Financial Market

European Capital Markets Institute (ECMI) Short Paper No. 4, 2003
Posted: 01 Aug 2003
Ryan J. Davies, Alfonso Dufour and Brian Scott-Quinn
Babson College - Finance Division, ICMA Centre, Henley Business School, University of Reading and University of Reading - ICMA Centre

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