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

SCHOLARLY PAPERS

24

DOWNLOADS
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2,583

SSRN CITATIONS
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SSRN RANKINGS

Top 47,728

in Total Papers Citations

10

CROSSREF CITATIONS

4

Scholarly Papers (24)

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 356 (109,863)

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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 328 (120,268)

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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 312 (126,873)
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 207 (190,819)

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Repo, Bonds, Credit risk, Liquidity

5.

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 176 (220,455)
Citation 1

Abstract:

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

6.

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 Goethe University Frankfurt - Department of Finance
Downloads 173 (223,714)

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

7.

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 172 (224,815)
Citation 6

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Bond markets, Liquidity, Information asymmetry

8.

Explaining Repo Specialness

Number of pages: 56 Posted: 22 Mar 2017
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 157 (242,840)

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

9.

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 136 (272,570)
Citation 1

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

10.

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
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading, CUNEF Universidad and ICMA Centre - Henley Business School, University of Reading
Downloads 120 (299,200)

Abstract:

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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 99 (341,314)
Citation 4

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Market Microstructure, Asset Pricing, Liquidity, Sovereign Debt Crisis

12.

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 79 (392,097)

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

13.

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
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 74 (406,890)

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

14.

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 60 (453,628)

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

15.

Bond Supply Expectations and the Term Structure of Interest Rates

Number of pages: 62 Posted: 01 Jul 2020
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 59 (457,379)

Abstract:

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

16.

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 38 (548,239)

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

17.

Corporate Bankruptcy and Banking Competition: The Effect of Financial Leverage

Number of pages: 59 Posted: 17 Apr 2021 Last Revised: 18 Jun 2021
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading, CUNEF Universidad and ICMA Centre - Henley Business School, University of Reading
Downloads 37 (553,390)

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Banking Competition, Default Risk, Financial Leverage, Syndicated Loans

18.

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

19.

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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20.

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

21.

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

22.

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

23.

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

24.

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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