Articles scientifiques

Analyst Hype in IPOs: Explaining the Popularity of Bookbuilding

F. Degeorge, F. DERRIEN, K. Womack

Review of Financial Studies

juillet 2007, vol. 20, n°4, pp.1021-1058

Départements : Finance, GREGHEC (CNRS)

The bookbuilding IPO procedure has captured significant market share from auction alternatives recently, despite the significantly lower costs related to the auction mechanism. In France, where both mechanisms were used in the 1990s, the ostensible advantages of bookbuilding were advertising-related benefits. Book-built issues were more likely to be followed and positively recommended by lead underwriters. Even nonunderwriters' analysts promote book-built issues more in order to curry favor with the IPO underwriter for allocations of future deals. Yet we do not observe valuation or post-IPO return differentials that suggest these types of promotion have any value to the issuing firm.

Banking deregulation and Industry Structure: Evidence From the French Banking Act of 1985

M. Bertrand, A. Schoar, D. THESMAR

The Journal of Finance

avril 2007, vol. 62, n°2, pp.597-628

Départements : Finance, GREGHEC (CNRS)

We investigate how the deregulation of the French banking industry in the 1980s affected the real behavior of firms and the structure and dynamics of product markets. Following deregulation, banks are less willing to bail out poorly performing firms and firms in the more bank-dependent sectors are more likely to undertake restructuring activities. At the industry level, we observe an increase in asset and job reallocation, an improvement in allocative efficiency across firms, and a decline in concentration. Overall, these findings support the view that a more efficient banking sector helps foster a Schumpeterian process of “creative destruction.”

Consolidation et Fragmentation des Marchés Financiers: Coûts et Bénéfices


La Documentation Française

août 2007, vol. 67, pp.103-128

Départements : Finance, GREGHEC (CNRS)

Does anonymity matter in electronic limit order markets ?

T. FOUCAULT, S. Moinas, E. Theissen

Review of Financial Studies

septembre 2007, vol. 20, n°5, pp.1707-1747

Départements : Finance, GREGHEC (CNRS)

We develop a model in which limit order traders possess volatility information. We show that in this case the size of the bid'ask spread is informative about future volatility. Moreover, if volatility information is in part private, we establish that (i) the size of the bid'ask spread and (ii) its informativeness about future volatility should change in the same direction when limit order traders' identifiers stop being disclosed. We test these predictions using data from the Paris Bourse. As expected, we find that the average quoted spread and its informativeness are significantly smaller when limit order traders' identifiers are concealed. These findings suggest that the limit order book is a channel for volatility information

Down or out: Assessing the welfare costs of household investment mistakes

L. E. CALVET, J. Campbell, P. Sodini

Journal of Political Economy

octobre 2007, vol. 115

Départements : Finance, GREGHEC (CNRS)

This paper investigates the efficiency of household investment decisions in a unique dataset containing the disaggregated wealth and income of the entire population of Sweden. The analysis focuses on two main sources of inefficiency in the financial portfolio: underdiversification of risky assets ("down") and nonparticipation in risky asset markets ("out"). We find that while a few households are very poorly diversified, the cost of diversification mistakes is quite modest for most of the population. For instance, a majority of participating Swedish households are sufficiently diversified internationally to outperform the Sharpe ratio of their domestic stock market. We document that households with greater financial sophistication tend to invest more efficiently but also more aggressively, so the welfare cost of portfolio inefficiency tends to be greater for these households. The welfare cost of nonparticipation is smaller by almost one half when we take account of the fact that nonparticipants would be unlikely to invest efficiently if they participated in risky asset markets Keywords: Asset allocation, diversification, familiarity, participation