Essec\Faculty\Model\Contribution {#2188
  #_index: "academ_contributions"
  #_id: "8288"
  #_source: array:26 [
    "id" => "8288"
    "slug" => "non-fundamental-information-and-market-makers-behavior-during-the-nasdaq-preopening-session"
    "yearMonth" => "2012-12"
    "year" => "2012"
    "title" => "Non-fundamental Information and Market-makers' Behavior during the NASDAQ Preopening Session"
    "description" => "LESCOURRET, L. (2012). <i>Non-fundamental Information and Market-makers' Behavior during the NASDAQ Preopening Session</i>. ESSEC Business School."
    "authors" => array:1 [
      0 => array:3 [
        "name" => "LESCOURRET Laurence"
        "bid" => "B00024824"
        "slug" => "daures-laurence"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:5 [
      0 => "Information non-fondamentale"
      1 => "Microstructure des marchés"
      2 => "NASDAQ"
      3 => "Préouverture"
      4 => "Rebond des prix"
    ]
    "updatedAt" => "2020-12-17 21:00:33"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Documents de travail"
      "en" => "Working Papers"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Ce papier examine s’il existe une relation entre le comportement en préouverture des fournisseurs de liquidité sur le NASDAQ et l’information non-fondamentale,  cad, concernant des événements non liés aux fondamentaux des actifs échangés. Les prix cotés en préouverture par une certaine catégorie d’opérateurs de marché dénommée les wholesalers, réputés non-informés (métier exclusivement centré sur la tenue de marché) sont très significativement liés aux mesures de pression temporaire sur les prix. La probabilité que les wholesalers cotent en préouverture est également plus importante les jours caractérisés par des chocs de liquidité, mais n’est pas liée aux jours de forte asymétrie d’informations  (publication des recommandations d’analystes, annonces de résultats ou de fusions), à la différence des autres opérateurs. Ces résultats semblent donc indiquer que l’information non-fondamentale a un impact significatif sur les stratégies de cotation des fournisseurs de liquidité."
      "en" => "This paper examines whether NASDAQ dealers' preopening quotes might be related to non-fundamental information, that is, information about transient trading pressure unrelated to fundamentals. Preopening quotes posted by wholesalers (dealers specialized in market-making and thus presumably more exposed to inventory risks) are strongly related to opening price reversals and daily order imbalances (trading pressure measures). Wholesalers are more likely to post preopening quotes on days characterized by large liquidity shocks or days following larger order imbalances, but not on days of strong informational asymmetry about fundamentals (days of analyst recommendation releases, earnings announcements or merger announcements). These patterns do not hold for other intermediaries, namely institutional brokers providing sell-side coverage. Overall, I interpret this as evidence that non-fundamental information matters during the preopening session and impacts intermediaries' preopening behavior."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-04-26T02:22:52.000Z"
    "docTitle" => "Non-fundamental Information and Market-makers' Behavior during the NASDAQ Preopening Session"
    "docSurtitle" => "Working Papers"
    "authorNames" => "<a href="/cv/daures-laurence">LESCOURRET Laurence</a>"
    "docDescription" => "<span class="document-property-authors">LESCOURRET Laurence</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2012</span>"
    "keywordList" => "<a href="#">Information non-fondamentale</a>, <a href="#">Microstructure des marchés</a>, <a href="#">NASDAQ</a>, <a href="#">Préouverture</a>, <a href="#">Rebond des prix</a>"
    "docPreview" => "<b>Non-fundamental Information and Market-makers' Behavior during the NASDAQ Preopening Session</b><br><span>2012-12 | Working Papers </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Non-fundamental Information and Market-makers' Behavior during the NASDAQ Preopening Session</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.026177
  +"parent": null
}