Lors du Paris December Finance Meeting, organisé le 16 décembre par EUROFIDAI (European Financial Data Institute) et l’ESSEC Business School, deux membres du LaRGE ont reçu des distinctions pour des publications.
Carole Métais (LaRGE, EM Strasbourg) et Tristan Roger (CEREFIGE, Université de Lorraine) ont reçu le prix EUROFIDAI BEDOFIH du meilleur article publié sur données hautes fréquences pour leur article "Are retail investors less aggressive on small price stocks?" publié dans le Journal of Financial Markets [CNRS cat.2, FNEGE cat.2, HCERES cat.A].
Abstract
We investigate whether number processing impacts the limit order aggressiveness of retail investors. When posting non-marketable orders, individual investors are less aggressive on small price stocks than on large price stocks. This difference is not explained by differences in liquidity and other usual drivers of order aggressiveness. No such difference exists for limit orders of high-frequency traders. The small price bias is detrimental to retail investors since it increases the costs borne when trading small price stocks.
Maxime Merli (LaRGE, EM Strasbourg), Catherine D'Hondt (Louvain School of Management) et Rudy De Winne (Louvain School of Management) ont reçu le prix EUROFIDAI du meilleur article publié sur données journalières pour leur article "Do retail investors bite off more than they can chew? A close look at their return objectives" publié dans le Journal of Economic Behavior & Organization [CNRS cat.2, HCERES cat.A].
Abstract
Using self-reported retail investor information from a risk-return profile survey, we investigate the determinants of individual return objectives as well as the capacity of investors to achieve them. Controlling for a large set of covariates, we provide empirical evidence that return objectives are related to subjective individual characteristics (such as financial literacy and risk tolerance), some sociodemographic variables (age and education), and recent past trading intensity. Retail investors with higher return objectives perform better than their counterparts who want to avoid any risk of capital loss. The capacity to achieve the return objective, however, decreases as the level of the objective increases.
Nous leur adressons nos félicitations pour ce bel accomplissement !