Patrice Fontaine

@article{bosi_1593,

title = {Long-run equilibrium in international asssets and goods markets: Why is the law of one price required?},

author = {Stefano Bosi and Patrice Fontaine and Cuong Le Van},

url = {https://doi.org/10.1016/j.jebo.2021.08.023},

year  = {2021},

date = {2021-10-01},

journal = {Journal Of Economic Behavior & Organization},

volume = {190},

number = {september},

pages = {891-904},

abstract = {Globalization is a complex phenomenon, best represented by a general framework in which all financial markets and some goods markets adjust quickly, while for the other goods markets prices vary across countries. We consider a two-period financial model. In the first period, agents consume, buy and sell financial assets to diversify their portfolios. In the second period, they spend their endowments and financial gains to purchase con- sumption goods. We define the concept equilibrium ?, in which the total nominal value of trade is balanced and, for any non-negative individualized system of prices, the total nom- inal value of demand does not exceed the total value of supply. This equilibrium ?coincides with the standard concept of equilibrium when the Law of One Price (LOP) is satisfied for any country. In this model, we introduce imperfect international trade. Assuming that Un- covered Interest (rate) Parity (UIP) holds in all financial markets and the LOP does not hold in some goods markets, we prove that an equilibrium ?does exist; for markets in which the LOP fails, however, the equilibrium becomes autarkic. This result explains why finan- cial markets and some goods markets are globally integrated, while trade fails in other markets. The world economy is fully globalized only if the LOP holds everywhere.},

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pubstate = {published},

tppubtype = {article}

}

@article{fontaine_1382,

title = {Suppliers as Financial Intermediaries: Trade Credit for Undervalued Firms},

author = {Patrice Fontaine and Sujiao Zhao},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0378426621000017},

year  = {2021},

date = {2021-03-01},

journal = {Journal Of Banking & Finance},

volume = {124},

pages = {106043},

abstract = {We examine the impact of undervaluation on a firm's use of trade credit. To address potential endogeneity bias, we construct our instrumental variable based on mutual fund outflow-driven price pressure, and our undervaluation measure allows us to distinguish misvaluation from fair valuation. We find that a firm's suppliers play an important role in providing temporary bridge financing when the firm is undervalued. The effect varies with the firm's information environment and with its dependence on external finance. In addition, based on a manually matched supplier-customer sample, we show that small customers in long-term relationships with their suppliers are more likely to obtain trade credit when facing stock market undervaluation, while small suppliers with a smaller customer pool extend more trade credit to their undervalued customers.},

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pubstate = {published},

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}

@article{anagnostidis_1263,

title = {Are high-frequency traders' informed?},

author = {Panagiotis Anagnostidis and Patrice Fontaine and Christos Varsakelis},

url = {https://www.sciencedirect.com/science/article/pii/S0264999320311688#!},

year  = {2020},

date = {2020-12-01},

journal = {Economic Modelling},

volume = {93},

pages = {365-383},

abstract = {Are high-frequency traders (HFTs) informed? To address this question, we examine HFTs' activity in the call auction environment, where speed-related trading is limited and signal processing capacity becomes more relevant. To model the call market, we consider the Kyle (1989) rational expectations framework for strategic trading. The test we propose for detecting informed HFTs in this market assesses potential deviations of the informativeness of HFTs' aggregate (net) demand, from the informativeness of the aggregate demand submitted by the rest of the traders. Data from the Euronext Paris preopening phase indicate that informed HFTs are present in the market just before the opening. Our results provide useful guidance for the assessment of the influence of HFTs' quotes on price quality, an important issue for market regulators and policy makers.},

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pubstate = {published},

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}

@article{anagnostidis_1206,

title = {Liquidity commonality and high frequency trading: Evidence from the French stock market},

author = {Panagiotis Anagnostidis and Patrice Fontaine},

url = {https://www-sciencedirect-com.devinci.idm.oclc.org/science/article/pii/S1057521919305320},

year  = {2020},

date = {2020-05-01},

journal = {International Review Of Financial Analysis},

volume = {69},

pages = {101428},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{fontaine_1234,

title = {A re-examination of analysts'differential target price forecasting ability},

author = {Patrice Fontaine and Tristan Roger},

url = {https://www.cairn.info/revue-finance-2020-1-page-53.htm},

year  = {2020},

date = {2020-03-04},

journal = {Finance},

volume = {41},

number = {1},

pages = {53-95},

abstract = {We challenge the view that persistent differences in accuracy across analysts are proof that analysts differ in their ability to forecast stock prices. We show that these persistent differences in target price accuracy are driven instead by stock return volatility. Building upon option pricing theory, we construct a measure of forecast quality that controls for stock return volatility and forecast horizon. Contrary to previous studies, which failed to properly account for differences in stock return volatility, our empirical analysis reveals that analysts do not exhibit differences in their ability to forecast stock prices. We show that the accuracy of a target price strongly depends on the stock return volatility and the forecast horizon.},

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pubstate = {published},

tppubtype = {article}

}

@article{fontaine_39,

title = {Common Factors, Information, and Holdings Dispersion},

author = {Patrice Fontaine and Sonia Jimenez-Garcès and Mark Seasholes},

url = {https://academic.oup.com/rof/article-abstract/22/4/1441/3904507},

year  = {2018},

date = {2018-07-01},

journal = {Review Of Finance},

volume = {22},

number = {4},

pages = {1441-1467},

abstract = {We derive closed-form solutions for asset prices and portfolio holdings when agents have asset-specific information and/or information about common components that affect many assets. Our solutions are general, encompass existing information structures, and are used to analyze new structures. A given investor's portfolio can exhibit highly disperse holdings?e.g., portfolio weights may vary significantly from market capitalization weights. Our model also generates large ranges of asset prices due to information asymmetries. We help explain why US investors (e.g.) may underweight German stocks (e.g.) on average, but overweight a particular German stock relative to its market capitalization weight.},

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pubstate = {published},

tppubtype = {article}

}

@article{bosi_75,

title = {How to determine exchange rates under risk neutrality: A note},

author = {Stefano Bosi and Patrice Fontaine and Cuong Le Van},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0165176517301933?via%3Dihub#!},

year  = {2017},

date = {2017-08-01},

journal = {Economics Letters},

volume = {157},

pages = {92-96},

abstract = {The goal of this paper is to determine the exchange rates consistent with an equilibrium in the international assets and goods markets. We present a wealth model of a two-country economy where financial assets and goods are traded. We consider the case where the agents are risk neutral, a very common assumption in finance in order to have explicit solutions for prices, and, in particular, in international finance for exchange rates using the non-null Pareto optima. We show that the Pareto optima in the international assets and goods markets are found to coincide with the net trade allocations. More notably, under a no-arbitrage condition in the assets markets, we can define an exchange rates system for which PPP holds.},

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pubstate = {published},

tppubtype = {article}

}

@article{fontaine_38,

title = {The supply-side effect on the use of debt with very short and very long maturities},

author = {Patrice Fontaine and Sujiao Zhao},

url = {https://financebulletin.org/article/view/1848},

year  = {2017},

date = {2017-03-01},

journal = {Finance Bulletin},

volume = {1},

number = {1},

pages = {p10-p28},

abstract = {We find that the pre-documented factors influence debt maturity contingent upon credit accessibility and economic conditions. Firms reliant on bank loans avoid employing shortmaturity debts even though they face severe information and agency problems. By contrast, firms with sufficient access use very short debt maturities to mitigate agency issues. When credit condition deteriorates, the former has no choice but borrow at the very short end of the maturity spectrum, whereas the latter evades refinancing risk more readily by borrowing at the end. Taken together, these findings indicate a vital role of capital supply in determining debt maturity.},

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pubstate = {published},

tppubtype = {article}

}

@article{bosi_10,

title = {Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international asset and good markets},

author = {Stefano Bosi and Patrice Fontaine and Cuong Le Van},

url = {https://www.sciencedirect.com/science/article/abs/pii/S016548961630018X?via%3Dihub},

year  = {2016},

date = {2016-07-01},

journal = {Mathematical Social Sciences},

volume = {82},

pages = {p26-p36},

abstract = {In this paper, we consider a two-period consumption model with many financial assets. In the spirit of Hart (1974), consumers purchase financial assets in period and consume in period . We differ from Hart by considering that each agent is a country. We provide conditions for the existence of an equilibrium in both international financial assets and goods markets.},

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pubstate = {published},

tppubtype = {article}

}

@article{cisse_21,

title = {Why do companies transfer the trading compartment of their common stocks},

author = {AbdoulKarim Cissé and Patrice Fontaine},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0275531915300052?via%3Dihub},

year  = {2016},

date = {2016-01-01},

journal = {Research In International Business And Finance},

volume = {36},

pages = {p624-p640},

abstract = {We analyze the motives and determinants of voluntarily stock exchange section switching on the NYSE Euronext. By strategically deciding trading-section transfer when it is beneficial, managers expect to reduce their liquidity and invisibility costs, cost of capital, or their listing costs. We show that managers decide to change the trading compartment of their common stocks based on various factors including firm's size, liquidity level, debt ratio, and expected growth opportunities. Firms that move voluntarily from a less or non regulated compartments to a more regulated one are likely to have transferred to increase their credibility, improve their stocks' liquidity, re-balance their leverage, and to finance their growth opportunities. Whereas those that move their common stocks toward a less-regulated compartments do it mainly for costs saving reasons.},

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pubstate = {published},

tppubtype = {article}

}

@article{cisse_335,

title = {Consequences of Voluntary Stock Exchange Section Switching on Stocks Price, Liquidity and Volatility},

author = {AbdoulKarim Cissé and Patrice Fontaine},

url = {https://econpapers.repec.org/article/rbqjournl/i_3a136-137_3ap_3a42-62.htm},

year  = {2015},

date = {2015-10-01},

journal = {Bankers, Markets & Investors},

volume = {136},

pages = {42-62},

abstract = {The decision to switch stock exchange section is an important, but one of the least studied questions in the litterature. especially for voluntary transfer decisions. Managers believe that switching the trading compartment of their common stocks to a more important one creates value for their firms by improving visibility, stocks' liquidity and raising capital at lower cost. In this article, we examine market reactions around trading compartment switchings. The results, in general, indicate a positive market reaction around the transfer announcement and an improvement of stock liquidity after that date. However, the market reaction weakens significantly after admission to the new stock exchange section. Our findings also reveal a link between stock price reaction to a compartment transfer and the pre-transfer liquidity level. Finally, we highlight that compartment transfer reduces volatility of switching stocks, owing to the decrease in the firm-specific risk rather than the systematic risk.},

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pubstate = {published},

tppubtype = {article}

}