- Official HEC webpage: here
- Address: Dpt of Finance, HEC, 1 rue de la Libération, 78351 Jouy en Josas
- Phone-direct: (33) (0)1 39 67 95 69; Fax: (33) (0)1 39 67 70 85;
- E.Mail : foucault (at) hec (dot) fr
- SSRN Author page: http://ssrn.com/author=57561
- Others: If you have troubles getting in touch with me, please contact Mrs Véronique Salat at: (33)(0)139679605
Curriculum Vitae: CV
- Textbook: “Market Liquidity: Theory, Evidence, and Policy” (material for instructors: slides, exercises with solutions, MCQ etc.: here)
I work on the determinants of financial markets liquidity and volatility, the industrial organization of these markets, and their effect on the real economy. My most recent papers are on OTC markets, the implications of new ways to produce and share financial information, and the determinants of stock price informativeness and its effect on firms’ decisions (investment, product choices etc.). See below.
“Inventory Management, Dealers’ Connections and Prices in OTC Markets” with Jean-Edouard Colliard and Peter Hoffman. Last revised: July 2018
- Predicts that the distribution of aggregate inventories between core and peripheral dealers affect the distribution of transaction prices and bid-ask spreads in OTC markets.
- Latest draft (SSRN) available here.
Information Production in Financial Markets
“Data Abundance and Asset Price Informativeness”, with Jérôme Dugast, Forthcoming in the Journal of Financial Economics. Last Revised: August 2017.
- Predicts that a decrease in the cost of access to information (“data abundance”) can reduce asset price informativeness
- Latest draft available (SSRN), Slides, On-line appendix
“Demand for information, macroeconomic uncertainty and the response of U.S. treasury securities to news”, with Hedi Benamar and Clara Vega. Last Revised: April 2018.
- Shows that information demand is high when macro-economic uncertainty is high
- Latest draft available here (SSRN), Slides,
Stock Price Informativeness and Firms’ Decisions
“Noisy Stock Prices and Corporate Investment” with Olivier Dessaint, Laurent Frésard, and Adrien Matray. February 2018. Presented at the NBER Corporate Finance Meeting and American Finance Association Meetings, 2017.
- Shows that non fundamental shocks to firms’ stock prices affects corporate investment because managers use stock prices a signals and have limited ability to filter out the noise in these signals
- Latest draft available here (SSRN).
“Corporate Strategy, conformism, and the stock market” with Laurent Frésard. Accepted for publication in the Review of Financial Studies. Last revised: June 2017.
- Predicts and find evidence that firms are more likely to imitate their peers when they rely on stock prices as a source of information.
- Latest draft available (SSRN)., Slides, On-line appendix, Vox article on our paper