- 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 the costs and benefits of high frequency trading, the determinants of stock price informativeness and its effect on firms’ decisions (investment, product choices etc.). See below.
Stock Price Informativeness and Firms’ Decisions
“Ripple Effects of Noise on Corporate Investment” with Olivier Dessaint, Laurent Frésard, and Adrien Matray. December 2015. Presented at the NBER Corporate Finance Meeting (program here) and American Finance Association Meetings, 2017.
- Shows that non fundamental shocks to firms’ stock prices affects the real invstment of their product-market peers
- Latest draft available (SSRN).
“Corporate Strategy, conformism, and the stock market” with Laurent Frésard. Revised: June 2017. Presented at WFA meetings 2016.
- 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
Big Data and Financial Markets
“Data Abundance and Asset Price Informativeness”, with Jérôme Dugast, Last Revised: August 2017. Forthcoming in the Journal of Financial Economics.
- 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
High Frequency Trading
“Toxic Arbitrage”, with Roman Kozhan and Wing Wah Tham-Published in the Review of Financial Studies, April 2017. Available: here.
- Evidence that high speed arbitrage can raise illiquidity by exposing liquidity suppliers to the risk of trading at stale quotes .
- Latest draft available (SSRN), Internet Appendix with additional results, An executive summary of our paper published in the Center for the Study of Financial Regulation, Slides
“HFT and Market quality“, with Bruno Biais.January 2014: An overview of the findings regarding high frequency trading as of 2014 (published in “Bankers, Markets, and Investors”)
“Where are the risks in high frequency trading“, April 2016 in Financial Stability in the Digital Era, Financial Stability Review.
Discussion of “Competing on Speed” by Emiliano Pagnotta and Thomas Phillipon at the 2017 American Economic Association Meetings: