“Demand for information, uncertainty and the response of U.S. treasury securities to news”, with Hedi Benamar and Clara Vega. Review of Financial Studies.
- Shows that information demand is high when macro-economic uncertainty is high and proposes a new way to measure uncertainty using clickstream data.
- Published version, Latest draft available (SSRN), Slides.
“Data Abundance and Asset Price Informativeness”, with Jérôme Dugast. Journal of Financial Economics.
- Predicts that a decrease in the cost of access to information (“data abundance”) can reduce asset price informativeness
- Published version, Latest draft available (SSRN), Slides, On-line appendix
Thierry Foucault 