Fonds négocié en bourse | EPFL Graph Search

Un fonds négocié en bourse (FNB, ou fonds coté en bourse, en anglais : exchange-traded fund ou ETF) est un fonds de placement en valeurs mobilières qui a la même composition qu’un indice boursier qu’il reproduit, et dont les parts peuvent être négociées en bourse, comme des actions. À la fin 2012, le secteur mondial des FNB représentait de dollars d'actifs sous gestion. En 2018, ce montant a dépassé les de dollars, porté par un engouement fort de la part des investisseurs. Caractéristiques Certains fonds reflètent les indices boursiers de tous les pays, de tous les secteurs financiers ou de tous les styles de gestion. La plupart des fonds négociés en bourse sont semblables aux fonds de gestion active, à l’exception qu’ils ne sont pas administrés par des analystes financiers qui tentent d’acheter des titres ayant un très bon potentiel de croissance. Étant donné que les fonds négociés en bourse n’utilisent pas d’analystes financiers, leurs frais d’administration (entr

Informational frictions in financial markets

Erik Hapnes

This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource allocation in the economy. The first chapter studies the interaction between financial markets and real investments. I develop a model that simultaneously study the equilibrium in financial markets, the choice of investors to produce information, and real decisions by the firm. The chapter provides a new method to overcome non-linearities in the security price, and the equilibrium is surprisingly simple. The results provide insights into when real investments have a substantial impact on market efficiency and when we can analyze equilibrium market efficiency separately. Equilibrium behavior may hide some inefficiencies from standard empirical tests. Some changes in financial markets may increase or have little effect on market efficiency, but reduce real efficiency by increasing the cost of information production. The second chapter analyzes time-variation in liquidity. I develop a tractable model where conditions among traders vary over time. The resulting equilibrium offers several new predictions on what drives liquidity variation. For example, there may be significant reductions in liquidity from even tiny changes among the traders' conditions. Strategic behavior drives the results, and the model explains how liquidity may suddenly evaporate without a clear cause. Empirical results are in line with the predictions of the model. Surprisingly, everyone may benefit from sometimes restricting some traders from the market. Doing so can reallocate liquidity to periods with more significant liquidity needs. The third chapter studies the choice of anonymity among traders. All traders end up revealing their identity unless doing so is costly, or the order flow is noisy. The intuition is that there is always at least one trader who prefers to reveal his or her identity. If the order flow is noisy, then there is a threshold type, and more patient traders stay anonymous. The results suggest that a fully anonymous market is most efficient, but the gains from anonymity are distributed unevenly. This result explains why different markets vary significantly in choices related to anonymity.

EPFL2021

Informational frictions in financial markets

Erik Hapnes

EPFL2021