Recherche — Vincent Grégoire
Documents de travail
Who Wins and Who Loses In Prediction Markets? Evidence from Polymarket
avec Pat Akey, Nicolas Harvie, Charles Martineau
Investing in Artificial General Intelligence
Noisy FOMC Returns? Information, Price Pressure, and Post-Announcement Reversals
avec Oliver Boguth, Adlai Fisher, Charles Martineau
Relative Performance Evaluation for Asset Managers: A Quantitative Assessment
avec Juan Sotes-Paladino
Size Distortions in Robust Estimators: Implications for Asset Pricing
avec Nicolas Harvie, Anthony Sanford
MeatPy: A Python Framework for Limit Order Book Reconstruction and Analysis
avec Charles Martineau
Publications
Price Revelation from Insider Trading: Evidence from Hacked Earnings News
Journal of Financial Economics, Volume 143, Issue 3, 2022
avec Pat Akey, Charles Martineau
How is Earnings News Transmitted to Stock Prices?
Journal of Accounting Research, Volume 60, Issue 1, 2022
avec Charles Martineau
Inverted Fee Structures, Tick Size, and Market Quality
Journal of Financial Economics, Volume 134, Issue 1, 2019
avec Carole Comerton-Forde, Zhuo Zhong
Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences
Journal of Financial and Quantitative Analysis, Volume 54, Issue 6, 2019
avec Oliver Boguth, Charles Martineau
The Rise of Passive Investing and Index-linked Comovement
North American Journal of Economics and Finance, Volume 51, 101059, 2020
Actes de conférence
Extracting the Structure of Press Releases for Predicting Earnings Announcement Returns
Proceedings of the 6th ACM International Conference on AI in Finance, 2025
avec Yuntao Wu, Ege Mert Akin, Charles Martineau, Andreas Veneris
Mitigating Spillover Effects of Ransomware in Financial Markets: Lessons from the LockBit Attacks
International Symposium on Foundations and Practice of Security, 2025
avec Frederic Schlackl, Alina Dulipovici
Travaux étudiants supervisés
Circular Economy: A Fintech Driven Solution for Sustainable Practices
Fintech and Sustainability: How Financial Technologies Can Help Address Today's Environmental and Societal Challenges, Palgrave Macmillan, pp. 149-168, 2023
avec Kevin Guay
HFTViz: Visualization for the exploration of high frequency trading data
Information Visualization, Volume 21, Issue 2, 2022
avec Javad Yaali, Thomas Hurtut
Alternative Data
Big Data in Finance: Opportunities and Challenges of Financial Digitalization, Palgrave Macmillan, pp. 13-33, 2022
avec Noah Jepson
Autres contributions à la recherche
Documents de travail permanents
Publications pré-doctorat
Using copulas to model price dependence in energy markets
Energy risk, Volume 5, Issue 5, 2008
avec Christian Genest, Michel Gendron
Visible and infrared imagery for surveillance applications: software and hardware considerations
Quantitative InfraRed Thermography Journal, Volume 4, Issue 1, 2007
avec Amar El-Maadi, Louis St-Laurent, Hélène Torresan, Benoit Turgeon, Donald Prévost, Patrick Hébert, Denis Laurendeau, Benoit Ricard, Xavier Maldague
Size Distortions in Robust Estimators: Implications for Asset Pricing
Résumé
We evaluate the reliability of HAC estimators in typical asset pricing applications. Through simulations, we show that these estimators often produce inflated t-statistics and invalid inference when applied to return series with autocorrelation and heteroskedasticity—common features in anomaly returns. To address this, we introduce SHARFS, a simulation-based inference procedure that estimates p-values using empirically calibrated null data-generating processes. Unlike traditional methods, SHARFS provides valid finite-sample inference even under complex return dynamics. Applying our method to 212 documented anomalies, we find that standard estimators substantially overstate significance: many strategies deemed significant by HAC methods fail to pass our more robust test. Our results challenge the credibility of conventional inference in empirical finance and call for a shift toward simulation-based methods.
BibTeX
@unpublished{gregoire2025size,
title={Size Distortions in Robust Estimators: Implications for Asset Pricing},
author={Gr{\'e}goire, Vincent and Harvie, Nicolas and Sanford, Anthony},
note={Working Paper},
year={2025},
url={https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4640678}
}