Research — Vincent Grégoire
Working Papers
Who Wins and Who Loses In Prediction Markets? Evidence from Polymarket
with Pat Akey, Nicolas Harvie, Charles Martineau
Investing in Artificial General Intelligence
Noisy FOMC Returns? Information, Price Pressure, and Post-Announcement Reversals
with Oliver Boguth, Adlai Fisher, Charles Martineau
Relative Performance Evaluation for Asset Managers: A Quantitative Assessment
with Juan Sotes-Paladino
Size Distortions in Robust Estimators: Implications for Asset Pricing
with Nicolas Harvie, Anthony Sanford
MeatPy: A Python Framework for Limit Order Book Reconstruction and Analysis
with Charles Martineau
Publications
Price Revelation from Insider Trading: Evidence from Hacked Earnings News
Journal of Financial Economics, Volume 143, Issue 3, 2022
with Pat Akey, Charles Martineau
How is Earnings News Transmitted to Stock Prices?
Journal of Accounting Research, Volume 60, Issue 1, 2022
with Charles Martineau
Inverted Fee Structures, Tick Size, and Market Quality
Journal of Financial Economics, Volume 134, Issue 1, 2019
with 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
with Oliver Boguth, Charles Martineau
- Article in The Globe and Mail, 2019
- Mention in LA Times, 2015
The Rise of Passive Investing and Index-linked Comovement
North American Journal of Economics and Finance, Volume 51, 101059, 2020
Conference Proceedings
Extracting the Structure of Press Releases for Predicting Earnings Announcement Returns
Proceedings of the 6th ACM International Conference on AI in Finance, 2025
with 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
with Frederic Schlackl, Alina Dulipovici
Supervised Student Work
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
with Kevin Guay
HFTViz: Visualization for the exploration of high frequency trading data
Information Visualization, Volume 21, Issue 2, 2022
with Javad Yaali, Thomas Hurtut
Alternative Data
Big Data in Finance: Opportunities and Challenges of Financial Digitalization, Palgrave Macmillan, pp. 13-33, 2022
with Noah Jepson
Other Research Contributions
Forever Working Papers
Pre-PhD Publications
Using copulas to model price dependence in energy markets
Energy risk, Volume 5, Issue 5, 2008
with Christian Genest, Michel Gendron
Visible and infrared imagery for surveillance applications: software and hardware considerations
Quantitative InfraRed Thermography Journal, Volume 4, Issue 1, 2007
with Amar El-Maadi, Louis St-Laurent, Hélène Torresan, Benoit Turgeon, Donald Prévost, Patrick Hébert, Denis Laurendeau, Benoit Ricard, Xavier Maldague
Do Mutual Fund Managers Adjust NAV for Stale Prices?
Abstract
Mutual fund returns are predictable when the Net Asset Value is computed from prices that do not reflect all available information. This problem was brought to the public eye with the late trading and market timing scandal of 2003, which led to SEC intervention in 2004. Since these events, mutual fund managers have been more active in adjusting NAV, reducing predictability by about half. The simple trading strategy I present yields annual returns of 33% from 2001 to 2004 and 16% from 2005 to 2010. Even after accounting for trading restrictions in mutual funds, an arbitrager could earn annual returns of 2.73% from 2005 to 2010, suggesting the problem is not fully resolved. The main methodological contribution of this paper is to develop a filtering approach based on a state-space model that embeds the fund manager problem, thus accounting for unobserved actions of fund managers. I also show that predictability increases significantly when information sources suggested by prior literature, such as index and futures returns, are supplemented by premiums on related exchange traded funds.
BibTeX
@unpublished{gregoire2013nav,
title={Do Mutual Fund Managers Adjust NAV for Stale Prices?},
author={Gr{\'e}goire, Vincent},
note={Working Paper},
year={2013},
url={https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1928321}
}