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
The Rise of Passive Investing and Index-linked Comovement
North American Journal of Economics and Finance, Volume 51, 101059, 2020
Abstract
I introduce a general equilibrium model with active investors and indexers. Indexing causes market segmentation, and the degree of segmentation is a function of the relative wealth of indexers in the economy. Shocks to this relative wealth induce correlated shocks to discount rates of index stocks. The wealthier indexers are, the greater the resulting comovement is. I confirm empirically that S&P 500 stocks comove more with other index stocks and less with non-index stocks, and that changes in passive holdings of S&P 500 stocks predict changes in comovement of index stocks.
BibTeX
@article{gregoire2020rise,
title={The rise of passive investing and index-linked comovement},
author={Gr{\'e}goire, Vincent},
journal={North American Journal of Economics and Finance},
volume={51},
pages={101059},
year={2020},
publisher={Elsevier}
}