Daniel SCHMIDT

Associate Professor

Finance

schmidt@hec.fr https://sites.google.com/hec.fr/danielschmidt/home

Biography

Daniel Schmidt is Associate Professor of Finance at HEC Paris, where he teaches Financial Economics and Advanced Finance in the "Grande Ecole" programme. He earned his Ph.D. in Finance at INSEAD (France). His research interests concern information dissemination in financial markets, limited attention, market liquidity, short selling, and behavioral finance.

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Scientific articles

Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data

Review of Asset Pricing Studies, March 2022, vol. 12, n° 1, pp 199-242, (in coll. with B. von Beschwitz, S. Lunghi)

Learning from Noise? Price and Liquidity Spillovers around Mutual Fund Fire Sales

Review of Asset Pricing Studies, June 2022, vol. 12, n° 2, pp 593-637, (in coll. with P. Honkanen)

Noise traders incarnate: Describing a realistic noise trading process

Journal of Financial Markets, June 2021, vol. 54, (in coll. with J. PERESS)

Glued to the TV: Distracted Noise Traders and Stock Market Liquidity

Journal of Finance (The), April 2020, vol. 75, n° 2, pp 1083-1133, (in coll. with J. PERESS)

Stock Market Rumors and Credibility

Review of Financial Studies, August 2020, vol. 33, n° 8, pp 3804-3853,

Distracted Institutional Investors

Journal of Financial and Quantitative Analysis, December 2019, vol. 54, n° 6, pp 2453-2491,

Working papers

Stock Market Rumors and Credibility

Cahier de Recherche du Groupe HEC , 2019

Limits of Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data

Cahier de Recherche du Groupe HEC , 2017

Price and Liquidity Spillovers during Fire Sale Episodes