Seminar on Data for Researchers in Finance: Recent Developments and Outlook
IODS organized a seminar on Data for Researchers in Finance on Friday, 21st April 2017, in Paris (Hôtel de Boisgelin, 5 rue Masseran, 75007 Paris).
The aim of this seminar was to present existing financial databases and associated technologies, as well as to exchange with academics and practitioners in order to better meet researcher’s needs.
The availability of data is crucial for research and data processing services are indispensable, especially for high frequency data.
More than 70 researchers and practitioners attended and exchanged views during this seminar. The seminar was composed of 3 presentations on Corporate Finance data, 3 presentations on Market Finance data and a round table on researcher’s data needs.
View the presentations:
- ESG Signals: Integration of Financial and ESG Variables through Machine-learning (Antonio Celeste, Director Institutional Relations, Sustainalytics / Christophe Geissler, CEO, Advestis)
- Corporate Governance Data, Directors’ Remuneration and General Assemblies (Loïc Dessaint, CEO, Proxinvest )
- CDS Data for Academic Research (Gavan Nolan, Director in Pricing Division and co-head of Fixed Income Research, Markit)
- Investment Fund and Asset Management Data (Jérome Couteur, Product Manager, Broadridge / Pritpal Garcha, Product Consultant, Broadridge)
- Processing of High Frequency Data from Bond Markets (Mary Pieterse-Bloem, Erasmus University Rotterdam)
Data for Financial History (D-FIH) - March 2nd, 2016.
The Governing Board of the « Data for Financial History » (DFIH) took place in Paris on March 2nd, 2016. The project consists in building a database of fortnightly spot and forward prices of securities listed in Paris and options from 1796 to 1977. The database will also contain the main information about the issuers of these securities. The project is led by Pierre-Cyrille Hautcoeur (Paris School of Economics - PSE). IODS is represented in the Governing Board by its CEO, Didier Davydoff. IODS entered into an agreement with PSE to distribute the database to professional users. The first data will be available end of 2017.
Paris Financial Management Conference (PFMC-2015)
IODS is represented at the third edition of the Paris Financial Management Conference (PFMC-2015) that take places on 14-15 December 2015 at IPAG Business School (France) in Paris. Didier Davydoff, CEO and Lingyu Wu, head of sales, are here to provide participants with information on the numerous databases available on IODS web-based platform.
A keynote address was given by Prof. Raghavendra Rau (University of Cambridge, United Kingdom) on “Data driven research”. The speaker highlighted issues related to the processing of data. He said that starting with a question is the right approach and next looking for data, rather than the reverse. He illustrated this by giving the example of three of his on-going research projects on
• Serial acquirer
• The choice of going public through debt instead of equity
• Board independent directors.
Panorama institutionnels – France 2015
L’encours des placements des investisseurs institutionnels français est estimé à 2 740 milliards d’euros à fin 2014. L’Observatoire de l’Epargne Européenne et IODS ont réalisé pour l’AF2I, pour la troisième année consécutive, le « Panorama institutionnels – France 2015 ». Didier Davydoff, directeur de l’OEE et directeur général de IODS, a présenté ces travaux aux Entretiens de l’AF2I qui ont eu lieu au siège de AG2R-La Mondiale le 17 juin 2015. L’encours des placements institutionnels a augmenté de 8% en 2014, soit un taux de croissance double de l’année précédente qui s’explique pour un tiers par le flux net des nouveaux placements et pour les deux-tiers par les plus-values latentes enregistrées sur le portefeuille existant. Le secteur de l’assurance, en particulier, a bénéficié d’un effet marché estimé à 105 milliards d’euros sur son portefeuille obligataire. Le marché français est le quatrième à l’échelle mondiale, derrière les Etats-Unis, le Japon et le Royaume-Uni.
7th "Annual Hedge Fund Research Conference”
IODS was present at the 7th “Annual Hedge Fund Research Conference” that was organized in Paris on the 22nd and 23rd of January 2015. 15 unpublished papers were thoroughly presented under the big headlines “Hedge Fund Performance, Liquidity, Asset Prices and High Frequency” and “ Hedge Fund Flows and Liquidity, Impact of Regulation, Networks and Performance”. Below are some of the papers that were written making use of the BarclayHedge Database that IODS provides access to on its platform:
On behalf of INSEAD OEE Data Services (IODS), I wish all our partners, users of our platform and customers a happy year 2015.
IODS was created in 2011 with the ambition to provide the research community and more broadly stakeholders in the financial sector with reliable data, at an affordable cost . Four years later, substantial progresses have been made. The 30 databases offered by IODS have been used by 43 research centres. Our expertise in collecting, processing and interpreting data has been used by many European institutions, financial firms and non-profit organizations. Our commitment for 2015 is to further broaden the scope of data available on our platform and to add new facilities for data processing.
A recent study showed that no more than 23% of all empirical studies published in the top journals in the field of finance examine non-US markets.* While offering global data, IODS is based in Europe and offers unique European reliable databases of which the potential for innovative publication has not yet been fully exploited.
It is my wish that the great potential of these data will help IODS users to contribute to a new stream of empirical research in the best journals. Every effort at IODS will be made in that direction!
Chief Executive Officer
*G. Andrew Karolyi, “Home Bias, An Academic Puzzle”, address to the Northern Finance Association meetings in Niagara Falls, Ontario on September 27, 2012.
FactSet Data Feeds
IODS and FactSet expand their data offering to academics by providing financial researchers with three key datasets as data feed:
- FactSet Estimates: Analysts’ forecasts on listed companies worldwide.
- FactSet Fundamentals: Financial statements for listed companies worldwide.
- FactSet Ownership: Ownership data on listed companies worldwide and investment portfolios of institutional investors.
This new offer complements FactSet workstations which provide an ergonomic access to all FactSet databases. The data feed allows researchers interested in specific data categories to download mass data according to diverse selection criteria. Furthermore, a “pedagogic offer” is now available, granting numerous and individual workstation interfaces to students and professors, simultaneously accessible. This offer is the ideal pedagogic tool to train database navigation and utilization, as well as to conduct individual work.
MTS : an ideal tool to support expanding research on bond market microstructure
Historically, academic research on market microstructure focused on equity markets. There were two factors in the development of this line of research. First, starting in the eighties, more and more equity markets moved from physical outcries to electronic platforms with central order books. Hence, massive sets of data became available on the details of trades and orders. The second reason was that equity markets were mainly regulated markets. There was a need for theoretical and empirical research on practical issues to implement market rules that optimize the price discovery process, liquidity, fairness and transparency of the markets. The first European directive on financial markets (the Investment Service Directive, approved in 1993) mainly related to regulated equity markets.
Research on bond trading lagged behind. Trading long remained telephone-based, especially the market for government bonds and few databases were available. Primary dealers had a monopoly on the auctions and distribution to institutional investors. In several countries, private investors have been deterred from trading directly on the bond market and rather invested through investment funds, life insurance or pension products. The fixed income markets were thus mainly OTC markets and there was no regulator to implement compulsory rules.
The Global derivative market: annual IOMA survey »
“ 21.5 billion Exchange Traded Derivatives (ETD) contracts (9.3 billion options and 12.1 billion futures) were traded on exchanges worldwide in 2013 (against 21.1 billion in 2012). This modest increase (+2%) reverses last year’s trend when the total number of derivatives traded on-exchange decreased sharply (-15%). The increase was largely driven by interest rates and commodity derivatives (+13.5% and +24.4% respectively), whereas equity derivatives contracts traded, which represent more than 50% of all contracts traded, decreased significantly (-7.7%). Commodity derivatives contracts traded reached 4 billion overtaking the number of interest rate contracts traded (3.3 billion).”
These are some of the findings of the 2014 survey of all derivative markets in the world, conducted by the World Federation of Exchanges (WFE) senior analyst Grégoire Naacke with the assistance of IODS.
The study has been published in the WFE magazine “Focus” and is available here.
Les Echos, 3rd June 2014, « Who actually owns French listed companies »
Les Echos published a summary of the OEE-IODS report on the long-term trends in the ownership of EU listed companies.
The report released by OEE-IODS shows, among other things, that in 2013, non-resident investors held 43% of the total market capitalisation of French listed companies. Non-residents’ weight, be it through investment funds, pension funds, non-financial corporations or sovereign funds, has substantially increased over the last twenty years as they accounted for only 25% in share ownership of French listed companies in 1995. French non-financial corporations are the most important resident shareholders of French listed companies with a 20% weight ( compared to 25% in 1995), a legacy, inter alia, of the first wave of privatisations (1986-88) where the government aimed at building a “hard core” of shareholders (“noyaux durs”). The weight of investment funds and other intermediaries oscillated around 12% whereas banks, insurance corporations and pension funds jointly owned about 8% of French listed companies with relative stability. While households held around one fifth of the market capitalisation in 1995, their weight then decreased continuously to reach 10% in 2013.
It can be noted that, between 1995 and 2008, the increased weight of foreign investors’ share ownership of French listed companies has been balanced by a decrease in households’ and non-financial corporations’ weight. In contrast, between 2008 and 2013, the increase in foreign investors’ weight took place as the weight of French government and investment funds in the total market capitalisation of French listed companies decreased. However, at the same time, the weight of pan-European funds increased, which means that should the EU be considered as a domestic market, the weight of non-residents would fall to 22%.
IODS' Participation in the “Big Data in Finance & Insurance" Conference
On the 20th and the 21st of March 2014, IODS participated in the "Big Data in Finance and Insurance" conference organized by Louis Bachelier Institute. The agenda included presentations on media attention, liquidity, joint analysis of CDS and default, new data and new analysis, interbank market, clearing house, network and regulations, methodology, network and system factor, and high frequency trading. An article "Specific data requirements for empirical research" written by IODS' CEO Didier Davydoff was published in The Louis Bachelier's 13th Research Review.
Bpifrance met à la disposition des chercheurs des données détaillées sur l’ensemble de ses interventions en direction des PME et ETI.
Les données couvrent l’historique l’ensemble des opérations de financement bpifrance (périmètre de l’ex-Oseo) :
- Aides à l’innovation
Pour chacune des opérations, la base de données identifie :
- Le dispositif mobilisé (les « produits de bpifrance)
- Le type de produit (garantie de prêt, subvention, avance remboursable, prêt à taux zéro, contrat de développement et prêts participatifs, crédit-bail, avance de trésorerie, prêt à moyen long terme classique…)
- La finalité de l’intervention : création, innovation, trésorerie, transmission.
Au total, ce sont près de 800.000 opérations qui sont renseignées, chacune avec 6 à 12 variables selon le type d’opération.
Les entreprises bénéficiaires sont identifiées par leur numéro SIREN, ce qui permettra de faire le lien avec d’autres bases proposées par IODS, notamment Altares (états financiers de toutes les sociétés françaises), CFnews (opérations de haut-de bilan) et Artenia (gouvernance et actionnariat des sociétés cotées françaises.)
Pour accéder à ces données, les centres de recherche intéressés doivent répondre à un appel à projet de « bpifrance Le Lab », au plus tard le 31 mai 2014 à 13 heures.
Pour en savoir plus : lien (http://www.bpifrance-lelab.fr/)
“Who owns European quoted shares?” published in WFE focus
In its November 2013 edition, the WFE (World Federation of Exchanges) Focus journal published an article written by Didier Davydoff, Managing director of IODS. This article, entitled “Who owns European quoted shares?”, presents the main results of a study conducted in 2013 at the request of the European Commission and the Financial Services User Group.
For the first time, it is possible to identify long-term trends of the share ownership of European listed companies from the early 70s to 2012. A large number of statistical sources have been mobilised, such as Eurostat, IMF, central banks and national statistical institutes and professional associations. The authors of the study show that the proportion of individuals’ direct holding shares fell sharply, whereas their indirect participation remains high through investment funds, life insurance policies and pension funds. Another important conclusion is that if we consider Europe as the domestic market of the European listed companies rather than individual countries, the share of foreign investors appears much smaller. In particular, Luxembourg and Irish investment funds saw their weight rise very quickly. However, these investment funds are often "round trip" funds domiciled in these places, but which are in fact national funds.
EuroFinuse appoints IODS on real returns of private pension products
EuroFinuse has appointed IODS to report on the real returns of private pension products in four European countries: Belgium, Germany, Italy and the United Kingdom. IODS will be responsible to extend the geographical scope of a previous study published by EuroFinuse in 2012 on the same topic about Denmark, France and Spain.
The goal of the study is to calculate the return of private pension products after charges, taxes and inflation and to identify the contributing factors for these returns.
“Private Equity Day” by Bpifrance
On November 20th, 2013, Bpifrance has organised a «Private Equity Day» in collaboration with its investment fund associates. This event is an opportunity to further examine the French private equity market. In 2012, € 6 billion have been invested in 1 548 French companies by the totality of funds, whereof € 1.3 billion by Bpifrance and its partners. Of particular note is a sharp increase in seed capital and venture capital.
On this occasion, the results of the annual Bpifrance survey on medium sized enterprises (ETI) have also been announced. Only the most internationalised and innovative ETIs escaped from the economic downturn. ETI growth forecasts are less optimistic than last year’s ones. However, access to funding did not seem to be a limiting factor for the development of these companies in most cases which continued, in 2012, notably through acquisitions.
IODS has conducted a study on «The offer and the demand of equity in France» (2013) for its partner Bpifrance.
CNIS committee on “The financial system and the financing of the economy”
IODS was invited to participate in the CNIS committee on “ The financial system and the financing of the economy” which was held on Tuesday, 08 October 2013, at the Ministry of Economy and Finance. The topics and debates revolved around the access to financial and banking data, as well as information on employee savings plans. The committee discussed the main expectations of financial statistics users and responded to queries related to the accessibility of financial and banking data for researchers.
Altares - One of the indispensable databases on corporate finance
According to the user reporting, the Altares database shows a great success among all users on the IODS platform. From January to July 2013, an average of 812 searches per month is reported (a growth rate of 172% compared to the last year) with a peak of 2000 searches in May. On average, financial statements of 86 000 companies have been downloaded (230 000 companies in May). Hundreds of researchers and teachers use this database as one of the essential databases on corporate finance in France.
Identity and turnover of directors from SBF120 companies for the period of 1998 – 2011
The study of Artenia Consulting shows that almost all directors are male and tend to exercise less external administrative mandates. Nearly 64% of all companies have had at least one turnover of leadership between 1998 to 2011, and this movement tends to accelerate since the mid-2000s, accompanied by an increase of turnovers due to disciplinary reasons.
Database of the World Federation of Exchanges improved
The database of the World Federation of Exchanges (WFE) has recently been upgraded and is now available on the WFE website. This database, compiled by IODS, provides access to monthly WFE data that goes back to 1991, the year in which WFE launched its first monthly statistic series. Annual WFE statistics, going back to 1975, will be available soon.
Changeover to the ESA 2010
The new European System of Accounts, ESA 2010, will be implemented in September 2014. The preparatory works have been presented at the meeting of Conseil national de l'information statistique (CNIS) on 12th November. The changeover to ESA 2010 introduces the following novelties:
• A new breakdown of financial corporations sector
• A new classification of financial assets
• A shortening of transmission time of financial accounts
• A new calculation method of output of non-life insurance activity
EIF Scientific Morning Conferences - Platforms Competition, Market Microstructure and High Frequency Data
The EIF (Europlace Institute of Finance), has organised a conference about platform competition, market microstructure and high frequency data at the Palais Brongniart in Paris on September 26th, 2012, which brought together many researchers in the field of finance.
Laurence Lescourret, researcher at ESSEC Business School, presented Inventory Management across Multiple Platforms. Thomas Mariotti illustrated the concept of Nonexclusive Competition under Adverse Selection. Fat Tails or Many Small Jumps? The Near Jump-Diffusion Paradigm was introduced by Nour Meddahi (researcher at Toulouse School of Economics). Referring to the lack of high frequency data, as pointed out during the conference, IODS will continue to work on the provision of such databases.
Conference of European Association for Research in Industrial Economics - In Rome
The 2012 Annual Conference of EARIE (European Association for Research in Industrial Economics) has been held in Rome 2th-4th September. It was a great occasion for over 500 researchers to meet and share the latest trends and papers in this interesting domain. IODS Italian Sales Manager, Mattia de’ Grassi, participated in the conference, which was held @ Luiss University, where he works as Ph.D. student and Teaching Assistant.
The conference opened with an incredibly interesting panel session on Internet, online advertising and Ecommerce, with S Athey (Harvard and Microsoft), P McAfee (Yahoo! Research) and H Varian (UC Berkeley and Google), sharing their views and experiences on the digital revolution.
Later in the conference, the spotlights have been taken by the key lectures of invited speakers Liran Einav (Stanford University) and Michael Katz (Haas School of Business, Berkeley), which contributed greatly to the success of the meeting.
Discussing with Mattia, many presenters claimed lack of exploitable datasets is still the main issue for researchers, which is why the IODS team is permanently working on improving our platform, in order to increase the high standards of quality of our datasets and their accessibility for researchers in Europe.
Conference on Long-term Savings - FFSA & Associazione Nazionale fra le Imprese Assicuratrici
The French Federation of Insurance Companies (FFSA) and the Associazione Nazionale fra le Imprese Assicuratrici (Federation of Italian Insurance Companies) held a conference on long-term savings on April 4th in Paris. Relying on statistical analysis provided by IODS, Bernard Spitz showed that the general caracteristics of savings in Italy and France were rather comparable, the main difference between the two was the importance of bond portofolios of Italian households; in France obligations are rather held through life insurance contracts.
Conference “Sovereign Investment Funds and Macroeconomic Policies”
Li Qin, economist at IODS, attended the conference “Sovereign Investment Funds and Macroeconomic Policies” hosted by University Paris Ouest Nanterre La Défense on June 27th 2012. The conference aims to present and discuss recent advances in research on Sovereign Investment Funds: their investment strategies and the consequences for the financial and economic system, the consistency of their moves with the goals of macroeconomic policies.
RESEARCH – The ECCCS Database to be distributed by IODS
SKEMA Business School and INSEAD OEE Data Services (IODS) are pleased to announce the signing of a new partnership agreement in which IODS will be the sole distributor of the ECCCS Mergers and Acquisitions database. The ECCCS database consists of mergers and acquisitions notified to the European Commission since 2001 and provides detailed information about more than 2,000 transactions with a European dimension. It is the result of a joint project between SKEMA Business School and FFBC - University of Lille 2 (Faculté de Finance, Banque et Comptabilité).
The ECCCS database distribution agreement is consistent with the objectives of both IODS and the ECCCS research center. One of our main aims is to enable all interested researchers to access trustworthy and well-documented databases created by researchers within the framework of their research projects. The agreement with ECCCS is the first of its kind signed by IODS.
The 2nd ECCCS Workshop on Governance and Control
ECCCS organized its second workshop on governance and control at SKEMA Business School (Sophia-Antipolis, Nice, France) on March 12-13, 2012. The scientific committee selected six papers for presentation by PhD students on March 12. On March 13, there have been a series of presentations by guest speakers:
International Paris Finance Meeting
The traditional annual Paris December International Finance Meeting was organized by EUROFIDAI (European Financial Data Institute) and AFFI (French Finance Association) December 20, 2011. Researchers in finance were invited to present their latest research in all areas of finance and insurance, with a special attention given to papers including empirical analysis. The priority given to empirical studies highlighted the importance of data to researchers. In addition to research presentations, attendees could participate in presentations of Eurofidai data. It was recalled that all subscribers to IODS benefit from an access to Eurofidai stock market data.
Historical Financial Data Meeting
The Steering Committee of the project « historical financial data » met on 21 October 2011 in Paris. This project, which is led by Pierre-Cyrille Hautecoeur (Paris School of Economics), is designed to develop a comprehensive database on the French stock markets since 1880, and to be extended to other European countries. It will be the most comprehensive long-run stock exchange database in the world. This project is driven by the Paris School of Economics, the Institut Louis Bachelier, the Quetelet Scientific Interest Group and the Finance-Innovation Paris Financial Services Cluster. The database will be available in 2014 and it will be included in the data offered by IODS to professionals. Didier Davydoff, CEO of IODS, is a member of the Steering Committee of the project.
Conference on seasonality in the housing market
Li Qin, economist at IODS, attended a conference hosted by Rachel Ngai (London School of Economics) and organised by the Banque de France on the 9th June 2011, on the theme: “Hot and Cold Season in the Housing Market”. The paper presented, based on house prices in the UK (DCLG database, included in IODS macrofinancial database on savings) and in the US. The paper assesses the relevance of deseasonalising house prices data.
Conference Debriefing: "Seasonality in the Housing Market"
Conference on commodities markets
Michael Klages, economist at IODS, attended a conference held at Paris-Dauphine University on the 30th May 2011 « Fundamentals, Speculation and Commodity Markets ». The conference highlighted the need to progress with regard to the availability of data on commodities markets. These markets are most often OTC markets on which reporting and transparency are quite limited. On commodities exchange markets, the most comprehensive data are those collected in the US by the CFTC on end-users operations, but these data are rarely available to academic researchers.
Conference Defriefing: "Fundamentals, Speculation and Commodity Markets"