This paper examines the determinants of the time it takes for an index options market to return to no arbitrage values after put-call parity deviations, using intraday transactions data from the French index options market. We employ survival analysis to characterize how limits to arbitrage influence the expected duration of arbitrage deviations. After controlling for conventional limits to arbitrage, we show that liquidity-linked variables are associated with a faster reversion of arbitrage profits. The introduction of an ETF also affects the survival rates of deviations but this impact essentially stems from the reduction in the level of potential arbitrage profits. * CNRS; DRM-CEREG (UMR 7088); Paris Dauphine University; Place du Maréchal de Lattre de Tassigny; 75775 Paris Cedex 16, France; Tel.: +33 (0)1 44 05 45

This paper examines the impact of market liquidity on seasoned equity offerings (SEO) characteristics in France. We find that, besides blockholders' takeup, liquidity is an important determinant of SEO flotation method choice. We document higher direct equity offering flotation costs, but also improved stock market liquidity after public offerings and standby rights relative to uninsured rights. After controlling for endogeneity in the choice of SEO flotation method, we find that pure public offerings and standby rights are comparable in terms of direct costs and liquidity improvement. Our results provide new insights as to why firms choose public offerings despite apparently higher costs.

This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000-July 2001 period. We address this issue through survival analysis which allows us to characterize how differences in market conditions influence the expected time before the market reaches the no-arbitrage condition. We find that moneyness, maturity, trading volume as well as trade imbalances in call and put options, and volatility are important in understanding why some arbitrage opportunities disappear faster than others. After controlling for differences in the trading environnement, we find evidence of a negative relationship between the existence of ETFs on the index and the time to efficiency.

This article focuses on the volatility of crude oil futures prices on the New York Mercantile Exchange. It aims at examining whether this market creates excess volatility, which would not be observed in the absence of such a market. In order to reach this objective, price fluctuations are separated into two components: an information component that reflects a rational assessment of the information arrival, and an error component that represents the noise introduced by the trading process. We show that a significant part of the volatility recorded during exchange trading hours is caused by mispricing errors. In particular, this phenomenon affects the nearest futures contract. Copyright 2008 The Authors. Journal compilation 2008 Organization of the Petroleum Exporting Countries.