Europe, and France in particular, have a huge research potential in economics and finance thanks to a tradition of excellence in mathematics and statistics. However, this potential has not been entirely realised yet due to a relative lack of empirical work. The recent financial crisis again highlighted the weak empirical foundations of the economic and financial analytical models used for example to shape stakeholder expectations, financial innovation and regulations.
Scientific Scope of the project
One of the reasons for this shortcoming is the scarcity of long-run financial micro-data available to retrace stylized facts and test theoretical models, especially when it comes to structural changes, which are vital to evaluating the impact of financial regulations, the causes of economic fluctuations, and interactions between economic (if not demographic and social) change and the financial systems. This deficit is particularly glaring at European level. Most of the European scholars rely on the American financial micro-databases, which are well suited to their research. The most widely used database is produced by the CRSP (Center for Research in Security Prices), a production platform managed by Chicago University. This high-quality database contains prices and dividends for stocks listed on the New York Stock Exchange since 1926. Its extensive use precludes any understanding of the peculiarities of the European markets, and hinders the development of professional, analytical models and financial products tailored to them. Of course, in Europe, important data collections have been run for some countries. For example, the SCOB database for Belgium, the London Share Prices Database. Still, the coverage of European countries is limited and above all, the existing databases are not interoperable. These factors prevent from analyzing the European financial market as a whole.
Considerable progress could be made by setting up high-quality and interoperable financial databases for Europe, generating the potential for an extensive revision of current knowledge of the financial markets. There is great demand for structured databases that can capture the long-run logic and behaviour of the European markets and particularly for the European market.
The Equipment we are building drawing on the PSE research tradition and partnerships with financial professionals aspires to form the basis for such a revision. This project is designed to develop a comprehensive database on the French stock markets since 1796, and to be extended to other kinds of data and to other European countries. In combination with other research infrastructures such as the SCOB database of the Antwerp University, it would meet the need for a benchmark infrastructure, first in France and then in Europe, to develop high-quality research by both scholars and the financial services industry and based on concrete exchanges between. For France, more specifically, the Equipment covers first stock market information on all the financial instruments, shares and bonds (public and private) issued by French and foreign issuers, and traded on the Paris Bourse; it registers on a bimonthly basis spot, forward and options prices, as well as dividends, coupons, (reverse) splits, and other securities events relevant for the computation of prices harmonized over time. It also records features of the issuers such as issuer type and nationality and, for private issuers, registered office, business sector, directors and balance sheet, etc… Lastly, it includes the foreign exchange rates and the prices of precious materials quoted at the Paris Bourse. It will be the most comprehensive long-run stock exchange database in the world as far as market coverage and covered timespan are concerned. The Equipex is already preparing the extension of this infrastructure Parisian OTC and it plans to add French regional markets in a third phase.
The purpose of the Equipment is not to underpin a specific research project, but to provide a progressive instrument to be used constantly by the French and European scientific community, to address a host of scientific issues for innovative projects. This is why the Equipment will be open and scalable. Beyond the other French markets and potential extensions to other European markets, the development of the content of the Equipment can cover data on issuing companies not incorporated into the initial version and produced by other projects as well as data concerning unlisted companies, whatever their juridical status, and the banking system.
Governance of the project
Labeled by the Pôle mondial de compétitivité Finance et Innovation, this project is driven by an innovative partnership between the Paris School of Economics, the Institut Louis Bachelier, the Très Grande Infrastructure de Recherche Progedo, and IODS Data Services. It is well articulated with the Laboratory of Excellence (Labex) “Opening Economics”, the Labex “Finance and durable growth”, the Initiative of Excellence Paris Sciences et Lettres .
The principal investigator is Pierre-Cyrille Hautcoeur (EHESS and PSE), in collaboration with the scientific manager Angelo Riva (European Business School and PSE), while the steering committee is composed by: the director of the PSE (the group’s chair) Pierre-Yves Geoffard, the CEO of the ILB Jean-Michel Beacco, the director of Progedo Pascal Buléon, the CEO of IODS data services Didier Davydoff, the president of the Equipex’s Scientific Committee Georges Gallais-Hammono, the principal investigator of the Equipex Pierre-Cyrille Hautcoeur, the scientific manager of Equipex Angelo Riva.
The Scientific Council assists the steering group with its recommendations. It is formed by six experts: Georges Gallais-Hamonno (Univerity of Orléans, former president of the Association Française de Finance and president of the scientific committee), Frans Buelens (Antwerp University), Carsten Burhop (Vienna University), David Chambers (Judge Business School, Cambridge University.), William Goetzman (Yale University.) and Jean Imbs (PSE) with the principal investigator of the project Pierre-Cyrille Hautcoeur (EHESS and PSE) and the scientific manager Angelo Riva (European Business School and Paris School of Economics).
Archives - Right at the beginning of D-FIH, Pierre-Cyrille Hautcoeur had detailed the origin and ambitions of the project: read this interview in pdf