The Federation of European Securities Exchanges (FESE) is delighted to announce that the winner of the De la Vega Prize 2017 is Björn Hagströmer for the paper "Overestimated effective spreads: Implications for investors". Björn Hagströmer is Associated Professor in Finance at Stockholm Business School.

In this paper, the author proposes an alternative measure that overcomes the problem of overestimated effective spreads: the microprice effective spread. Investors using the microprice effective spread are better positioned to minimize illiquidity costs through liquidity timing and order routing, evaluate adverse selection, and optimize their portfolio weights and rebalancing frequency. The paper shows that the effective spread measured relative to the spread midpoint overstates the theoretical effective spread in markets with discrete prices and elastic liquidity demand.

The De la Vega Advisory Jury agreed to also assign a 'Special Mention' for its merits to the paper "Regulatory Integration of International Capital Markets" of Jean-Marie A. Meier from the London Business School.

The Prize was awarded by FESE President Deirdre Somers, CEO of the Irish Stock Exchange, and Rainer Riess, FESE Director General, on 21st June 2017 at the Gala Dinner of the FESE Convention in Paris.

De la Vega Advisory Jury 2017

  • Söhnke M. Bartram, Ph.D., Professor of Finance, Warwick Business School.
  • Dion Bongaerts, Ph.D., Associate Professor, RSM, Erasmus University Rotterdam.
  • Alain Durré, Ph.D., Executive Director and Chief Economist, Goldman Sachs Paris office, France.
  • Peter Hoffmann, Ph.D., Economist, Financial Research Division, European Central Bank.
  • Arman Khachaturyan, Ph.D., Vice Minister, Ministry of Transport, Communication and Information Technologies.
  • Karel Lannoo, Chief Executive Officer at CEPS.
  • Laurence Lescourret, Ph.D., Associate Professor of Finance, ESSEC Business School.
  • Nondas Cl. Metaxas, Former CEO of the Cyprus Stock Exchange.
  • Sophie Moinas, Ph.D., Professor of Finance, IAE Toulouse School of Management.
  • Ulf Nielsson, Ph. D., Associate Professor of Finance, Copenhagen Business School.
  • Angel Pardo Tornero, Full Professor, Department of Financial Economics, University of Valencia.
  • Roberto Pascual, Ph.D., Associate Professor in Finance, University of the Balearic Islands.
  • Mark Van Achter, Ph.D., Assistant Professor, RSM, Erasmus University Rotterdam.
  • Marlene D. Haas, Ph.D., Associate, Cornerstone Research.
  • Marius A. Zoican, Ph.D., Assistant Professor of Finance, University Paris Dauphine.

Read the full Press Release here.