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ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)最新文献

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Order-flow-based Leading Indicators of Short-term Liquidity Shortfalls 基于订单流量的短期流动性短缺领先指标
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2021-10-26 DOI: 10.2139/ssrn.3474294
David Abad, Magdalena Massot, Samarpan Nawn, R. Pascual, José Yagüe
{"title":"Order-flow-based Leading Indicators of Short-term Liquidity Shortfalls","authors":"David Abad, Magdalena Massot, Samarpan Nawn, R. Pascual, José Yagüe","doi":"10.2139/ssrn.3474294","DOIUrl":"https://doi.org/10.2139/ssrn.3474294","url":null,"abstract":"Which components of the overall message traffic are effective leading indicators of impending liquidity shortfalls? Using detailed message-level data that flags the orders of HFTs (high-frequency traders), agency ATs (algorithmic traders), and non-ATs, we show that, after controlling for volume and volatility, only the HFTs’ net buying pressure, computed from the inflow of both aggressive and non-aggressive orders, precedes increases in both immediacy costs and price impacts in the short run. Consistent with market making theories of active risk management, cancellations and revisions of outstanding limit orders relate to preceding efficient price returns and enhance the overall signaling capacity of the HFTs’ order flow. Market-wide indicators of the HFTs’ net buying pressure add extra power in anticipating single-stock liquidity drops.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"218 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77436609","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Information, Market Power and Welfare 信息、市场力量和福利
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2021-10-09 DOI: 10.2139/ssrn.3922215
Youcheng Lou, Rohit Rahi
{"title":"Information, Market Power and Welfare","authors":"Youcheng Lou, Rohit Rahi","doi":"10.2139/ssrn.3922215","DOIUrl":"https://doi.org/10.2139/ssrn.3922215","url":null,"abstract":"We study a financial market in which agents with interdependent values bid for a risky asset. Some agents are privately informed of their own value for the asset while others seek to infer it from the equilibrium price. Due to adverse selection, uninformed agents are less willing than the informed to provide liquidity, and engage in greater bid shading when prices are more informative. While increased participation by informed agents leads to perfect competition in the limit, the market remains illiquid to some degree even with free entry of uninformed traders. The incentive to produce information is increasing in market size and is maximal in a perfectly competitive economy. Price informativeness, on the other hand, is independent of market size. Curtailing information production by one group can reduce adverse selection, and improve liquidity and welfare for all agents.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"20 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86422758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
An Equilibrium Model of Career Concerns, Investment Horizons, and Mutual Fund Value Added 职业关注、投资视野与共同基金增值的均衡模型
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2021-10-09 DOI: 10.2139/ssrn.3920863
Jules H. van Binsbergen, Jungsuk Han, Hongxun Ruan, Ran Xing
{"title":"An Equilibrium Model of Career Concerns, Investment Horizons, and Mutual Fund Value Added","authors":"Jules H. van Binsbergen, Jungsuk Han, Hongxun Ruan, Ran Xing","doi":"10.2139/ssrn.3920863","DOIUrl":"https://doi.org/10.2139/ssrn.3920863","url":null,"abstract":"We study a dynamic equilibrium model of mutual fund investing under career concerns that features investment opportunities at different horizons. Equilibrium returns are endogenously determined by competition. Short-term investment strategies can benefit fund managers by accelerating skill revelation, while the downside risk is managed by manager exit. In the steady state, a large number of new and unskilled managers exploit the value of this call option, driving down short-term excess returns. A small number of experienced and skilled managers exploit scalable long-term investment opportunities, adding substantial value. We empirically confirm our theoretical predictions using US mutual fund data.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79737286","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Stock Liquidity and Algorithmic Market Making During the COVID-19 Crisis COVID-19危机期间的股票流动性和算法做市
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2021-10-04 DOI: 10.2139/ssrn.3857463
Bidisha Chakrabarty, R. Pascual
{"title":"Stock Liquidity and Algorithmic Market Making During the COVID-19 Crisis","authors":"Bidisha Chakrabarty, R. Pascual","doi":"10.2139/ssrn.3857463","DOIUrl":"https://doi.org/10.2139/ssrn.3857463","url":null,"abstract":"Much of the liquidity supply in modern markets comes from algorithmic traders (ATs). Prompted by concerns of fragility induced by such voluntary market making, we examine ATs’ liquidity-provision role during the COVID-19 crisis. We find that amidst the turmoil as market liquidity declined, ATs did not (disproportionately) withdraw liquidity supply. Stocks with the highest algorithmic trading (AT) experienced lower liquidity reduction compared to stocks with the lowest AT activity. High AT stocks did not experience greater reduction in either competition for liquidity provision or price improvements than low AT stocks. Multiple tests indicate that high AT did not associate with any greater deterioration in price efficiency vis-à-vis low AT stocks. Stocks in the industries hardest hit by COVID-19 did not see any less AT competition for liquidity supply or price efficiency than stocks in the least affected ones. Overall, our results allay some concerns that the current levels of AT make markets more susceptible to liquidity withdrawal in times of crises. © 2022 Elsevier B.V.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"108 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81683429","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Financial Information and Diverging Beliefs 财务信息和分歧信念
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2021-09-20 DOI: 10.2139/ssrn.3780824
C. Armstrong, M. Heinle, Irina Maxime Luneva
{"title":"Financial Information and Diverging Beliefs","authors":"C. Armstrong, M. Heinle, Irina Maxime Luneva","doi":"10.2139/ssrn.3780824","DOIUrl":"https://doi.org/10.2139/ssrn.3780824","url":null,"abstract":"This paper theoretically and empirically shows that, when investors are uncertain about how precise is the signal they receive, their beliefs may further diverge after they receive the same piece of information. We test this prediction using trading volume around quarterly earnings announcements of public U.S. firms. Under signal-precision uncertainty, trading volume increases for intermediate levels of earnings surprise and dampens for extreme levels. Dampening is more pronounced when signal-precision uncertainty is high. We propose a novel measure of earnings-announcement-precision uncertainty and show that, first, S-shaped earnings response coefficient and, second, trading volume's dampening for extreme signals are more pronounced for high levels of earnings-announcement-precision uncertainty. Our findings might lead researchers to reconsider their widespread usage of trading volume as a simple proxy for market liquidity.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"88 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91463471","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamic Multivariate Learning with Generalized Information 广义信息下的动态多元学习
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2021-08-03 DOI: 10.2139/ssrn.3904938
Praveen Kumar, James Yae
{"title":"Dynamic Multivariate Learning with Generalized Information","authors":"Praveen Kumar, James Yae","doi":"10.2139/ssrn.3904938","DOIUrl":"https://doi.org/10.2139/ssrn.3904938","url":null,"abstract":"Agents are generally uncertain about multiple, and possibly time-varying, structural parameters that drive consumption and financial payoffs but learn through noisy correlated signals, such as aggregate or macroeconomic news. We find that dynamic learning of multivariate time-varying parameters with correlated signals generates endogenous long-run risks resulting in large and never-decaying equity risk premium. In general, the risk premium is driven by intertemporal co-uncertainty, that is, the dynamic covariance of posterior means, rather than uncertainty (i.e., variance of beliefs) that is highlighted in the literature. Signal correlation structure plays a crucial role in the dynamics of beliefs and asset prices and hence the determination of the equity premium. Apart from its quantitative implications, signal correlation generates non-monotone effects of information quality on the equity premium. We also present empirical evidence of the prevalence of highly correlated signals. Our general learning framework highlights the economic effects of correlated signals on Bayesian learning.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"323 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77987059","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Arbitrary Bilateral Bargaining in Decentralized Markets for Lemons 柠檬分散市场中的任意双边谈判
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2021-07-25 DOI: 10.2139/ssrn.3893225
Bruno Barsanetti, Braz Camargo
{"title":"Arbitrary Bilateral Bargaining in Decentralized Markets for Lemons","authors":"Bruno Barsanetti, Braz Camargo","doi":"10.2139/ssrn.3893225","DOIUrl":"https://doi.org/10.2139/ssrn.3893225","url":null,"abstract":"We investigate the efficiency of dynamic random matching and bilateral bargaining markets with adverse selection. We take a detail-free approach to the bargaining game, assuming only that: (a) each agent's actions are optimal given the equilibrium market conditions and the equilibrium strategy of the opposing agents; (b) bargaining reveals information about the quality of the object to the uninformed buyer, who cannot commit to acquire the object at a price that exceeds her expected reservation price conditional on such information. We characterize the equilibrium that maximizes the realized gains from trade among all decentralized equilibria. We show this equilibrium features full information revelation during bargaining. This equilibrium also realizes strictly more gains from trade than any equilibrium of trade under a price system, which we use as a benchmark for trade in centralized markets. However, as trading frictions vanish, the optimal decentralized market allocation converges to the optimal centralized market allocation.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"56 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85590084","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Analytic Policy Function Iteration 解析策略函数迭代
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2021-06-24 DOI: 10.2139/ssrn.3512320
Zhao Han, Fei Tan, Jieran Wu
{"title":"Analytic Policy Function Iteration","authors":"Zhao Han, Fei Tan, Jieran Wu","doi":"10.2139/ssrn.3512320","DOIUrl":"https://doi.org/10.2139/ssrn.3512320","url":null,"abstract":"We propose a novel approach to solving and analyzing linear rational expectations models with general information frictions. Our approach is built upon policy function iterations in the frequency domain. We develop the theoretical framework of this approach using rational approximation, analytic continuation, and discrete Fourier transform. We provide the numerical implementation accompanied by a flexible object-oriented toolbox. We demonstrate the efficiency and accuracy of our method by studying four models in macroeconomics and finance that feature asymmetric information sets, endogenous signals, and higher-order expectations.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87939625","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Equilibrium Executive Compensation 均衡高管薪酬
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2021-06-08 DOI: 10.2139/ssrn.3862731
Gilles Chemla, A. Rivera, Liyan Shi
{"title":"Equilibrium Executive Compensation","authors":"Gilles Chemla, A. Rivera, Liyan Shi","doi":"10.2139/ssrn.3862731","DOIUrl":"https://doi.org/10.2139/ssrn.3862731","url":null,"abstract":"We examine a general equilibrium dynamic economy in which each firm i) hires a manager who can divert cash flows and ii) can fire him after poor performance, generating costs to both parties. The contract is terminated when the manager's continuation value reaches his compensation at another firm net of his termination cost. The unique competitive equilibrium features overcompensation, short-termism, and excessive executive tenure unless moral hazard is minimal. When a firm increases executive pay, it increases the cost to other firms to retain their managers, in turn forcing them to raise and front-load their compensation packages. The equilibrium contract can be implemented with inside equity relinquished upon termination. Inefficiencies decrease with the firm's discount rate and the manager's termination cost and increase with the manager's discount rate, the termination cost to the firm, and the moral hazard proxy. Optimal corporate and income tax schedules and transfer fees can generate the social planner's allocation. When moral hazard is minimal, undercompensation, excessive delay in pay, and excessive firing obtain while subsidies and firing fees restore first best.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"42 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89560993","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
High-Frequency Trading and Market Quality: The Case of 'Slightly Exposed' Market 高频交易与市场质量:“轻微暴露”市场案例
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2021-05-19 DOI: 10.2139/ssrn.3190717
Cumhur Ekinci, Oguz Ersan
{"title":"High-Frequency Trading and Market Quality: The Case of 'Slightly Exposed' Market","authors":"Cumhur Ekinci, Oguz Ersan","doi":"10.2139/ssrn.3190717","DOIUrl":"https://doi.org/10.2139/ssrn.3190717","url":null,"abstract":"Impacts of high-frequency trading (HFT) on market quality and various actors have been broadly studied. However, what happens when HFT is not a prominent figure in a market remains relatively unexplored. The paper seeks to answer this question focusing on 30 blue chip stocks in an emerging market, Borsa Istanbul, through Dec 2015 to Mar 2017. Despite a low share in the overall activity, HFT has observable effects: liquidity provision by non-HFT traders significantly reduces with HFT; HFT activity on the sell side induces higher volatility; and HFT generates profits on both positive and negative return days. These findings raise concerns regarding HFT and show potential externalities are not specific to the markets with HFT dominance.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"171 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77411173","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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