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Media Makes Momentum 媒体形成势头
ERN: Financial Market Efficiency (Topic) Pub Date : 2014-07-07 DOI: 10.2139/ssrn.2023442
Alexander Hillert, Heiko Jacobs, Sebastian Müller
{"title":"Media Makes Momentum","authors":"Alexander Hillert, Heiko Jacobs, Sebastian Müller","doi":"10.2139/ssrn.2023442","DOIUrl":"https://doi.org/10.2139/ssrn.2023442","url":null,"abstract":"Relying on 2.2 million articles from forty-five national and local U.S. newspapers between 1989 and 2010, we find that firms particularly covered by the media exhibit, ceteris paribus, significantly stronger momentum. The effect depends on article tone, reverses in the long run, is more pronounced for stocks with high uncertainty, and is stronger in states with high investor individualism. Our findings suggest that media coverage can exacerbate investor biases, leading return predictability to be strongest for firms in the spotlight of public attention. These results collectively lend credibility to an overreaction-based explanation for the momentum effect.","PeriodicalId":137800,"journal":{"name":"ERN: Financial Market Efficiency (Topic)","volume":"221 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123296047","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: 203
The Impact of Technological Improvements on Developing Financial Markets: The Case of the Johannesburg Stock Exchange 技术进步对发展中金融市场的影响:以约翰内斯堡证券交易所为例
ERN: Financial Market Efficiency (Topic) Pub Date : 2013-05-05 DOI: 10.2139/ssrn.1927989
M. Dicle, John Levendis
{"title":"The Impact of Technological Improvements on Developing Financial Markets: The Case of the Johannesburg Stock Exchange","authors":"M. Dicle, John Levendis","doi":"10.2139/ssrn.1927989","DOIUrl":"https://doi.org/10.2139/ssrn.1927989","url":null,"abstract":"Can a significant technological improvement make an economically justifiable contribution to a financial market’s development? The Johannesburg Stock Exchange (JSE) incorporated the SETS system from the London Stock Exchange in 2002. It is certain that SETS is a technologically efficient trading system and it would undoubtedly improve trading in the JSE. We test whether SETS represents a structural break by examining whether there was an increase in the JSE’s liquidity, market efficiency and international integration after the introduction of SETS. We find that, though SETS was certainly a technological improvement which has increased liquidity, it was not a sufficient factor to render it efficient. However, the JSE became more independent after the incorporation of SETS. It now offers better diversification opportunities for international investors.","PeriodicalId":137800,"journal":{"name":"ERN: Financial Market Efficiency (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121408050","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
The Third Fundamental Theorem of Asset Pricing 资产定价第三个基本定理
ERN: Financial Market Efficiency (Topic) Pub Date : 2012-06-14 DOI: 10.2139/ssrn.2007112
R. Jarrow
{"title":"The Third Fundamental Theorem of Asset Pricing","authors":"R. Jarrow","doi":"10.2139/ssrn.2007112","DOIUrl":"https://doi.org/10.2139/ssrn.2007112","url":null,"abstract":"The importance of market efficiency to derivative pricing is not well understood. The purpose of this paper is to explain this connection using the third fundamental theorem of asset pricing. The third fundamental theorem of asset pricing characterizes the conditions under which an equivalent martingale probability measure exists in an economy. Noting that the existence of an equivalent martingale probability measure is both necessary and sufficient for the market being informationally efficient, we prove that in a complete market, the market being efficient is both necessary and sufficient for the validity of the risk neutral valuation methodology.","PeriodicalId":137800,"journal":{"name":"ERN: Financial Market Efficiency (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124251017","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: 25
'Banking' on the Internet: Does Internet Banking Really Improve Bank Performance? 网上“银行”:网上银行真的能改善银行业绩吗?
ERN: Financial Market Efficiency (Topic) Pub Date : 2011-10-18 DOI: 10.2139/ssrn.1989838
Mingfeng Lin, H. Lucas, J. Bailey
{"title":"'Banking' on the Internet: Does Internet Banking Really Improve Bank Performance?","authors":"Mingfeng Lin, H. Lucas, J. Bailey","doi":"10.2139/ssrn.1989838","DOIUrl":"https://doi.org/10.2139/ssrn.1989838","url":null,"abstract":"Internet banking represents an important innovation in the banking industry, yet empirical analyses of how it affects bank performance remain rare. Using a comprehensive dataset of U.S. banks between 2003 and 2008, we combine propensity-score matching and difference-in-differences methods to study how the adoption of Internet banking affects bank performance. Contrary to common wisdom and several previous studies, we find only modest evidence that Internet banking adoption improves bank performance. In fact, the adoption of Internet banking actually results in worse performance for many banks. Additional analyses suggest that younger banks and banks that are earlier adopters are more likely to enjoy the benefits of Internet banking.","PeriodicalId":137800,"journal":{"name":"ERN: Financial Market Efficiency (Topic)","volume":"105 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128369509","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
Do Institutional Traders Predict Bull and Bear Markets? 机构交易员能预测牛市和熊市吗?
ERN: Financial Market Efficiency (Topic) Pub Date : 2011-09-19 DOI: 10.2139/ssrn.1930197
Bahattin Buyuksahin, Celso Brunetti, J. Harris
{"title":"Do Institutional Traders Predict Bull and Bear Markets?","authors":"Bahattin Buyuksahin, Celso Brunetti, J. Harris","doi":"10.2139/ssrn.1930197","DOIUrl":"https://doi.org/10.2139/ssrn.1930197","url":null,"abstract":"We analyze the role of hedge fund, swap dealer and arbitrageur activity in a Markov regime-switching model between high volatility bear markets and low volatility bull markets for crude oil, corn and Mini-SP 2003). Conditioning on hedge fund activity and arbitrageur activity significantly improves our probability estimates, demonstrating that institutional positions can be useful in determining whether price trends resembling bubble patterns will continue or reverse.","PeriodicalId":137800,"journal":{"name":"ERN: Financial Market Efficiency (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114865446","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
Monthly Seasonality in the Bucharest Stock Exchange 布加勒斯特证券交易所的月度季节性
ERN: Financial Market Efficiency (Topic) Pub Date : 2011-03-06 DOI: 10.2139/ssrn.2002401
Ramona Dumitriu, R. Stefanescu, C. Nistor
{"title":"Monthly Seasonality in the Bucharest Stock Exchange","authors":"Ramona Dumitriu, R. Stefanescu, C. Nistor","doi":"10.2139/ssrn.2002401","DOIUrl":"https://doi.org/10.2139/ssrn.2002401","url":null,"abstract":"This paper investigates the existence of the monthly effects on the Romanian Stock Exchange. We employ the returns of the main indices and the trading volume and the trading values from the main components of the Bucharest Stock Exchange. We find different forms of monthly seasonality explainable by some characteristics of the stocks.","PeriodicalId":137800,"journal":{"name":"ERN: Financial Market Efficiency (Topic)","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125157987","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
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