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Do Managers Use Reference Points? Evidence from Stock Repurchases 管理者是否使用参考点?股票回购的证据
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-03-15 DOI: 10.2139/ssrn.3805055
Nicholas Clarke, D. Norris, Andrew Schrowang
{"title":"Do Managers Use Reference Points? Evidence from Stock Repurchases","authors":"Nicholas Clarke, D. Norris, Andrew Schrowang","doi":"10.2139/ssrn.3805055","DOIUrl":"https://doi.org/10.2139/ssrn.3805055","url":null,"abstract":"This study adds to a growing literature on managerial reference points by examining whether prior repurchase prices are reference points for current repurchase decisions. We find that the percent change from the prior repurchase price to the current stock price is negatively related to the current level of repurchases. This relationship is robust to controlling for the well-known negative relationship between prior stock returns and repurchases, and it is not explained by contemporaneous or future investments or cash flows. To facilitate a causal interpretation, we find that the relationship between prior repurchase prices and current repurchases disappears when the prior repurchase price is associated with a previous manager. These results are consistent with the idea that managers use past repurchase prices as reference points for current repurchase decisions.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"51 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90863606","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
Strategic Trading when the Market Maker Has a Monopoly on Short-Lived Information 做市商垄断短期信息时的策略交易
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-03-15 DOI: 10.2139/ssrn.3776783
Vladislav Gounas
{"title":"Strategic Trading when the Market Maker Has a Monopoly on Short-Lived Information","authors":"Vladislav Gounas","doi":"10.2139/ssrn.3776783","DOIUrl":"https://doi.org/10.2139/ssrn.3776783","url":null,"abstract":"This paper develops a strategic trading model in which the market maker has a monopoly on short-lived information. Given that modern market makers are high frequency traders, it is assumed that market makers are able to process any short-lived information event faster than other traders. Since the market maker’s information is short-lived, informed traders sequentially learn about it and adjust their strategies accordingly. The correlation structure of the market maker’s short-lived information has significant effects on the dynamic trading equilibrium and can generate new stylized facts like negative trading intensities and non-monotonic news sensitivities.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82248730","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
Fake Alpha 假的α
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-03-08 DOI: 10.2139/ssrn.2899722
M. Müller, Tobias Rosenberger, M. Uhrig-Homburg
{"title":"Fake Alpha","authors":"M. Müller, Tobias Rosenberger, M. Uhrig-Homburg","doi":"10.2139/ssrn.2899722","DOIUrl":"https://doi.org/10.2139/ssrn.2899722","url":null,"abstract":"We develop a model in which mutual fund investors chase CAPM alpha. Managers can generate CAPM alpha either by discovering mispricing – True Alpha – or by loading on risk factors that are beyond the scope of the CAPM – Fake Alpha. Investors cannot distinguish between the two different types of alpha and thus confuse Fake Alpha with True Alpha. We show that this confusion ex-post causes negative CAPM alpha in equilibrium states. Empirical results support our theoretical predictions: The average CAPM alpha is significantly negative, and retail funds with large loads of Fake Alpha provide investors significantly lower CAPM alpha than their peers.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"87 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78620308","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
Resolving a Paradox: Retail Trades Positively Predict Returns but are Not Profitable 解决一个悖论:零售交易积极预测回报，但不盈利
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-03-02 DOI: 10.2139/ssrn.3783492
B. Barber, Shengle Lin, Terrance Odean
{"title":"Resolving a Paradox: Retail Trades Positively Predict Returns but are Not Profitable","authors":"B. Barber, Shengle Lin, Terrance Odean","doi":"10.2139/ssrn.3783492","DOIUrl":"https://doi.org/10.2139/ssrn.3783492","url":null,"abstract":"In the US, retail order imbalance positively correlates with returns in the days following trades, however, in aggregate, retail investors lose money by trading. These two facts coexist because order imbalance tests ignore losses on the day of trade and because retail purchases are concentrated in stocks that earn large negative abnormal returns. Additionally, small retail trades, which are favored by retail investors with less knowledge, experience, and wealth, underperform large trades. Our results reconcile the literatures on the performance of retail investors, the predictive content of retail order imbalance, and attention-induced trading and returns.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74389129","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: 18
The Effect of Hidden Liquidity: Evidence from an Exogenous Shock 隐性流动性的影响:来自外生冲击的证据
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-03-01 DOI: 10.2139/ssrn.3766512
Amy K. Edwards, Paul Hughes, J. Ritter, Patti L. Vegella, Hao Zhang
{"title":"The Effect of Hidden Liquidity: Evidence from an Exogenous Shock","authors":"Amy K. Edwards, Paul Hughes, J. Ritter, Patti L. Vegella, Hao Zhang","doi":"10.2139/ssrn.3766512","DOIUrl":"https://doi.org/10.2139/ssrn.3766512","url":null,"abstract":"While existing studies find mixed results on the effect of hidden liquidity, this study exploits the Tick Size Pilot (“the Pilot”) as a quasi-natural experiment and uses instrumental-variable regression analyses to examine how hidden liquidity, both on and off-exchange, affect the informativeness of quotations. We document that an increase in tick size results in a reduction in pre-trade transparency, but with opposing effects on on- and off-exchange hidden liquidity. We find that an increase in hidden liquidity reduces price efficiency, the contribution of quotes to price discovery, and the ability to manage the order execution risk and cost of exchange order submission. In addition, an increase in hidden liquidity reduces the ability to manage transaction costs off exchange. These results hold for both on- and off-exchange hidden liquidity. However, several results differ when pre-trade transparency is measured using trade-based measures of hidden liquidity rather than order-based measures.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"84 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72617070","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
Liquidity, Welfare and Transparency in Dynamic OTC markets 动态场外交易市场的流动性、福利和透明度
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-03-01 DOI: 10.2139/ssrn.3111018
A. Kakhbod, Fei Song
{"title":"Liquidity, Welfare and Transparency in Dynamic OTC markets","authors":"A. Kakhbod, Fei Song","doi":"10.2139/ssrn.3111018","DOIUrl":"https://doi.org/10.2139/ssrn.3111018","url":null,"abstract":"We study how public information disclosure about past transaction prices or orders affect price informativeness, market liquidity and welfare in dynamic over the counter markets. Post trade information disclosure reduces market price informativeness, however, it increases liquidity and may improve welfare. Our policy implications include: (i) forward-looking incentive of informed dealers reduces price informativeness but improves liquidity; (ii) post-trade price disclosure may have no impact on price informativeness and liquidity; (iii) however, post-trade order disclosure reduces price informativeness but improves liquidity. We also derive several testable implications and demonstrate the robustness of our findings to different changes in model specification.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"69 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78866194","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
A Robust Economic, as Opposed to Industry Classification Nomenclature for Identification and Study of Corporate Diversification 一个稳健的经济，相对于行业分类命名法识别和研究公司多元化
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-02-25 DOI: 10.2139/ssrn.3768898
Oghenovo A. Obrimah
{"title":"A Robust Economic, as Opposed to Industry Classification Nomenclature for Identification and Study of Corporate Diversification","authors":"Oghenovo A. Obrimah","doi":"10.2139/ssrn.3768898","DOIUrl":"https://doi.org/10.2139/ssrn.3768898","url":null,"abstract":"It is well established that Tobin's q is more a measure of average productivity than marginal productivity. This study arrives at two conditions that, satisfied, transform Tobin's q into a robust qualitative - well ordered - measure for firms' marginal productivity. First, in presence of continuity of efficiency of internal capital markets, model predictions show absence of a diversification discount feasibly tatonnes into emergence of a diversification discount. Efficiency of internal capital markets then is shown to be robustly deducible from performance effects of arrival of a beneficial shock in opportunity set of a division of a diversified firm that is characterized by `soft' information. Second, the formal theory establishes necessity of a new economic nomenclature for identification of diversified firms. In presence of the new economic nomenclature, a firm operating in two different industry segments has, conditional on asymptotic equality of segment marginal productivities, classification as a focused firm.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"10 21","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91405568","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
Investor Attention to Financial Information 投资者对财务信息的关注
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-02-07 DOI: 10.2139/ssrn.3229526
Shiwon Song
{"title":"Investor Attention to Financial Information","authors":"Shiwon Song","doi":"10.2139/ssrn.3229526","DOIUrl":"https://doi.org/10.2139/ssrn.3229526","url":null,"abstract":"Based on Internet search behavior, I create a novel measure of individual investor attention to firm-specific financial information. To do this, I use search terms that combine a word that indicates the firm’s identity with a word that indicates the type of information the investor intends to pay attention to. When individual investor attention to financial information is high, I find that responses to earnings announcements are stronger, a finding that does not hold for search volume. Congruently, I find that the post-earnings announcement drift and the underreaction to earnings are weaker. However, I find a stronger overreaction to accruals, which is a less persistent component of earnings. The last result is unique to the active attention of individual investors and does not hold for sophisticated investors or for passive media-driven attention. These findings indicate that individual investors’ limitations in processing nuanced financial information are not fully offset by paying attention.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"30 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84992294","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: 2
A Theory of Revealed Indirect Preference 显性间接偏好理论
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-01-30 DOI: 10.2139/ssrn.3776049
Gaoji Hu, Jiangtao Li, J. Quah, Rui Tang
{"title":"A Theory of Revealed Indirect Preference","authors":"Gaoji Hu, Jiangtao Li, J. Quah, Rui Tang","doi":"10.2139/ssrn.3776049","DOIUrl":"https://doi.org/10.2139/ssrn.3776049","url":null,"abstract":"A preference over menus is said to be an indirect preference if it is induced by a preference over the objects that make up those menus, i.e., a menu A is ranked over B whenever A contains an object that is preferred to every object in B. The basic question we address in this paper is the following: suppose an observer has partial information of an agent’s ranking over certain menus; what necessary and sufficient conditions on those rankings guarantee the existence of a preference over objects that induces the observed menu rankings? Our basic result has a wide variety of applications. (1) It gives a characterization of rankings over prices that could be extended to a bona fide indirect utility function. (2) It leads to a generalization of Afriat’s (1967) theorem that allows for imperfectly observed choices. (3) It could be used to characterize observations that are consistent with a multiple preferences model. (4) It leads to a characterization of a model of choice generated by minimax regret.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86399665","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: 2
Econometric Equilibria for Non-Cooperative Games 非合作博弈的计量经济均衡
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-01-25 DOI: 10.2139/ssrn.3773399
Enrico G. De Giorgi, Andrin Pelican
{"title":"Econometric Equilibria for Non-Cooperative Games","authors":"Enrico G. De Giorgi, Andrin Pelican","doi":"10.2139/ssrn.3773399","DOIUrl":"https://doi.org/10.2139/ssrn.3773399","url":null,"abstract":"Game theory and econometrics are central tools in economic analysis. In this paper, we study what happens if players in a game use econometric tools to form their opinion about the other players' behavior. In particular, we analyze the case where each player observes a number of outcomes of a game. From these observations she forms her beliefs about other players’ strategies. She then plays her best answer strategy. We show that in this framework an equilibrium exists, which we call the econometric equilibrium. The econometric equilibrium generally differs from the Nash equilibrium. However, it converges to a Nash equilibrium if the number of observations of the game increases to infinity.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"26 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78277797","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
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