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Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal最新文献

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Does Disagreement Facilitate Informed Trading? Evidence from Activist Investors 分歧能促进知情交易吗?来自激进投资者的证据
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-01-12 DOI: 10.2139/ssrn.3765092
J. Cookson, Vyacheslav Fos, M. Niessner
{"title":"Does Disagreement Facilitate Informed Trading? Evidence from Activist Investors","authors":"J. Cookson, Vyacheslav Fos, M. Niessner","doi":"10.2139/ssrn.3765092","DOIUrl":"https://doi.org/10.2139/ssrn.3765092","url":null,"abstract":"We study the effects of investor disagreement on informed trading by activist investors using high-frequency disagreement data derived from the investor social network StockTwits. Greater investor disagreement leads to more trading activity on the subsequent day by privately informed activists. Disagreement leads to higher prices and improvements in measured liquidity, but these observed valuation and market liquidity differences do not explain the increase in activist trading. Instead, investor disagreement affects activist trading primarily by facilitating trading by non-activist investors. These findings suggest that investor disagreement not only affects trading by uninformed investors but also facilitates trading by informed market participants who often take actions aimed at changing corporate policies.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"346 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77782805","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: 7
Network Complexity and Financial Behavior – Volume Distribution over Price in Financial Market 网络复杂性与金融行为——金融市场的量价分布
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-01-12 DOI: 10.2139/ssrn.3748969
Leilei Shi, Bingtuan Wang
{"title":"Network Complexity and Financial Behavior – Volume Distribution over Price in Financial Market","authors":"Leilei Shi, Bingtuan Wang","doi":"10.2139/ssrn.3748969","DOIUrl":"https://doi.org/10.2139/ssrn.3748969","url":null,"abstract":"Current study has revealed that it is time to move beyond behavioral finance to social finance in network complexity, which studies the structure of social interactions. Some pioneering scholars in economics and finance have provided a considerable number of empirical evidences of how financial ideas transmit, spread and evolve, and how social processes affect financial outcomes. However, there is big challenge to have a widely acceptable theory in the social finance. After a brief perspective on the historical development from network theories to complex networks, here we focus on the application in finance. We propose a unified theory and two sets of explicit volume distribution models over a price range from Shi’s wave equation in a new mathematical method. The theory is also evidenced validity by the empirical evidence on nonlinear V-shaped price pressures utility. It predicts the policies effective about quarantine and mask wearing against COVID-19 pandemics.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"193 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90112493","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
Does Social Connectedness Affect Stock Market Participation? 社会联系是否影响股票市场参与?
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-01-06 DOI: 10.2139/ssrn.3724407
Chih-Ching Hung
{"title":"Does Social Connectedness Affect Stock Market Participation?","authors":"Chih-Ching Hung","doi":"10.2139/ssrn.3724407","DOIUrl":"https://doi.org/10.2139/ssrn.3724407","url":null,"abstract":"Using IRS tax filing data, I show that social network and word-of-mouth communications play an important role in stock market participation decisions. Using a novel dataset from Facebook, I construct a measure of social network friends' participation for US counties and find that a one-percentage point increase in friends' participation increases the focal county participation by 14 to 25 basis points in the following year. For identification strategy, I employ the revelation of financial misconducts as an exogenous negative shock to local participation rate and show that the instrumented change in friend participation significantly and positively predicts the change in focal county participation rates. The increase in participation rates among the low-income households induced by friends' participation decreases the Gini coefficients in metropolitan counties in the following two years. The evidence suggests that social influences and peer effects contribute to the cross-sectional differences in the stock market participation rates across US counties and may lead to lower income inequality.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88824514","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
Predicting the Fed Sentiment in a Data-Rich Environment 在数据丰富的环境下预测美联储的情绪
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-01-02 DOI: 10.2139/ssrn.3758934
Özge Serbest
{"title":"Predicting the Fed Sentiment in a Data-Rich Environment","authors":"Özge Serbest","doi":"10.2139/ssrn.3758934","DOIUrl":"https://doi.org/10.2139/ssrn.3758934","url":null,"abstract":"This paper examines the predictability of the Federal Reserve (Fed) sentiment conveyed by the words in the Federal Open Market Committee (FOMC) statements. First, we construct a Fed sentiment index based on textual analysis. Second, we predict the Fed sentiment index by using a large set of macro-finance variables (a data-rich environment). For the prediction, we employ several methods; OLS regressions, factor models, and penalized regressions. We find that most of the models outperform the benchmark, AR (1), in our in-sample analysis, suggesting that the use of a large dataset can improve forecasting performance. However, a simple OLS model with economic policy uncertainty and industrial production is the only model that beats the benchmark in our out-of-sample setting. Moreover, we assess the usefulness of the predicted Fed sentiment by forecasting two financial variables. The results suggest that the predicted Fed sentiment indices provide more information than its lag.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"27 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77763897","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
Horizon Bias in Expectations Formation 预期形成中的视界偏差
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-01-02 DOI: 10.2139/ssrn.3759035
S. Cassella, Benjamin Golez, Huseyin Gulen, Peter Kelly
{"title":"Horizon Bias in Expectations Formation","authors":"S. Cassella, Benjamin Golez, Huseyin Gulen, Peter Kelly","doi":"10.2139/ssrn.3759035","DOIUrl":"https://doi.org/10.2139/ssrn.3759035","url":null,"abstract":"We provide empirical evidence that optimism bias increases with the forecasting horizon. We label this empirical regularity the horizon bias. We document significant horizon bias in the macroeconomic expectations of professional forecasters, both in the U.S. and abroad. In our empirical setting, horizon bias is unlikely to be the result of strategic considerations, information rigidities, or common heuristic rules of belief formation. At the same time, we show theoretically that horizon bias can arise in theories of motivated beliefs. Moreover, following the conceptual framework of Benabou(2015), we show that many theory-based drivers of motivated beliefs can help explain time-series variation in horizon bias.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"29 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89166562","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
Know Thy Enemies: The Competitive Sensemaking of Market 了解你的敌人:市场的竞争意义
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-01-01 DOI: 10.2139/ssrn.3889977
Desmond W. Ng
{"title":"Know Thy Enemies: The Competitive Sensemaking of Market","authors":"Desmond W. Ng","doi":"10.2139/ssrn.3889977","DOIUrl":"https://doi.org/10.2139/ssrn.3889977","url":null,"abstract":"Due to an increasing dynamism in markets, changes in the competitive landscape have made the assessment of competitive boundaries an increasing concern to scholars of managements. The objective of this study is to develop a competitive sense-making approach to explain how firms develop a shared as well as ambiguous understanding of competitive boundaries. A unique contribution of this study is that it introduces an endogenous explanation of the competitive boundary process. This process appeals to a firm’s past (retrospective) and future (prospective) sense-making processes that not only define a firm’s competitive relationships, but these relationships create a shared and ambiguous understanding of competitive boundaries. A novel agent base simulation model was then developed to examine this competitive sense-making where it shows institutional influences involving population can moderate a firm’s competitive sense-making.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"21 17","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91430387","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
Motivated Beliefs about Stock Returns 关于股票收益的动机信念
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-01-01 DOI: 10.2139/ssrn.3905142
Carlos Cueva, Iñigo Iturbe-Ormaetxe
{"title":"Motivated Beliefs about Stock Returns","authors":"Carlos Cueva, Iñigo Iturbe-Ormaetxe","doi":"10.2139/ssrn.3905142","DOIUrl":"https://doi.org/10.2139/ssrn.3905142","url":null,"abstract":"Does buying a stock bias one’s expectations about its future value? We find experimental evidence that it does. First, in a laboratory experiment, we elicit peoples’ price predictions for simulated stocks and compare them to the Bayesian benchmark. Then, in a second experiment, we elicit peoples’ daily price predictions for real stocks over a six-week period. In both experiments, we find that people predict higher future values for losing stocks when they happen to hold them. This result provides the first direct evidence of a beliefs-based explanation for investors’ reluctance to sell losers, as in the well-known disposition effect.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"34 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73563915","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
Rise of Superstar Firms and Fall of the Price Mechanism 超级明星企业的崛起与价格机制的衰落
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2020-12-18 DOI: 10.2139/ssrn.3751055
Dan Su
{"title":"Rise of Superstar Firms and Fall of the Price Mechanism","authors":"Dan Su","doi":"10.2139/ssrn.3751055","DOIUrl":"https://doi.org/10.2139/ssrn.3751055","url":null,"abstract":"This paper investigates the impacts of superstar firms and their cash hoarding behaviors on capital misallocation through the lens of an endogenous firm-market boundary. Empirically, I find that since the 1980s, capital allocation efficiency has been deteriorating in the United States. To explain this aggregate trend, I introduce product market competition and corporate risk management into a standard continuous-time heterogeneous agent model with incomplete markets. In this framework, entrepreneurs face non-homogeneous, quality-based earnings processes, and Coase (1937)’s firm-(financial) market boundary exists in general equilibrium. The price mechanism is bounded by corporate internal financing as there is no market to equalize the marginal value of internal resources across firms. Shifts in supply and demand curves not only generate a “winners-take-most” phenomenon, but also make current winners inherently riskier and cause them to rely less on external financing. Accordingly, the increasing corporate self-financing moves the firm-market boundary and thus increases misallocation. Parameterizations of the model consistent with the data suggest that the area disciplined by the price mechanism, measured as the wealth-weighted share of firms using external financial market, has declined by roughly 11% over the past forty years.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86123860","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
The Disproof of Neoclassical Theory by Means of Its Own Means 新古典主义理论的自我反驳
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2020-12-09 DOI: 10.2139/ssrn.3745905
D. Nomidis
{"title":"The Disproof of Neoclassical Theory by Means of Its Own Means","authors":"D. Nomidis","doi":"10.2139/ssrn.3745905","DOIUrl":"https://doi.org/10.2139/ssrn.3745905","url":null,"abstract":"My research so far, which reveals fundamental mistakes of the conventional (neoclassical) economic theory, is based mainly on the (wrong) perception of this theory for the price taking and the horizontal demand curve for the firm, using instead the correct individual demand curve for the firm, which is sloping and equal to the total demand divided by the number of firms for each price. Despite the great readability and vivid academic interest that my relevant papers have caused, I feel some difficulties regarding the acceptance of the revised theory and perhaps even its understanding, due to physiological addiction and adherence to traditional theory and methodology. This article, however, demonstrates these mistakes of conventional theory by using the methodology of the conventional theory itself, without getting involved in the controversial issue of the horizontal or sloping demand curve for the firm.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"74 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85793122","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
Face Value: Trait Impressions, Performance Characteristics, and Market Outcomes for Financial Analysts 表面价值:金融分析师的特质印象、绩效特征和市场结果
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2020-12-03 DOI: 10.2139/ssrn.3741735
Lin Peng, S. Teoh, Yakun Wang, Jiawen Yan
{"title":"Face Value: Trait Impressions, Performance Characteristics, and Market Outcomes for Financial Analysts","authors":"Lin Peng, S. Teoh, Yakun Wang, Jiawen Yan","doi":"10.2139/ssrn.3741735","DOIUrl":"https://doi.org/10.2139/ssrn.3741735","url":null,"abstract":"Using machine learning-based algorithms, we extract key impressions about personality traits from the LinkedIn profile photos of sell-side analysts. We find that these face-based factors are associated with analyst behavior, performance, and capital- and labor-market outcomes. The trustworthiness (TRUST) and dominance (DOM) factors are positively associated with analyst forecast accuracy and report length. Analysts with high TRUST scores tend to herd with managerial guidance forecasts; those with high DOM scores actively participate in conference calls. The positive association of the attractiveness (ATTRACT) factor on forecast accuracy diminishes with market learning and after Reg-FD. Forecasts from analysts with higher TRUST and DOM scores generate stronger price reactions. High DOM scores help male analysts but hurt female analysts to attain All-Star status. These findings suggest that impressions formed from observing analysts’ physical facial attributes are associated with analysts’ economic behaviors. Some of the investor and peer responses to these impressions seem to reflect societal biases and gender stereotypes.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"40 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85343491","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: 6
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