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Capital Markets: Market Efficiency eJournal最新文献

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News Implied Volatility and Aggregate Economic Activity: Evidence from the Japanese Government Bond Market 新闻隐含波动率与总体经济活动:来自日本政府债券市场的证据
Capital Markets: Market Efficiency eJournal Pub Date : 2022-11-08 DOI: 10.2139/ssrn.3933595
Keiichi Goshima, H. Ishijima, M. Shintani
{"title":"News Implied Volatility and Aggregate Economic Activity: Evidence from the Japanese Government Bond Market","authors":"Keiichi Goshima, H. Ishijima, M. Shintani","doi":"10.2139/ssrn.3933595","DOIUrl":"https://doi.org/10.2139/ssrn.3933595","url":null,"abstract":"Because options on 10-year Japanese government bonds (JGB) futures are relatively new in the market, their implied volatility, JGB-VIX, is not available before 2007. For the period when JGB-VIX is available, we conduct supervised learning by using the daily newspaper articles as input and JGB-VIX as output. We then construct a new JGB market uncertainty measure, which we called JGB-NU, based on the predicted values of JGB-VIX from the estimated model and contents of the newspaper articles from 1981 to 2017. In the VAR analysis with JGB-NU, we confirm that JGB market uncertainty shocks have a negative impact on real economic activities in Japan.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131698352","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
Directed Acyclic Graph Based Information Shares for Price Discovery 基于有向无环图的信息共享价格发现
Capital Markets: Market Efficiency eJournal Pub Date : 2022-05-01 DOI: 10.2139/ssrn.3901726
Sebastiano Michele Zema
{"title":"Directed Acyclic Graph Based Information Shares for Price Discovery","authors":"Sebastiano Michele Zema","doi":"10.2139/ssrn.3901726","DOIUrl":"https://doi.org/10.2139/ssrn.3901726","url":null,"abstract":"The possibility to measure the contribution of agents and exchanges to the price formation process in financial markets acquired increasing importance in the literature. In this paper I propose to exploit a data-driven approach to identify structural vector error correction models (SVECM) typically used for price discovery. Exploiting the non-Normal distributions of the variables under consideration, I propose a variant of the widespread Information Share measure, which I will refer to as the Directed Acyclic Graph based-Information Shares(DAG-IS), which can identify the leaders and the followers in the price formation process through the exploitation of a causal discovery algorithm well established in the area of machine learning. The approach will be illustrated from a semi-parametric perspective, solving the identification problem with no need to increase the computational complexity which usually arises when working at incredibly short time scales. Finally, an empirical application on IBM intraday data will be provided.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131085271","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
Disclosure Processing Costs and Market Feedback Around the World 全球披露处理成本与市场反馈
Capital Markets: Market Efficiency eJournal Pub Date : 2021-10-26 DOI: 10.2139/ssrn.3771361
Charles McClure, Shawn X. Shi, Edward M. Watts
{"title":"Disclosure Processing Costs and Market Feedback Around the World","authors":"Charles McClure, Shawn X. Shi, Edward M. Watts","doi":"10.2139/ssrn.3771361","DOIUrl":"https://doi.org/10.2139/ssrn.3771361","url":null,"abstract":"We study how disclosure processing costs affect managers’ ability to learn from their own firms’ stock price and incorporate this information into their investment decisions. To provide evidence on this issue, we examine country-level adoptions of centralized electronic disclosure systems. These systems, which digitize and centralize firm disclosures, are among regulators’ most critical technological interventions to reduce disclosure processing costs for investors. Consistent with CEDS crowding out investors’ private-information acquisition, which induces managers to learn less from their stock price, we find a significant decrease in managers’ investment sensitivity to price following these adoptions. Leveraging country-level variation, we also show these effects are heterogeneous across several country-specific dimensions. We find that decreased managerial learning is greatest in places that benefit most from CEDS: smaller and more opaque countries and those with better-developed platforms. Overall, our results show technology that reduces disclosure processing costs have real effects on the global economy.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131401266","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: 5
Consensus Analyst Target Prices: Information Content and Implications for Investors 共识分析师目标价格:信息内容和对投资者的影响
Capital Markets: Market Efficiency eJournal Pub Date : 2021-10-25 DOI: 10.2139/ssrn.3467800
Asa B. Palley, Thomas D. Steffen, F. Zhang
{"title":"Consensus Analyst Target Prices: Information Content and Implications for Investors","authors":"Asa B. Palley, Thomas D. Steffen, F. Zhang","doi":"10.2139/ssrn.3467800","DOIUrl":"https://doi.org/10.2139/ssrn.3467800","url":null,"abstract":"Consensus analyst target prices are widely available online at no cost to investors. In this paper we examine how the amount of dispersion in the individual target prices comprising the consensus affects the predictive relationship between the consensus target price and future returns. We find some evidence that when dispersion is low, returns predicted by consensus target prices are more positively associated with realized future returns. However, we document a strong negative association between predicted and realized returns for stocks with high target price dispersion. Further analyses suggest that this effect of dispersion reflects distortions from analysts being slow to update price targets after bad news. As a stock performs poorly and some analysts are slow to update their target prices, dispersion increases and the consensus target price becomes too high. This has important implications for the informativeness of the consensus analyst target price. Finally, we show that the negative correlation between consensus-based predicted returns and future realized returns for high-dispersion stocks exists mainly for stocks with high retail interest, suggesting that unsophisticated investors are misled by inflated target prices available freely online.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117065704","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: 5
Coordinating Product Market Strategies Using Market Feedback 利用市场反馈协调产品市场策略
Capital Markets: Market Efficiency eJournal Pub Date : 2021-10-24 DOI: 10.2139/ssrn.3919986
Xingjia Zhang
{"title":"Coordinating Product Market Strategies Using Market Feedback","authors":"Xingjia Zhang","doi":"10.2139/ssrn.3919986","DOIUrl":"https://doi.org/10.2139/ssrn.3919986","url":null,"abstract":"We develop a model where firms learn from stock price movements about their product market competitors. The firm uses market feedback to adjust its best responses to its rivals' strategies, and these adjustments help to increase profits. We find consumers are worse off. To understand the role of information, we consider two scenarios: first, a public-private, and second, a public-public combination. We find firms are better off and consumers are worse off in the second relative to the first scenario. The informed investor earns less in the second scenario implying that, in equilibrium, she picks one stock to trade. We find market feedback is socially valuable. Our results have important normative implications: we highlight the partial irrelevance of direct regulatory efforts and the role of corporate taxes in mitigating consumers' resentments in a free-market economy.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125518660","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
Momentum strategies, statistical arbitrage and the market efficiency (The case of Tehran Stock Exchange) 动量策略、统计套利与市场效率(以德黑兰证券交易所为例)
Capital Markets: Market Efficiency eJournal Pub Date : 2021-10-11 DOI: 10.2139/ssrn.3943891
Sina Abdi, Kamran Pakizeh
{"title":"Momentum strategies, statistical arbitrage and the market efficiency (The case of Tehran Stock Exchange)","authors":"Sina Abdi, Kamran Pakizeh","doi":"10.2139/ssrn.3943891","DOIUrl":"https://doi.org/10.2139/ssrn.3943891","url":null,"abstract":"The basic goal of this paper is to investigate the efficacy of a financial notion called Statistical Arbitrage for evaluating the efficiency of the Tehran Stock Exchange. According to this notion, a profit can be gained while its risk decreases over time and tends toward zero. In order to implement this test and construct its trading profits function, a buy-and-hold strategy is employed. Using the Momentum Strategy, nine sub-strategies were defined based on the chronology of the formation and holding periods (short-term, mid-term, and long-term). Results show that two out of nine strategies succeeded in detecting statistical arbitrage opportunities. The successful strategies then were compared via two different methods to identify the best strategy. In other words, these comparisons distinguished the quality of statistical arbitrage opportunities. While, using statistical arbitrage model we demonstrate that the existence of statistical arbitrage opportunities contradicts the Efficient Market Hypothesis in two strategies in the short-run, results of remaining momentum strategies further support the idea of dynamic efficiency, where there is a move from inefficiency toward efficiency in the long-run in Tehran Stock Exchange.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"57 5","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120842655","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
Income Statement Mismatching Conveys Information and Has Not Reduced the Informativeness of Earnings Over Time 损益表错配传达了信息，并没有随着时间的推移降低收益的信息量
Capital Markets: Market Efficiency eJournal Pub Date : 2021-10-10 DOI: 10.2139/ssrn.3778173
H. Oh, S. Penman
{"title":"Income Statement Mismatching Conveys Information and Has Not Reduced the Informativeness of Earnings Over Time","authors":"H. Oh, S. Penman","doi":"10.2139/ssrn.3778173","DOIUrl":"https://doi.org/10.2139/ssrn.3778173","url":null,"abstract":"Research has concluded that there has been a decline in the informativeness of earnings over recent years. The reported decline has been attributed to an increasing mismatch of expenses to revenues from the increasing expensing of investment to the income statement. This paper challenges this attribution: The mismatching adds information for pricing. It does so by distinguishing higher risk investment from that booked to the balance sheet, and the market prices it as such. Further, in a seeming contradiction, the mismatching enhances matching, and empirical tests confirm. Once mismatched expenses and matched earnings are separated, there is little indication of a decline in the information content of accounting over time.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128793282","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
Do stock exchanges specialize? Evidence from the New Jersey transaction tax proposal 证券交易所是专业化的吗?新泽西交易税提案的证据
Capital Markets: Market Efficiency eJournal Pub Date : 2021-10-04 DOI: 10.2139/ssrn.3935946
Rasheek Irtisam, Konstantin Sokolov
{"title":"Do stock exchanges specialize? Evidence from the New Jersey transaction tax proposal","authors":"Rasheek Irtisam, Konstantin Sokolov","doi":"10.2139/ssrn.3935946","DOIUrl":"https://doi.org/10.2139/ssrn.3935946","url":null,"abstract":"Exchange ownership in the U.S. is often characterized as excessively concentrated. This leads to a concern that such concentration may prevent peripheral exchanges from mitigating adverse selection costs associated with low-latency arbitrage. We examine this concern using low-latency connectivity disruptions caused by recent temporary relocations of two markets, NYSE Chicago and Nasdaq PSX, in response to a transaction bill proposal. Although both exchanges had previously announced measures to curb low-latency trading, the connectivity disruptions cause a substantial reduction in adverse selection. These results suggest that peripheral markets have little incentive to implement measures restricting low-latency arbitrage.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128548780","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
Accounting for Asset Pricing Factors 资产定价因素核算
Capital Markets: Market Efficiency eJournal Pub Date : 2021-10-01 DOI: 10.2139/ssrn.3881177
S. Penman, Xiao-Jun Zhang
{"title":"Accounting for Asset Pricing Factors","authors":"S. Penman, Xiao-Jun Zhang","doi":"10.2139/ssrn.3881177","DOIUrl":"https://doi.org/10.2139/ssrn.3881177","url":null,"abstract":"This paper is a treatise on handling accounting numbers in building factor models. Those numbers include book value, investment, return on equity (ROE), and other profitability measures that appear in standard models, but often from data mining without a clear explanation of why they indicate investment risk. The numbers are generated by accounting principles that deal with risk, providing an explanation but also a critique of how the numbers enter extant models. Those principles also point to additional accounting numbers for factor construction. Empirical tests confirm. Accounting numbers are codetermined in a double-entry system, a feature that is exploited for packaging them into a factor model. Rather than entering as the separate, additive factors in extant models, adding to the “factor zoo,” the numbers are combined parsimoniously into factors that capture the information that they jointly convey about risk and return in the double-entry system. Again, empirical tests against extant models confirm.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121702852","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
What Moves Markets? 什么推动了市场?
Capital Markets: Market Efficiency eJournal Pub Date : 2021-10-01 DOI: 10.2139/ssrn.3933777
Mark Kerssenfischer, Maik Schmeling
{"title":"What Moves Markets?","authors":"Mark Kerssenfischer, Maik Schmeling","doi":"10.2139/ssrn.3933777","DOIUrl":"https://doi.org/10.2139/ssrn.3933777","url":null,"abstract":"What share of asset price movements is driven by news? We attempt to answer this question by building a large, time-stamped event database covering scheduled macroeconomic data releases, central bank announcements, bond auctions, as well as unscheduled news such as election results, sovereign rating downgrades, and natural catastrophes. We combine this news database with high-frequency stock price and bond yield changes, both for the United States and the euro area, going back to 2002. We find that news events account for about 50% of all market movements, suggesting that a much larger amount of return variation than previously thought can be traced back to observable news. Finally, we use our news database to quantify the share of asset price variation due to different types of news, to study the predictability of monetary policy surprises, and to dissect changes in the stock-bond correlation.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116448626","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
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