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Capital Markets: Market Efficiency eJournal最新文献

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Access to Finance, Bureaucracy, and Capital Allocation Efficiency 融资渠道、官僚主义和资本配置效率
Capital Markets: Market Efficiency eJournal Pub Date : 2021-03-15 DOI: 10.2139/ssrn.3803504
Wenbin Cao, Xiaoman Duan, Xu Niu
{"title":"Access to Finance, Bureaucracy, and Capital Allocation Efficiency","authors":"Wenbin Cao, Xiaoman Duan, Xu Niu","doi":"10.2139/ssrn.3803504","DOIUrl":"https://doi.org/10.2139/ssrn.3803504","url":null,"abstract":"We study the degree and determinants of capital allocation efficiency across firms, using comprehensive firm-level survey data that covers a broad spectrum of developing countries. As measured by the dispersion in firms’ marginal revenue product of capital, we document that capital misallocation is pervasive in firms within the same industry in a country. We find that limited access to finance, bureaucracy, information asymmetry, and gender inequality play essential roles in impeding the most efficient allocation of capital across firms in developing countries. By employing the quantile regression technique, we show these factors exert more significant effects on firms that are already highly distorted (i.e., have too little capital). The results have direct policy implications; in particular, governments could achieve a more efficient allocation of capital by eliminating these distortions to enhance economic performance.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115965556","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
Media Exposure and Stock Market Participation 媒体曝光和股票市场参与
Capital Markets: Market Efficiency eJournal Pub Date : 2021-03-12 DOI: 10.2139/ssrn.3555813
Lin Hu, Kun Li, P. Ngo
{"title":"Media Exposure and Stock Market Participation","authors":"Lin Hu, Kun Li, P. Ngo","doi":"10.2139/ssrn.3555813","DOIUrl":"https://doi.org/10.2139/ssrn.3555813","url":null,"abstract":"We use a novel instrument--the local lineup position of business channels--to show that media exposure from cable television increases equity participation by increasing awareness of the stock market for first-time investors. Economically, a one-standard deviation reduction in the lineup position of business channels increases viewership by 6%. Subsequently, the propensity to invest in the stock market increases by 8.8% for the full sample and rises to 21.3% for first-time investors induced into watching by variation in channel position. Media exposure also reduces the likelihood these first time investors exit, keeping them in the stock market for longer.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126484567","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 Boon or a Bane? An Examination of Social Communication in Social Trading 是福还是祸?社会交易中的社会交际研究
Capital Markets: Market Efficiency eJournal Pub Date : 2021-03-10 DOI: 10.2139/ssrn.3802038
Jiaying Deng, Mingwen Yang, Matthias Pelster, Yong Tan
{"title":"A Boon or a Bane? An Examination of Social Communication in Social Trading","authors":"Jiaying Deng, Mingwen Yang, Matthias Pelster, Yong Tan","doi":"10.2139/ssrn.3802038","DOIUrl":"https://doi.org/10.2139/ssrn.3802038","url":null,"abstract":"Social trading is an emerging market in the sharing economy, allowing inexperienced investors (copiers) to automatically follow the trades of experts (leaders) in real time. We use a separable temporal exponential random graph model (STERGM) to analyze the link formation and dissolution of a large social trading network. In contrast to traditional social networks, social trading networks are characterized by a rapid dissolution of links, thereby increasing the importance of studying network dissolution. We investigate how social communication, along with financial performance and demographics, affects dynamic network evolution and address the existing dependence among copier-leader links. Our results show that social communication, financial performance, and demographic factors are important determinants of link formation. However, once a link is formed, copiers mainly focus on financial performance and communication but not on demographic factors. Thus, the determinants of link formation and dissolution are asymmetric. Different types of social communication, such as posts and comments, have different implications for link formation and dissolution. Our findings provide important implications for both investors and social trading platforms.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132982585","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
Does Corporate Governance Matter for Financial Analysts? Evidence from Tunisia 公司治理对金融分析师重要吗?来自突尼斯的证据
Capital Markets: Market Efficiency eJournal Pub Date : 2021-03-09 DOI: 10.2139/ssrn.3800643
Imen Fredj, M. Rabah Gana
{"title":"Does Corporate Governance Matter for Financial Analysts? Evidence from Tunisia","authors":"Imen Fredj, M. Rabah Gana","doi":"10.2139/ssrn.3800643","DOIUrl":"https://doi.org/10.2139/ssrn.3800643","url":null,"abstract":"This article examines the link between corporate governance mechanisms with both analyst forecasts accuracy and recommendations within the Tunisian Stock Exchange. Based on agency and signaling theories, good governance mechanisms aim to mitigate agency conflicts, and improve corporate transparency. As a result, they can serve as mediators in the forecasting process. Using a sample of 357 firm-year observations, there is a significant relation between governance quality, target price accuracy and recommendations, respectively. One of the most important results is that CEO compensation is an effective mechanism on which analysts can rely when setting their forecasts, especially within the financial sector.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116665295","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
What is the Impact of Introducing a Parallel OTC Market? Theory and Evidence from the Chinese Interbank FX Market 引入平行场外交易市场的影响是什么?中国银行间外汇市场的理论与证据
Capital Markets: Market Efficiency eJournal Pub Date : 2021-03-09 DOI: 10.2139/ssrn.3658573
C. Holden, Dong Lu, Volodymyr Lugovskyy, D. Puzzello
{"title":"What is the Impact of Introducing a Parallel OTC Market? Theory and Evidence from the Chinese Interbank FX Market","authors":"C. Holden, Dong Lu, Volodymyr Lugovskyy, D. Puzzello","doi":"10.2139/ssrn.3658573","DOIUrl":"https://doi.org/10.2139/ssrn.3658573","url":null,"abstract":"Chinese Interbank Foreign Exchange trading was originally conducted through a centralized, anonymous limit order book (LOB). We determine the impact of the introduction of a parallel decentralized over-the-counter (OTC) market. We find that: (1) most trading migrated to the OTC, (2) the LOB price function is upward-sloping versus the OTC price function is downward-sloping, and (3) the LOB market has a single price function versus the OTC market has multiple price functions. Next, we develop a theoretical model of parallel markets that can simultaneously explain all of these empirical findings. We test a new model prediction and find support.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121256172","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
Crash Probability Anomaly in the Chinese Stock Market 中国股市崩盘概率异常
Capital Markets: Market Efficiency eJournal Pub Date : 2021-03-08 DOI: 10.2139/ssrn.3823741
Yi Fang, Hui Niu, Xiang-bo Tong
{"title":"Crash Probability Anomaly in the Chinese Stock Market","authors":"Yi Fang, Hui Niu, Xiang-bo Tong","doi":"10.2139/ssrn.3823741","DOIUrl":"https://doi.org/10.2139/ssrn.3823741","url":null,"abstract":"Abstract This study investigates the cross-sectional relationship of stock price crash probability in the Chinese stock market. We find that there is a negative cross-sectional correlation between crash probability and stock return. Meanwhile, we discover that the anomaly of crash probability is affected by market-wide sentiment, which is stronger in high-priced stocks, but not related to company size. Those above findings are diametrically opposite of those of the U.S. market.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"205 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131988240","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 COVID-19 Pandemic and Indian Pharmaceutical Companies: An Event Study Analysis COVID-19大流行与印度制药公司:事件研究分析
Capital Markets: Market Efficiency eJournal Pub Date : 2021-03-08 DOI: 10.21098/BEMP.V24I0.1483
C. Behera, B. N. Rath
{"title":"The COVID-19 Pandemic and Indian Pharmaceutical Companies: An Event Study Analysis","authors":"C. Behera, B. N. Rath","doi":"10.21098/BEMP.V24I0.1483","DOIUrl":"https://doi.org/10.21098/BEMP.V24I0.1483","url":null,"abstract":"Although there is a plethora of studies which examine the impact of the COVID-19 pandemic on India’s financial sector, we contribute by investigating the effect of the ongoing COVID-19 pandemic on stock returns of Indian pharmaceutical companies. By employing an event study methodology, our results indicate that the average returns of the pharmaceutical sector are positive during the COVID-19 phase although mixed evidence is found at the firm level. This finding is also robust to alternative model specifications. \u0000  \u0000 ","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129443923","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: 19
The Intraday Impact of Macroeconomic News on Price Moves of Financial Instruments 宏观经济消息对金融工具价格变动的盘中影响
Capital Markets: Market Efficiency eJournal Pub Date : 2021-03-05 DOI: 10.2139/ssrn.3798844
Shuang Song, Ritabrata Bhattacharyya
{"title":"The Intraday Impact of Macroeconomic News on Price Moves of Financial Instruments","authors":"Shuang Song, Ritabrata Bhattacharyya","doi":"10.2139/ssrn.3798844","DOIUrl":"https://doi.org/10.2139/ssrn.3798844","url":null,"abstract":"This paper studies the impact of major U.S. macroeconomic news releases on price movements of selected instruments in asset classes including equity, foreign exchange, and fixed income over different time spans within a day. The results show that U.S. macroeconomic news surprises affect different asset classes to varying degrees. Price movements of long-term U.S. Treasury bond yield return and news surprises of non-farm payroll, as well as ADP employment change are positively correlated. The impact is also higher within five minutes after release. The results are consistent with earlier research which shows the bond market reacts more to macroeconomic news. Such information can help traders with risk management and alpha generation when trade macroeconomic data. The paper also examines recent news about equity performance on employment data which shows they are not always consistent.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133046866","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 Quality, Investment Efficiency, and the Country-Level Strength of Institutional Enforcement 会计质量、投资效率与国家层面的制度执行力度
Capital Markets: Market Efficiency eJournal Pub Date : 2021-03-03 DOI: 10.2139/ssrn.3796797
Seraina C. Anagnostopoulou
{"title":"Accounting Quality, Investment Efficiency, and the Country-Level Strength of Institutional Enforcement","authors":"Seraina C. Anagnostopoulou","doi":"10.2139/ssrn.3796797","DOIUrl":"https://doi.org/10.2139/ssrn.3796797","url":null,"abstract":"This study examines the extent to which the effect of firm-level accounting quality on corporate investment efficiency differs across jurisdictions with differential strength of institutional and regulatory enforcement. Institutional enforcement is expected to mitigate adverse selection and moral hazard concerns which drive inefficient investment, in the same way as firm-specific financial reporting quality has been shown to do by previous research within the single-country setting. Using a sample of mandatory IFRS adopters from 25 countries, findings first indicate a significantly negative association between accounting quality and both over- and under-investment, which strongly holds regardless of the institutional characteristics of a country. However, this negative association becomes more pronounced when the level of institutional enforcement is weaker and less effective in a country, consistent with firm-specific reporting quality increasing importance as country-level regulatory enforcement worsens. This evidence indicates that when the effectiveness of institutional enforcement in a country does not successfully alleviate information asymmetries, and help facilitate the efficient monitoring of corporate insiders by capital providers, there is greater need for firm-specific accounting quality to perform this function in order to promote efficient investing.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125911726","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
Social Media Sentiment and IPO Pricing 社交媒体人气与IPO定价
Capital Markets: Market Efficiency eJournal Pub Date : 2021-03-01 DOI: 10.2139/ssrn.3870563
Ye Xian
{"title":"Social Media Sentiment and IPO Pricing","authors":"Ye Xian","doi":"10.2139/ssrn.3870563","DOIUrl":"https://doi.org/10.2139/ssrn.3870563","url":null,"abstract":"This study attempts to examine the impact of social media attention and sentiment on IPO pricing. Specifically, by using social media sentiment as a proxy for retail investors’ valuation, I attempt to examine the theoretical predictions in prior studies (Ljungqvist, Nanda and Sigh (2006), Cornelli, Goldreich, and Ljungqvist (2006), and Derrien (2005)) that overoptimism of sentiment investors leads to initial overpricing of IPO followed by long-term reversal. Using posts on Stocktwits during pre-IPO period, I have constructed measurements of investor attention and sentiment. The empiri- cal results are generally consistent with the theoretical predictions that retail investor overoptimism leads to higher IPO first day price run up and worse long-term perfor- mance. Additionally, using machine learning techniques to classify untagged posts, I have found similar results when sentiment measures are constructed by classified un- tagged posts. Results with sentiment measures constructed by these classified posts imply that more optimistic sentiment leads to a higher turnover rate shortly after IPO, indicating that informed investors are selling overpriced IPO shares to sentiment retail investors.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121051630","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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