Capital Markets: Market Efficiency eJournal最新文献_第2页

Risk Aversion in Corporate Bond Markets 公司债券市场的风险规避

Capital Markets: Market Efficiency eJournal Pub Date : 2021-10-01 DOI: 10.2139/ssrn.3939949

Antje Berndt, I. Dergunov, Jean Helwege

引用次数: 0

Return Smoothing and Loan Fund Flows: Can Investors See Through to Fair Value? 收益平滑与贷款资金流动:投资者能看穿公允价值吗?

Capital Markets: Market Efficiency eJournal Pub Date : 2021-09-26 DOI: 10.2139/ssrn.3931100

M. Emin, C. James

引用次数: 1

Intangible assets and the cross-section of stock returns 无形资产与股票收益的横截面

Capital Markets: Market Efficiency eJournal Pub Date : 2021-09-21 DOI: 10.2139/ssrn.3927990

Dion Bongaerts, Xiaowei Kang, Mathijs A. Van Dijk

引用次数: 0

Equity Market Fragmentation and Capital Investment Efficiency 股权市场碎片化与资本投资效率

Capital Markets: Market Efficiency eJournal Pub Date : 2021-09-18 DOI: 10.2139/ssrn.3757751

Wayne Landsman, Jing Pan, Stephen R. Stubben

{"title":"Equity Market Fragmentation and Capital Investment Efficiency","authors":"Wayne Landsman, Jing Pan, Stephen R. Stubben","doi":"10.2139/ssrn.3757751","DOIUrl":"https://doi.org/10.2139/ssrn.3757751","url":null,"abstract":"This study examines how equity market fragmentation affects firms’ capital investment decisions. Recent empirical research finds that market fragmentation lowers trading costs and thus improves market quality. We examine whether this increase in market quality translates into greater revelatory price efficiency, where stock prices reveal with greater precision information to managers and/or creditors about firms’ investment opportunities. Consistent with this notion, our findings reveal that the association between capital investment and investment opportunities is increasing in market fragmentation. Additional evidence suggests that (a) market fragmentation increases revelatory price efficiency at least in part by encouraging information acquisition and informed trade by equity investors and (b) the more efficient stock prices inform both managers and creditors about firms’ investment opportunities. Inferences based on difference-in-differences and instrumental variable tests are consistent with those based on our primary findings. This paper was accepted by Suraj Srinivasan, accounting. Funding: The authors are grateful to the Kenan-Flagler Business School, Cox School of Business, Smeal School of Business, and David Eccles School of Business for funding our research. Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2023.4905 .","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133691878","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

Does the Capital Market Recognize Financial Misrepresentations? – Fundamental Value and Market Analysis 资本市场能识别财务虚假陈述吗?-基本价值和市场分析

Capital Markets: Market Efficiency eJournal Pub Date : 2021-09-18 DOI: 10.2139/ssrn.3926293

Ingolf Kloppenburg

{"title":"Does the Capital Market Recognize Financial Misrepresentations? – Fundamental Value and Market Analysis","authors":"Ingolf Kloppenburg","doi":"10.2139/ssrn.3926293","DOIUrl":"https://doi.org/10.2139/ssrn.3926293","url":null,"abstract":"The efficiency of a (capital) market is a key element in economics (e.g. Marshall 2009; Mankiw 2014). This paper attempts to shed more light into the market efficiency in case of the rare event of a deliberate violation of GAAP (misrepresentation). The aim of the paper is twofold. The first aim is to determine the amount by which misrepresented firms are overvalued due to the misrepresentation. I therefore compare the actual firm value with hypothetical firm value based on the fundamental value of the firm without the misrepresentation. The latter is calculated with conventional valuation methods. The second aim is to compare the value difference with the market reaction once the misrepresentation emerges to test market efficiency. The firm value difference is then compared with the market reaction around the date when the misrepresentation gets revealed to the public e.g. with a restatement announcement. The method is thereby an OLS-regression. The analysis bases on a dataset of misrepresenting firms detected by the US Securities and Exchange Commission (AAER cases). Results indicate a substantially higher market value due to the misrepresentation depending on the method of an average value of up to 29.6% and median values ranging from 1.6% to 17.6%. Moreover, results indicate that the market reaction once the misrepresentation is revealed is independent of the value difference. The results are robust for the valuation method and market reaction horizon. My interpretation is that the results provide statistical and economical evidence of an anomaly of the market efficiency hypothesis.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133621388","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

Dividend Announcements and Market Trends 股息公告和市场趋势

Capital Markets: Market Efficiency eJournal Pub Date : 2021-09-15 DOI: 10.2139/ssrn.3891332

Nagendra Marisetty, S. M

{"title":"Dividend Announcements and Market Trends","authors":"Nagendra Marisetty, S. M","doi":"10.2139/ssrn.3891332","DOIUrl":"https://doi.org/10.2139/ssrn.3891332","url":null,"abstract":"This research primarily aims to study the impact of dividend announcements on the stock price of companies listed in the Indian stock market. Incidental to the study, it is necessary to understand whether the market trends have any role in affecting the changes in share prices due to dividend announcements. The companies listed on the stock market are diverse in terms of the industry, market capitalization, and performance. We analyze the S&P BSE 500 index stocks, which declare cash dividend every year without fail for ten years from 2008 – 17. Total 1755 sample was tested for dividend announcement and sample divided into large, medium, and small sample sizes based on the market capitalization of the stocks to test the market trend effect. Event methodology market model used to calculate the abnormal returns on the dividend announcement day. \u0000 \u0000The present research study examined the impact of dividend announcements on stocks in the Indian stock market. The results observe in twenty-four times based on market capitalization wise and market trend-wise dividend announcements. The results of the study are not the same for all dividend announcement observations. The study found positive abnormal returns on event day in most of the dividend announcement observations and it is similar to Litzenberger and Ramaswamy (1982), Asquith and Mullins Jr (1983), Grinblatt, Masulis, and Titman (1984), Chen, Nieh, Da Chen, and Tang (2009) and many previous research results studied in major developed stock markets and emerging stock markets. Full sample, large-cap, and small-cap final dividend average abnormal returns are positively significant only in bull market trend (period 2) similar to Below and Johnson (1996) and other market trends final dividend announcement abnormal returns are positive in most of the observations, but returns are not significant. Average abnormal returns are sensitive to market trends, especially abnormal small-cap returns more vulnerable to market trends.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114277338","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

Market Efficiency - A Structural Study 市场效率——一个结构性研究

Capital Markets: Market Efficiency eJournal Pub Date : 2021-09-13 DOI: 10.2139/ssrn.3742378

Rajeev R. Bhattacharya

{"title":"Market Efficiency - A Structural Study","authors":"Rajeev R. Bhattacharya","doi":"10.2139/ssrn.3742378","DOIUrl":"https://doi.org/10.2139/ssrn.3742378","url":null,"abstract":"I use eight different metrics as separate objective and systematic measures of the efficiency of the market for a stock. I develop a seven-equation (six- for non-Nasdaq stocks) structural model with market efficiency as a function of exogenous factors (transaction costs & constraints, short sales costs & constraints, and dispersion in investor valuations) and endogenous market activities (trading volume, short interest, number of analysts, institutional holdings, shares outstanding, and number of market makers (for Nasdaq stocks)), and each endogenous market activity as a function of the exogenous factors and all other endogenous market activities. I propose a theoretical model that shows that higher trading volume (or another similar market activity) is caused by lower transaction costs, lower short sales costs, and/or higher dispersion of investor valuations, and therefore, that the impact on market efficiency of transaction costs or short sales costs is an empirical question. I apply Three Stage Least Squares and Errors in Variables to estimate the structural system and test the corresponding hypotheses, using panel-based instrumentation strategies for endogenous and inaccurately measured variables. Analyzing Nasdaq and non-Nasdaq stocks separately, I find that transaction costs & constraints have a significant positive (negative) impact on market efficiency for Nasdaq (non-Nasdaq) stocks, whereas short sales costs & constraints and dispersion in investor valuations have ambiguous impacts on market efficiency, that Fama-French Factors are substantially important in affecting these relationships in sign and significance, and that market efficiency is not directly positively associated with trading volume, short interest, number of analysts, institutional holdings, and number of market makers (for Nasdaq stocks), but is directly positively associated with shares outstanding.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130652534","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

Future Hedging Costs: Back to Basics 未来对冲成本:回归基础

Capital Markets: Market Efficiency eJournal Pub Date : 2021-09-13 DOI: 10.2139/ssrn.3924377

Christophe Patry, J. Mozley

引用次数: 0

What Are Benefits of Attracting Gambling Investors? Evidence from Stock Splits in China 吸引赌博投资者有什么好处?来自中国股票分拆的证据

Capital Markets: Market Efficiency eJournal Pub Date : 2021-09-12 DOI: 10.2139/ssrn.3922178

Conghui Hu, Ji-Chai Lin, Yu-Jane Liu

引用次数: 1

Language and Domain Specificity: A Chinese Financial Sentiment Dictionary 语言与领域专用性:汉语金融情绪词典

Capital Markets: Market Efficiency eJournal Pub Date : 2021-09-10 DOI: 10.2139/ssrn.3759258

Zijia Du, A. Huang, Russ Wermers, Wenfeng Wu

引用次数: 2