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Capital Markets: Market Efficiency eJournal最新文献

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Number of Numbers: Does Quantitative Textual Disclosure Reduce Information Risk? 数字数量:量化文本披露是否降低了信息风险?
Capital Markets: Market Efficiency eJournal Pub Date : 2021-08-19 DOI: 10.2139/ssrn.3775905
John L. Campbell, Xin Zheng, Dexin Zhou
{"title":"Number of Numbers: Does Quantitative Textual Disclosure Reduce Information Risk?","authors":"John L. Campbell, Xin Zheng, Dexin Zhou","doi":"10.2139/ssrn.3775905","DOIUrl":"https://doi.org/10.2139/ssrn.3775905","url":null,"abstract":"Theoretical research argues that numbers convey more precise information than words. Based on this work, we hypothesize that when managers provide disclosure with a greater proportion of quantitative information, information risk will decrease and firm value will increase. We offer three main findings. First, after controlling for the cash flow news in earnings conference calls, we find a positive association between the extent of hard information (i.e., numerical disclosure) and short-window stock returns around the call. This result suggests that information risk decreases when managers provide greater numerical disclosure. Second, we find that this positive association is larger when firms’ information environment is otherwise poor. Finally, we find that this positive association is larger when uncertainty about firm performance is higher (i.e., when the firm issues a negative earnings surprise). Overall, our results suggest that investors react to the extent of hard information (i.e., numerical disclosure) in earnings conference calls.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122975706","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
Economic Policy Uncertainty and Short-term Reversals 经济政策的不确定性和短期逆转
Capital Markets: Market Efficiency eJournal Pub Date : 2021-08-17 DOI: 10.2139/ssrn.3924771
A. Chui
{"title":"Economic Policy Uncertainty and Short-term Reversals","authors":"A. Chui","doi":"10.2139/ssrn.3924771","DOIUrl":"https://doi.org/10.2139/ssrn.3924771","url":null,"abstract":"This study finds that short-term reversals become more profound in the current month when economic policy uncertainty is larger in the prior month. There is evidence that the economic policy uncertainty influences return reversals through the liquidity channel. Short-term reversal profits are also positively related to the VIX index, the Baker-Wurgler (2007) investor sentiment index, and the Aruoba-Diebold-Scotti (2009) business conditions index in the prior month. Though, the predictability of the latter two indexes is less robust. However, adding these indexes and other variables does not weaken the relationship between economic policy uncertainty and return reversals.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114964670","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
Nowcasting Firms’ Fundamentals: Evidence from the Cloud 临近预测公司的基本面:来自云的证据
Capital Markets: Market Efficiency eJournal Pub Date : 2021-08-15 DOI: 10.2139/ssrn.3893300
Ran Chang, Zhi Da
{"title":"Nowcasting Firms’ Fundamentals: Evidence from the Cloud","authors":"Ran Chang, Zhi Da","doi":"10.2139/ssrn.3893300","DOIUrl":"https://doi.org/10.2139/ssrn.3893300","url":null,"abstract":"Cloud computing has been widely adopted by businesses around the world. Using a proprietary data set on firm-level cloud data records from 2013 to 2021 from China, we find that year-on-year quarterly cloud data growth (CDG) contains value-relevant information for firm fundamentals, earnings surprises, and innovation performance. Specifically, CDG positively predicts assets growth, sales growth, ROA, standardized unexpected earnings (SUE), and patent outcomes. CDG also forecasts stock returns, especially around future earnings announcements. A long-short portfolio by buying (selling) stocks with the high (low) CDGs generates a 9.0% risk-adjusted return annually. The predictive power of CDG is robust to various controls and subsample cuts, superior compared to other nowcasters, and holds in other Asian countries as well.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127923559","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
Tomorrow Is Another Day: Stocks Active Mutual Funds Overweight Predict the Next-Day Market 明天是新的一天:股票活跃共同基金增持预测第二天的市场
Capital Markets: Market Efficiency eJournal Pub Date : 2021-08-14 DOI: 10.2139/ssrn.3905263
Shuaiyu Chen, Yixin Chen, Randolph B. Cohen
{"title":"Tomorrow Is Another Day: Stocks Active Mutual Funds Overweight Predict the Next-Day Market","authors":"Shuaiyu Chen, Yixin Chen, Randolph B. Cohen","doi":"10.2139/ssrn.3905263","DOIUrl":"https://doi.org/10.2139/ssrn.3905263","url":null,"abstract":"How efficient are securities markets? Do professional investors such as mutual fund managers have the ability to exploit superior information? If so, is that only micro-level information about individual firms, or are they also informed about economy-wide and market-wide prospects? These are some of the most fundamental questions in the study of finance. This paper shows that active mutual fund managers possess, and effectively incorporate, information about future short-term movements of the entire stock market into security prices, where \"short term\" means over the next day. Specifically, we find that when high active-mutual-fund ownership stocks outperform, the market tends to do well the next day, and vice versa. These effects are modest day by day but are quite large in the aggregate – trading the S&P 500 futures daily based on this phenomenon delivers an annualized alpha of 12% with negative market beta and an information ratio of 0.6, despite the fact that our tools are blunt: the strategy does not employ any data of mutual fund trades. Various additional tests further suggest that the novel short-term market return predictability yields from active mutual fund managers’ collective information advantage as opposed to informed fund flows or temporary price pressure.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128959595","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 Influence of Individual Investors on Ex-Dividend Day Returns 个人投资者对除息日收益的影响
Capital Markets: Market Efficiency eJournal Pub Date : 2021-08-13 DOI: 10.2139/ssrn.3922410
Andrew Ainsworth, Adrian D. Lee
{"title":"The Influence of Individual Investors on Ex-Dividend Day Returns","authors":"Andrew Ainsworth, Adrian D. Lee","doi":"10.2139/ssrn.3922410","DOIUrl":"https://doi.org/10.2139/ssrn.3922410","url":null,"abstract":"This study documents that individual investors increase buy-initiated trades prior to ex-dividend days and increase sell-initiated trades after the ex-day. Institutions supply liquidity to individual investors by increasing their use of sell limit orders in the cum-dividend period and increasing their usage of buy limit orders in the ex-dividend period. Stocks that experience higher net purchases from individual investors operating through discount brokers in the cum-dividend period have lower ex-day returns in the order of 25 basis points. This difference is as large as 44 basis points for high yield securities. This contrasts with the average excess ex-day return of 24 basis points. The results indicate that individual investors play an influential role in ex-dividend pricing.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129515380","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
Why does Option Implied Volatility Forecast Realized Volatility? Evidence from News Events 期权隐含波动率为何预测已实现波动率?来自新闻事件的证据
Capital Markets: Market Efficiency eJournal Pub Date : 2021-08-07 DOI: 10.2139/ssrn.3905677
Sipeng Chen, Gang Li
{"title":"Why does Option Implied Volatility Forecast Realized Volatility? Evidence from News Events","authors":"Sipeng Chen, Gang Li","doi":"10.2139/ssrn.3905677","DOIUrl":"https://doi.org/10.2139/ssrn.3905677","url":null,"abstract":"We examine the information content of stock option implied volatility. We measure arrival intensities and magnitudes of various types of news, and find that these news measures are all positively associated with contemporaneous stock return volatility and many of them can be predicted by implied volatility. About 28% of the predictive power of implied volatility on future realized volatility is due to its ability to predict these news measures, and most of the predictive power is from predicting arrival intensities of both scheduled and unscheduled news. The predictive power is higher for fundamental news than for non-fundamental news.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"709 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133729425","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
Disagreement About Monetary Policy 货币政策分歧
Capital Markets: Market Efficiency eJournal Pub Date : 2021-08-03 DOI: 10.2139/ssrn.3421723
Karthik A. Sastry
{"title":"Disagreement About Monetary Policy","authors":"Karthik A. Sastry","doi":"10.2139/ssrn.3421723","DOIUrl":"https://doi.org/10.2139/ssrn.3421723","url":null,"abstract":"This paper studies the causes and consequences of belief differences between markets and central banks about monetary policy over the business cycle. Using US data since 1995, I document that “bad macroeconomic news” in public signals systematically predicts market over-estimation of interest rates, excessive market optimism about employment, and delayed correction of these forecasts. In a stylized model that can accommodate belief disagreements via three leading mechanisms—asymmetries between the market and central bank in their signals about fundamentals, beliefs about the monetary rule, and confidence in public signals—I show that significantly different confidence in public signals is necessary to explain the facts. The market's relative under-reaction to public signals substantially dampens the response of market beliefs to fundamentals, while the central bank's signaling through policy or the “information effect” has almost no role.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134205600","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
Risk Aversion Propagation: Evidence from Financial Markets and Controlled Experiments 风险厌恶传播:来自金融市场和对照实验的证据
Capital Markets: Market Efficiency eJournal Pub Date : 2021-07-31 DOI: 10.2139/ssrn.3852463
Xing Huang, Nancy R. Xu
{"title":"Risk Aversion Propagation: Evidence from Financial Markets and Controlled Experiments","authors":"Xing Huang, Nancy R. Xu","doi":"10.2139/ssrn.3852463","DOIUrl":"https://doi.org/10.2139/ssrn.3852463","url":null,"abstract":"While the time variation in investor risk appetite is widely examined, there is scant research on how investor risk appetite may respond in an international context. We study risk aversion (RA) propagation from US to other major developed economies. Using daily financial market and news data between 2000 and 2017, we identify US risk aversion events - both high and low - and show that the international pass-through of US high RA events is significantly higher (61%) than that of US low RA events (43%), suggesting asymmetric US risk aversion propagation. Next, in our lab experiment, non-US subjects when primed with a US financial bust shock exhibited asymmetrically lower positive emotion, higher negative emotion and higher risk aversion than those primed with a US boom shock. The foreign nature of bust shocks may change emotions more than that of boom shocks, hence resulting in asymmetric risk aversion propagation. Our evidence shows that such an \"emotion''-related mechanism explained up to 20% of the propagation asymmetry.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117048816","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
The More We Know, the Less We Agree: A Test of the Trading Horizon Heterogeneity Theory 我们知道的越多，我们同意的就越少:交易视界异质性理论的检验
Capital Markets: Market Efficiency eJournal Pub Date : 2021-07-30 DOI: 10.2139/ssrn.3735619
Lili Dai, J. Parwada, D. Winchester, Bohui Zhang
{"title":"The More We Know, the Less We Agree: A Test of the Trading Horizon Heterogeneity Theory","authors":"Lili Dai, J. Parwada, D. Winchester, Bohui Zhang","doi":"10.2139/ssrn.3735619","DOIUrl":"https://doi.org/10.2139/ssrn.3735619","url":null,"abstract":"We examine the Kondor theoretical explanation of an enduring puzzle: trading volumes and stock return volatility peak after the release of public information. Using a comprehensive data set of institutional holdings and earnings announcements, we find supporting evidence that the proportion of short-term investors is positively associated with post-announcement spikes in trading volume and return volatility. This finding survives in the identification test based on the annual reconstitutions of the Russell 1000 and 2000 indices. We show our results largely withstand several alternative explanations related to the constitution of institutional investors, informed trading, and heterogeneous beliefs.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134153588","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
How does standardization affect OTC markets? Evidence from the Small Bang reform in the CDS market 标准化如何影响场外交易市场?来自CDS市场“小爆炸”改革的证据
Capital Markets: Market Efficiency eJournal Pub Date : 2021-07-29 DOI: 10.2139/ssrn.3903845
Radu-Dragomir Manac, C. Banti, N. Kellard
{"title":"How does standardization affect OTC markets? Evidence from the Small Bang reform in the CDS market","authors":"Radu-Dragomir Manac, C. Banti, N. Kellard","doi":"10.2139/ssrn.3903845","DOIUrl":"https://doi.org/10.2139/ssrn.3903845","url":null,"abstract":"Focusing on the most liquid segment of the European CDS market, this paper studies the impact of key standardization reforms. We document that the introduction of an upfront fee to standardize the cash flow of CDS contracts created an initial capital cost for traders, leading to higher CDS prices. This relation holds after accounting for well-known determinants of spreads, suggesting a separate funding channel driven by the greater capital intensity of trading. This effect is stronger when dealers are likely to bear the initial capital cost and is present across all industries, except for swaps written on financials.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"1994 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125548097","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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