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Capital Markets: Market Efficiency eJournal最新文献

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Index-Linked Trading and Stock Returns 指数挂钩交易及股票回报
Capital Markets: Market Efficiency eJournal Pub Date : 2021-07-28 DOI: 10.2139/ssrn.3833120
S. Davies
{"title":"Index-Linked Trading and Stock Returns","authors":"S. Davies","doi":"10.2139/ssrn.3833120","DOIUrl":"https://doi.org/10.2139/ssrn.3833120","url":null,"abstract":"I consider a model of index-linked trading in which a fraction of investors trade an index product that holds the market portfolio (e.g., an ETF). The remaining investors build portfolios by evaluating stocks individually. Investors are equally informed and choose portfolios to maximize their expected utility. In equilibrium, price impact from trading the index product is not equal across stocks. Index-linked trade generates cross sectional differences in returns and volatilities. Furthermore, uncertainty about indexing demand generates risk premiums in expected returns and their magnitudes depend on firm fundamentals. The findings lend a theoretical foundation to existing studies and I provide empirical support for new predictions.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"343 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133952485","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
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices 有效估计买卖价差从开盘价，高点，低点和收盘价
Capital Markets: Market Efficiency eJournal Pub Date : 2021-07-23 DOI: 10.2139/ssrn.3892335
David Ardia, E. Guidotti, Tim A. Kroencke
{"title":"Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices","authors":"David Ardia, E. Guidotti, Tim A. Kroencke","doi":"10.2139/ssrn.3892335","DOIUrl":"https://doi.org/10.2139/ssrn.3892335","url":null,"abstract":"We propose a novel estimation procedure of bid-ask spreads from open, high, low, and close prices. Our estimator is asymptotically unbiased and optimally combines the full set of price data to minimize the estimation variance. When quote data are not available, our estimator generally delivers the most accurate estimates of effective bid-ask spreads numerically and empirically. The estimator is derived under permissive assumptions that allow for stylized facts typically observed in real market data, is easy to implement, and can be applied to liquid and illiquid market segments, both in low and high frequency.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125190236","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
Multiple-Market Trading and Overnight Price Discovery: Evidence From American Depository Receipts 多市场交易和隔夜价格发现:来自美国存托凭证的证据
Capital Markets: Market Efficiency eJournal Pub Date : 2021-07-20 DOI: 10.2139/ssrn.3889885
Lai T. Hoang
{"title":"Multiple-Market Trading and Overnight Price Discovery: Evidence From American Depository Receipts","authors":"Lai T. Hoang","doi":"10.2139/ssrn.3889885","DOIUrl":"https://doi.org/10.2139/ssrn.3889885","url":null,"abstract":"This paper compares the overnight price discovery of American Depository Receipts (ADRs) and other common stocks traded in the U.S. stock market, and examines how trading activities of ADRs’ underlying shares in home markets affect the price discovery. We find that the efficiency of opening price and the price discovery during the overnight period is significantly higher than that of U.S. common stocks. Further analyses show that the price discovery of ADRs shifts from the trading day to the overnight and the opening prices of ADRs are more efficient if there are more trading activities of underlying shares in home markets. The results suggest that the trading of similar assets in multiple markets over non-overlapping hours improves the price efficiency.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128495293","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
Diseconomies of Scale in Active Management: Robust Evidence 主动管理中的规模不经济:强有力的证据
Capital Markets: Market Efficiency eJournal Pub Date : 2021-07-13 DOI: 10.2139/ssrn.3886275
Ľuboš Pástor, R. Stambaugh, Lucian A. Taylor, Min Zhu
{"title":"Diseconomies of Scale in Active Management: Robust Evidence","authors":"Ľuboš Pástor, R. Stambaugh, Lucian A. Taylor, Min Zhu","doi":"10.2139/ssrn.3886275","DOIUrl":"https://doi.org/10.2139/ssrn.3886275","url":null,"abstract":"We take a deeper look at the robustness of evidence presented by Pastor, Stambaugh, and Taylor (2015) and Zhu (2018), who find that an actively managed mutual fund's returns relate negatively to both fund size and the size of the active mutual fund industry. When we apply robust regression methods, we confirm both studies' inferences about scale diseconomies at the fund and industry levels. Moreover, data errors play no role, as both studies' results are insensitive to applying various error screens and using alternative return benchmarks. We reject constant returns to scale even after dropping 25% of the most extreme return observations. Finally, we caution that asymmetric removal of influential observations delivers biased conclusions about diseconomies of scale.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115800528","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
Differences of Opinion Predict Volatility 意见分歧预示波动
Capital Markets: Market Efficiency eJournal Pub Date : 2021-07-08 DOI: 10.2139/ssrn.3882792
C. Jensen, Mads Vestergaard Jensen
{"title":"Differences of Opinion Predict Volatility","authors":"C. Jensen, Mads Vestergaard Jensen","doi":"10.2139/ssrn.3882792","DOIUrl":"https://doi.org/10.2139/ssrn.3882792","url":null,"abstract":"As a new test of models of differences of opinion, we study empirically how the shorting market interacts with the equity volatility. Consistent with theories of differences of opinion, a positive (negative) demand shift in the shorting market predicts higher (lower) future stock volatility: A positive demand shift predicts an increase in the next week's annualized volatility of 4.8 percentage points, which corresponds to a 10.9% increase relative to the average weekly annualized volatility. The effect remains after controlling for other proxies of differences of opinion such as bid-ask spreads and volume, suggesting that the shorting market is an important channel in which investors reveal divergence or convergence in their beliefs about the future trajectory of individual stocks.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124715794","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
On the Efficiency of Meme Stocks 论模因存量的效率
Capital Markets: Market Efficiency eJournal Pub Date : 2021-07-07 DOI: 10.2139/ssrn.3839832
A. Aloosh, Hyungeun Choi, Samuel Ouzan
{"title":"On the Efficiency of Meme Stocks","authors":"A. Aloosh, Hyungeun Choi, Samuel Ouzan","doi":"10.2139/ssrn.3839832","DOIUrl":"https://doi.org/10.2139/ssrn.3839832","url":null,"abstract":"Meme stocks have received a lot of attention in the media from both investors and regulators in recent months, particularly following the GameStop episode. The power of the crowd, coupled with unprecedented coordination, raises obvious questions about the impact of these social media traders on market efficiency. We construct two meme stock indices based on stocks whose purchase the Robinhood app restricted during the GameStop episode. We provide evidence of meme stocks’ market efficiency, and particularly during the COVID-19 crisis. Our result indicates, perhaps contrary to some early speculation, that this new influx of highly connected retail investors improves efficiency.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123296078","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
Tradin’ in the Rain: Attention Allocation and Investment Performance 雨中交易:注意力分配与投资绩效
Capital Markets: Market Efficiency eJournal Pub Date : 2021-07-07 DOI: 10.2139/ssrn.3881853
Dien Giau Bui, Shiyang Huang, Chih-Yung Lin, Tse-Chun Lin
{"title":"Tradin’ in the Rain: Attention Allocation and Investment Performance","authors":"Dien Giau Bui, Shiyang Huang, Chih-Yung Lin, Tse-Chun Lin","doi":"10.2139/ssrn.3881853","DOIUrl":"https://doi.org/10.2139/ssrn.3881853","url":null,"abstract":"We propose a multi-asset model to study how attention allocation affects investment performance. Our model predicts that when investors allocate more attention to the stock market, they have better investment performance. This attention effect is stronger among high-beta stocks. Using rainy days as exogenous attention shocks and a nationwide trading dataset at the brokerage-branch level, we first show that retail investors pay more attention to the stock market on rainy days. Consistent with the model predictions, we find that retail investors have better trading performance on rainy days, especially for high-beta stocks. We also find lower return co-movement and stronger market reactions to earnings announcements on rainy days.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127667190","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
Dynamic Spending Responses to Wealth Shocks: Evidence from Quasi-Lotteries on the Stock Market 对财富冲击的动态消费反应:来自股票市场准彩票的证据
Capital Markets: Market Efficiency eJournal Pub Date : 2021-07-06 DOI: 10.2139/ssrn.3884380
A. Andersen, Niels Johannesen, Adam Sheridan
{"title":"Dynamic Spending Responses to Wealth Shocks: Evidence from Quasi-Lotteries on the Stock Market","authors":"A. Andersen, Niels Johannesen, Adam Sheridan","doi":"10.2139/ssrn.3884380","DOIUrl":"https://doi.org/10.2139/ssrn.3884380","url":null,"abstract":"How much and over what horizon do households adjust their consumption in response to stock market wealth shocks? We address these questions using granular data on spending and stock portfolios from a large bank and exploiting lottery-like variation in gains across investors with similar portfolio characteristics. Consistent with the permanent income hypothesis, spending responses to stock market gains are immediate and persistent. The responses cumulate to a marginal propensity to consume of around 4% over a one-year horizon. The estimates differ substantially by household liquidity, but not by financial attention, as measured by the frequency of account logins.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134177162","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
On the efficiency of the leveraged loan market 关于杠杆贷款市场的效率
Capital Markets: Market Efficiency eJournal Pub Date : 2021-06-27 DOI: 10.2139/ssrn.3874944
Andreas Keßler
{"title":"On the efficiency of the leveraged loan market","authors":"Andreas Keßler","doi":"10.2139/ssrn.3874944","DOIUrl":"https://doi.org/10.2139/ssrn.3874944","url":null,"abstract":"This paper evaluates the informational efficiency of the leverage loan market. First, variance ratio tests are conducted to answer the question whether this private debt market as a whole is efficient. Second, the recently developed adjusted market inefficiency magnitude is applied to assess the level of market inefficiency over time. The results indicate that the broad leveraged loan market, as well as capitalization and risk-based sub-indices exhibit large levels of inefficiency and that loan returns do not follow a random walk but are significantly serially correlated. The degree of inefficiency shows some time-variation, however, it is generally large in magnitude.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127230026","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
Climate Impact Investing 气候影响投资
Capital Markets: Market Efficiency eJournal Pub Date : 2021-06-25 DOI: 10.2139/ssrn.3562534
T. de Angelis, P. Tankov, O. Zerbib
{"title":"Climate Impact Investing","authors":"T. de Angelis, P. Tankov, O. Zerbib","doi":"10.2139/ssrn.3562534","DOIUrl":"https://doi.org/10.2139/ssrn.3562534","url":null,"abstract":"This paper shows how green investing spurs companies to mitigate their carbon emissions by raising the cost of capital of the most carbon-intensive companies. Companies’ emissions decrease when the wealth share of green investors and their sensitivity to climate externalities increase. We show that the impact of green investors primarily governs companies’ long-run emissions. Companies are further incentivized to reduce their emissions when green investors anticipate tighter climate regulations and climate-related technological innovations. However, heightened uncertainty regarding future climate risks alleviates green investors’ pressure on the cost of capital of companies and pushes them to increase their emissions. Calibrated on U.S. data, our model suggests that, albeit effective, the impact of green investors remains limited given their current wealth share and practices. This paper was accepted by George Serafeim, special issue of Management Science: business and climate change.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128868738","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
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