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Capital Markets: Market Microstructure最新文献

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Dynamic Liquidity Preferences of Mutual Funds 共同基金的动态流动性偏好
Capital Markets: Market Microstructure Pub Date : 2020-10-28 DOI: 10.2139/ssrn.967553
Jiekun Huang
{"title":"Dynamic Liquidity Preferences of Mutual Funds","authors":"Jiekun Huang","doi":"10.2139/ssrn.967553","DOIUrl":"https://doi.org/10.2139/ssrn.967553","url":null,"abstract":"This paper examines the relation between expected market volatility and open-end mutual funds’ liquidity preferences. Using a large panel of actively managed U.S. equity mutual funds, I show that mutual fund managers hold more cash and tilt their holdings more heavily towards liquid stocks during periods when expected market volatility is high. Cross-sectional tests suggest that the dynamic preferences for liquidity are driven by concerns over investor withdrawals during volatile times. Furthermore, I find evidence that this type of dynamic behavior leads to higher fund returns.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125103132","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: 23
Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads 注意差距:风险息差中的信用和流动性的分离
Capital Markets: Market Microstructure Pub Date : 2018-09-25 DOI: 10.2139/ssrn.1486240
Krista Schwarz
{"title":"Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads","authors":"Krista Schwarz","doi":"10.2139/ssrn.1486240","DOIUrl":"https://doi.org/10.2139/ssrn.1486240","url":null,"abstract":"Wide and volatile interest rate spreads in the 2007-2009 financial crisis could represent concerns over asset liquidity or issuer solvency. To precisely identify the contribution of these two effects on sovereign bond and interbank spreads, I propose a model-free measure of euro-area market liquidity, and a measure of near-term interbank default risk. I find that credit and liquidity are independently important. In interbank risk spreads, the role of liquidity dominates, while the importance in sovereign bond yield spreads varies substantially by country and maturity. To better understand the liquidity channel that is captured by the new liquidity measure, but is understated by extant measures, I test the pricing of liquidity risk; the possibility that liquidity could be negatively correlated with marginal utility. I exploit the variation in returns over countries, maturities and time, and find that liquidity euro-area sovereign bond risk premia are large and significant.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129398151","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: 258
Skewness and the Asymmetry in Earnings Announcement Returns 盈余公告报表的偏度与不对称性
Capital Markets: Market Microstructure Pub Date : 2015-06-01 DOI: 10.2139/ssrn.1325551
Benjamin M. Blau, J. Pinegar, Ryan J. Whitby
{"title":"Skewness and the Asymmetry in Earnings Announcement Returns","authors":"Benjamin M. Blau, J. Pinegar, Ryan J. Whitby","doi":"10.2139/ssrn.1325551","DOIUrl":"https://doi.org/10.2139/ssrn.1325551","url":null,"abstract":"type=\"main\" xml:lang=\"en\"> Much of traditional asset pricing theory rests on the assumption of normality in the distribution of stock returns. A growing body of research suggests that skewness in the return distributions can affect asset prices. In this article we attempt to empirically identify factors that influence return skewness. Consistent with the theoretical literature, we find that prices during the postearnings announcement period are more convex for firms that have tighter short-sale constraints and for firms that experience greater disagreement among investors. Perhaps more important, we also find that price convexity is a key determinant in the skewness of stocks.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129448896","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 Role of Uninformed Investors in an Optimal IPO Mechanism, or What Google Did Right and Facebook Did Wrong 不知情投资者在最优IPO机制中的作用，或者谷歌做对了什么，Facebook做错了什么
Capital Markets: Market Microstructure Pub Date : 2013-08-05 DOI: 10.2139/ssrn.687167
A. Malakhov
{"title":"The Role of Uninformed Investors in an Optimal IPO Mechanism, or What Google Did Right and Facebook Did Wrong","authors":"A. Malakhov","doi":"10.2139/ssrn.687167","DOIUrl":"https://doi.org/10.2139/ssrn.687167","url":null,"abstract":"This paper explores optimal ways for a firm to sell its initial public offering (IPO) to a mix of informed and uninformed investors through an intermediary. I argue that uninformed investors provide a benchmark for informed investors, resulting in an endogenous constraint that affects the issuer’s revenue. I conclude that higher revenues are achieved with higher numbers of uninformed investors participating in an IPO. Furthermore, the intermediary serves as the only credible provider of information about uninformed investors’ realized demand to informed investors. This increases the issuer’s expected revenue, and provides a rationale for substantial payments to the intermediary. JEL Classification: G24","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132702442","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
The Impact of Competition and Information on Intraday Trading 竞争和信息对盘中交易的影响
Capital Markets: Market Microstructure Pub Date : 2013-07-30 DOI: 10.2139/ssrn.1088832
Katya Malinova, A. Park
{"title":"The Impact of Competition and Information on Intraday Trading","authors":"Katya Malinova, A. Park","doi":"10.2139/ssrn.1088832","DOIUrl":"https://doi.org/10.2139/ssrn.1088832","url":null,"abstract":"In a dynamic model of financial market trading multiple heterogeneously informed traders choose when to place orders. Better informed traders trade immediately, worse informed delay even though they expect the public expectation to move against them. This behavior causes distinct patterns with decreasing spreads and probability of informed trading (PIN) and increasing volume. Competition increases market participation and volume, and it causes more pronounced spread and less pronounced volume patterns. Systematic improvements in information increase spreads, volume, and market participation. Very short-lived private information inverts the volume pattern.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132583408","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: 18
The Relationship between the Frequency of News Release and the Information Asymmetry: The Role of Uninformed Trading 新闻发布频率与信息不对称的关系:不知情交易的作用
Capital Markets: Market Microstructure Pub Date : 2013-07-08 DOI: 10.2139/ssrn.1100763
Srinivasan Sankaraguruswamy, Jianfeng Shen, Takeshi Yamada
{"title":"The Relationship between the Frequency of News Release and the Information Asymmetry: The Role of Uninformed Trading","authors":"Srinivasan Sankaraguruswamy, Jianfeng Shen, Takeshi Yamada","doi":"10.2139/ssrn.1100763","DOIUrl":"https://doi.org/10.2139/ssrn.1100763","url":null,"abstract":"This paper shows that the degree of information asymmetry is lower for firms with more frequent news releases. The relation holds for various measures of information asymmetry such as the probability of information-based trading (PIN), permanent price impact, and adverse selection component of bid-ask spread, even after adjusting for endogeneity between news release and information asymmetry. By decomposing the PIN into intensities of uninformed and informed trades, similarly to Brown and Hillegeist (2007), we find that intensity of uninformed trading increases much more than that of informed trading for firms with more frequent news releases. As a result, information asymmetry, as is measured by PIN, decreases for such firms due to the large increase in the intensity of uninformed trading. Our findings highlight not only the importance of news releases in leveling the playing field of investors but also the role of uninformed investors in reducing trading cost due to information asymmetry.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127601967","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: 37
Autocorrelation in Daily Short-Sale Volume 每日卖空量的自相关性
Capital Markets: Market Microstructure Pub Date : 2013-03-04 DOI: 10.2139/ssrn.1260356
Benjamin M. Blau, Jason M. Smith
{"title":"Autocorrelation in Daily Short-Sale Volume","authors":"Benjamin M. Blau, Jason M. Smith","doi":"10.2139/ssrn.1260356","DOIUrl":"https://doi.org/10.2139/ssrn.1260356","url":null,"abstract":"While Diether, Lee, and Werner (2009) find that daily shorting activity is serially correlated, this study uses more formal tests and finds significant first-order autocorrelation in daily short volume. Contrary to prior research that suggests that autocorrelation in total trade volume is explained by the flow of information into prices, our tests indicate that the information contained in short sales is decreasing in the level of autocorrelation. In additional tests, we do not find that short-sale constraints explain the presence of autocorrelation. However, our tests do provide evidence that the level of autocorrelation in daily short volume is highest in stocks that are least liquid suggesting that illiquidity might explain the presence of autocorrelation.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131865609","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
Liquidity and Returns to Target Shareholders in the Market for Corporate Control: Evidence from the U.S. Markets 公司控制权市场中的流动性和目标股东回报:来自美国市场的证据
Capital Markets: Market Microstructure Pub Date : 2012-11-27 DOI: 10.2139/ssrn.1095832
K. Lee, Kee H. Chung
{"title":"Liquidity and Returns to Target Shareholders in the Market for Corporate Control: Evidence from the U.S. Markets","authors":"K. Lee, Kee H. Chung","doi":"10.2139/ssrn.1095832","DOIUrl":"https://doi.org/10.2139/ssrn.1095832","url":null,"abstract":"In this paper we analyze how stock market liquidity affects the abnormal return to target firms in mergers and tender offers. We predict that target firms with poorer stock market liquidity receive larger announcement day abnormal returns based on the following considerations. First, target firms with poorer stock market liquidity receive greater liquidity improvements after a merger or tender offer. Second, deals that involve less liquid targets are less anticipated and/or more likely to be completed. Third, less liquid stocks have more diverse reservation prices across shareholders and thus require a higher takeover return. Consistent with these expectations, we show that abnormal returns to target firms’ shareholders are significantly and positively related to the difference in liquidity (measured by the bid-ask spread) between acquirers and targets as well as the magnitude of target firms’ liquidity improvement.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134266192","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 Credibility of Open Market Share Repurchase Signaling 公开市场股份回购信号的可信度
Capital Markets: Market Microstructure Pub Date : 2012-10-01 DOI: 10.1017/S0022109012000312
I. Babenko, Yuri Tserlukevich, Alexander Vedrashko
{"title":"The Credibility of Open Market Share Repurchase Signaling","authors":"I. Babenko, Yuri Tserlukevich, Alexander Vedrashko","doi":"10.1017/S0022109012000312","DOIUrl":"https://doi.org/10.1017/S0022109012000312","url":null,"abstract":"Open market share repurchase announcements are commonly associated with equity undervaluation, but their signal about firm value can often be misleading. We conjecture that executives who buy shares of their firm before an announcement add credibility to the undervaluation signal. Consistent with this hypothesis, we find that announcement returns are positively related to past insider purchases, especially for firms that are priced less efficiently. Firms whose insiders bought more shares are also more likely to complete their repurchase plans. Finally, we find that insider purchases predict post-announcement stock returns.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132816954","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: 121
Information transfers and learning in financial markets: Evidence from short selling around insider sales 金融市场中的信息传递和学习:来自内幕交易卖空的证据
Capital Markets: Market Microstructure Pub Date : 2011-11-15 DOI: 10.2139/ssrn.1083795
Bidisha Chakrabarty, Andriy Shkilko
{"title":"Information transfers and learning in financial markets: Evidence from short selling around insider sales","authors":"Bidisha Chakrabarty, Andriy Shkilko","doi":"10.2139/ssrn.1083795","DOIUrl":"https://doi.org/10.2139/ssrn.1083795","url":null,"abstract":"We document significant increases in short positions on days when company insiders sell their firms’ shares. Short selling increases before insider sales are publicly reported and often before insiders finish selling. Furthermore, the magnitude of short selling activity is consistent with short sellers’ knowledge of the insider’s rank (e.g., CEO, CFO, or a lower-ranked manager) and with knowledge of the unobservable size of the insider’s trading position. We show that short sellers’ superior timing is consistent with (i) monitoring of order flow and (ii) obtaining price-relevant information from brokerages that execute insider sales. Some of our results extend to insider purchases.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128361359","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: 41
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