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Intraday proprietary traders and short-term mispricing 日内自营交易员和短期错误定价
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-03-01 Epub Date: 2025-11-05 DOI: 10.1016/j.finmar.2025.101028
V. Ravi Anshuman , Prachi Deuskar , Krishnamurthy V. Subramanian , Ramabhadran S. Thirumalai
{"title":"Intraday proprietary traders and short-term mispricing","authors":"V. Ravi Anshuman ,&nbsp;Prachi Deuskar ,&nbsp;Krishnamurthy V. Subramanian ,&nbsp;Ramabhadran S. Thirumalai","doi":"10.1016/j.finmar.2025.101028","DOIUrl":"10.1016/j.finmar.2025.101028","url":null,"abstract":"<div><div>Whose trading corrects temporary mispricing? We document that intraday proprietary traders play this crucial role. Using trader-level transaction data, we examine the activities of different types of traders around a media-driven, clean shock to retail trading. Intraday proprietary traders are contrarian and contribute to an immediate and sustained price correction. Their trades generate returns from informed trading rather than liquidity provision. Conversely, longer-term proprietary traders who engage in much less contrarian trading make small returns from liquidity provision, not informed trading. Thus, policies designed to curb short-termism must account for the contributions of different types of traders to price discovery.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"78 ","pages":"Article 101028"},"PeriodicalIF":2.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147570812","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Platform marketing growth and mutual fund outcomes: Evidence from China 平台营销增长与共同基金成果：来自中国的证据
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-03-01 Epub Date: 2025-09-24 DOI: 10.1016/j.finmar.2025.101023
Fuwei Jiang , Wei Ning , Can Yang
{"title":"Platform marketing growth and mutual fund outcomes: Evidence from China","authors":"Fuwei Jiang ,&nbsp;Wei Ning ,&nbsp;Can Yang","doi":"10.1016/j.finmar.2025.101023","DOIUrl":"10.1016/j.finmar.2025.101023","url":null,"abstract":"<div><div>We examine the economic impact of platform marketing on mutual funds and fund families in China. The growth of platform marketing encourages funds to enhance performance by improving managerial skills rather than increasing risk-taking, and inspires fund families to induce more frequent fee reductions and stronger product innovation. Enhanced competitiveness and expanded investment demand lead to greater market share and higher profitability. Platform marketing intensity from funds in other families and the same type of funds generates more pronounced economic effects. Our findings reveal how distribution platforms contribute to incentive-aligned market mechanisms in the wealth management industry.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"78 ","pages":"Article 101023"},"PeriodicalIF":2.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147570816","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Tick size increase and default risk of small-cap U.S. firms: Evidence from a natural experiment 美国小盘股公司的规模增长与违约风险：来自自然实验的证据
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-03-01 Epub Date: 2025-09-20 DOI: 10.1016/j.finmar.2025.101022
Adnan Ashraf , Muhammad Saleem , Baolei Qi , Ayesha Shakill
{"title":"Tick size increase and default risk of small-cap U.S. firms: Evidence from a natural experiment","authors":"Adnan Ashraf ,&nbsp;Muhammad Saleem ,&nbsp;Baolei Qi ,&nbsp;Ayesha Shakill","doi":"10.1016/j.finmar.2025.101022","DOIUrl":"10.1016/j.finmar.2025.101022","url":null,"abstract":"<div><div>Using the 2016 Tick Size Pilot Program (TSP 2016), we find that increased tick size significantly reduces the default probability of small-cap firms, a finding that is robust across alternative measures. TSP 2016 created mixed liquidity effects, namely reduced retail liquidity and improved institutional liquidity, yet both changes lower default risk. Trading slowdowns in reduced algorithmic trading also decrease default probability. Moreover, enhanced pricing efficiency, not the changes in institutional ownership, channels this effect, with short sellers anticipating risk shifts. Our results highlight how market microstructure influences the viability of small-cap firms and inform the development of capital market regulations.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"78 ","pages":"Article 101022"},"PeriodicalIF":2.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147570817","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Incentives matter: Domestic funds and price informativeness improvement 激励重要：国内资金和价格信息的提高
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-03-01 Epub Date: 2025-10-26 DOI: 10.1016/j.finmar.2025.101027
Shaoling Chen , Xi Wu , Haisheng Yang , Jiaying Zhong
{"title":"Incentives matter: Domestic funds and price informativeness improvement","authors":"Shaoling Chen ,&nbsp;Xi Wu ,&nbsp;Haisheng Yang ,&nbsp;Jiaying Zhong","doi":"10.1016/j.finmar.2025.101027","DOIUrl":"10.1016/j.finmar.2025.101027","url":null,"abstract":"<div><div>Using a sample of Chinese listed companies between 2005 and 2019, we do not find that domestic funds make a significant contribution to price informativeness, consistent with the low-information conductions of domestic institutional investors widely documented in the literature. However, their impacts become prominent when incentives are considered. The underlying mechanism is also explored. We further construct the firm-level price informativeness and decompose it into year fixed effect, price informativeness attributed to fund managers, and the matching between the fund and the stock to trace out the role of each part in this price informativeness enhancement process.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"78 ","pages":"Article 101027"},"PeriodicalIF":2.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147570815","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The effect of stock market indexing on option market conditions 股票市场指数对期权市场状况的影响
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-03-01 Epub Date: 2025-10-14 DOI: 10.1016/j.finmar.2025.101026
Eric C. Chang , Li Ge , Tse-Chun Lin , Xiaorong Ma
{"title":"The effect of stock market indexing on option market conditions","authors":"Eric C. Chang ,&nbsp;Li Ge ,&nbsp;Tse-Chun Lin ,&nbsp;Xiaorong Ma","doi":"10.1016/j.finmar.2025.101026","DOIUrl":"10.1016/j.finmar.2025.101026","url":null,"abstract":"<div><div>We analyze the impact of stock market indexing on option market conditions using local linear regressions on Russell Index reconstitution. Our findings reveal that put-call parity deviations are significantly smaller for stocks at the top of the Russell 2000 Index, compared to those at the bottom of the Russell 1000 Index. Those top Russell 2000 stocks also exhibit higher trading option volume and narrower bid-ask spreads. Our results suggest that stock market indexing enhances option market conditions through increased liquidity, reducing hedging costs that benefit market makers.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"78 ","pages":"Article 101026"},"PeriodicalIF":2.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147570814","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
When does the tick size help or harm market quality? Evidence from the Tick Size Pilot 蜱虫的大小何时有助于或损害市场质量？来自蜱虫大小试验的证据
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-03-01 Epub Date: 2025-10-08 DOI: 10.1016/j.finmar.2025.101024
Yashar H. Barardehi , Peter Dixon , Qiyu Liu , Ariel Lohr
{"title":"When does the tick size help or harm market quality? Evidence from the Tick Size Pilot","authors":"Yashar H. Barardehi ,&nbsp;Peter Dixon ,&nbsp;Qiyu Liu ,&nbsp;Ariel Lohr","doi":"10.1016/j.finmar.2025.101024","DOIUrl":"10.1016/j.finmar.2025.101024","url":null,"abstract":"<div><div>Tick sizes affect market quality through a tradeoff between pricing fidelity and undercutting. The U.S. Tick Size Pilot (TSP), which raised the minimum tick from 1¢ to 5¢, provides a natural experiment to study this tradeoff. We find that the TSP harmed liquidity for stocks with spreads below 10¢ but improved liquidity for stocks with spreads above 15¢. These opposing effects explain the mixed results across prior studies which pool together stocks with very different prevailing spreads. We recommend researchers using the TSP for causal inference should, at minimum, split samples at 10¢-spreads to account for these heterogeneous liquidity effects.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"78 ","pages":"Article 101024"},"PeriodicalIF":2.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147570813","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does familiarity breed activism? Geography and hedge fund activism 熟悉会滋生行动主义吗？地理和对冲基金行动主义
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-01-01 Epub Date: 2025-07-24 DOI: 10.1016/j.finmar.2025.101005
Olubunmi Faleye
{"title":"Does familiarity breed activism? Geography and hedge fund activism","authors":"Olubunmi Faleye","doi":"10.1016/j.finmar.2025.101005","DOIUrl":"10.1016/j.finmar.2025.101005","url":null,"abstract":"<div><div>I study the role of geographical proximity in hedge fund activism and find that activist hedge funds are more likely to target firms located closer to their headquarters. Despite this proximity preference, activism returns are lower for nearer targets. Alternative factors, including lower activism costs, target selection effects, and reduced employee wealth transfers at nearby firms do not explain lower returns to proximate targets. Instead, results are consistent with familiarity bias in hedge fund targeting decisions. Additional tests focusing on small targets, openly confrontational campaigns, and passive investments reinforce this behavioral explanation.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"77 ","pages":"Article 101005"},"PeriodicalIF":2.1,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146071052","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Can institutional investors always beat individual investors? 机构投资者总能打败个人投资者吗？
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-01-01 Epub Date: 2025-09-12 DOI: 10.1016/j.finmar.2025.101018
Yaqing Yang , Junqing Kang , Youcheng Lou
{"title":"Can institutional investors always beat individual investors?","authors":"Yaqing Yang ,&nbsp;Junqing Kang ,&nbsp;Youcheng Lou","doi":"10.1016/j.finmar.2025.101018","DOIUrl":"10.1016/j.finmar.2025.101018","url":null,"abstract":"<div><div>In an imperfectly competitive market, we find that an institutional investor with an information advantage consistently earns higher expected trading profits than sophisticated individual investors who internalize their price impact. However, when noise-trading volume and the noise-to-signal ratio are sufficiently high, the institutional investor underperforms naive individual investors who act as price-takers. The aggressive trading behavior of naive investors, driven by their failure to account for price impact, forces the institutional investor to reduce his trading aggressiveness. Our findings highlight that, under certain conditions, the irrationality of naive traders can erode the advantages of information-driven trading strategies.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"77 ","pages":"Article 101018"},"PeriodicalIF":2.1,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146071055","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do investors gamble with going-concern firms? 投资者会和持续经营的公司赌博吗？
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-01-01 Epub Date: 2025-08-23 DOI: 10.1016/j.finmar.2025.101011
Asad Kausar , Alok Kumar , Richard J. Taffler
{"title":"Do investors gamble with going-concern firms?","authors":"Asad Kausar ,&nbsp;Alok Kumar ,&nbsp;Richard J. Taffler","doi":"10.1016/j.finmar.2025.101011","DOIUrl":"10.1016/j.finmar.2025.101011","url":null,"abstract":"<div><div>We explain why the market underreacts to the certified extreme financial distress signal conveyed by the auditor's going-concern (GC) opinion. We conjecture that GC stocks attract retail investors with gambling proclivities. Splitting our GC sample into lottery-like and non-lottery-like firms, we find that the anomaly is concentrated in lottery-like firms, which underperform by −17 % to −32 % over the following year. A range of analyses confirm retail investors with greater propensity to gamble are more likely to trade lottery-like GC stocks. We conclude that retail investor gambling-motivated trading behavior is a key driver of the going-concern market paradox.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"77 ","pages":"Article 101011"},"PeriodicalIF":2.1,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146071054","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Extreme fund performance and investor divergence in beliefs about manager skill 基金的极端表现与投资者对经理人技能的不同看法
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-01-01 Epub Date: 2025-08-25 DOI: 10.1016/j.finmar.2025.101009
Yaosong Zhan , Wenwen Zhang , Zhenya Liu
{"title":"Extreme fund performance and investor divergence in beliefs about manager skill","authors":"Yaosong Zhan ,&nbsp;Wenwen Zhang ,&nbsp;Zhenya Liu","doi":"10.1016/j.finmar.2025.101009","DOIUrl":"10.1016/j.finmar.2025.101009","url":null,"abstract":"<div><div>Extreme fund performance creates divergent investor opinions about manager skill. We develop a model predicting that this disagreement follows a U-shaped pattern, increasing with both exceptionally good and poor performance. Using a flow-based divergence index and Chinese mutual fund data, we empirically confirm this relationship. We argue that this pattern is driven by retail investors, whose tendency to focus on extreme outcomes amplifies their disagreement. Higher divergence predicts weaker future performance persistence but also helps investors improve their realized returns by allowing them to exit funds before subsequent downturns.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"77 ","pages":"Article 101009"},"PeriodicalIF":2.1,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146071053","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","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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