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Investor sentiment and stock returns: Wisdom of crowds or power of words? Evidence from Seeking Alpha and Wall Street Journal 投资者情绪与股票回报：群体智慧还是言语力量？《寻求阿尔法》和《华尔街日报》的证据
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-06-01 DOI: 10.1016/j.finmar.2025.100970
Ioanna Lachana, David Schröder
{"title":"Investor sentiment and stock returns: Wisdom of crowds or power of words? Evidence from Seeking Alpha and Wall Street Journal","authors":"Ioanna Lachana,&nbsp;David Schröder","doi":"10.1016/j.finmar.2025.100970","DOIUrl":"10.1016/j.finmar.2025.100970","url":null,"abstract":"<div><div>In light of changes in the media landscape from traditional print towards social media, in this study we compare the ability of investor sentiment measures obtained from various media sources to predict short-term market returns. We show that investor sentiment extracted from the social media platform Seeking Alpha is better in predicting market returns than investor sentiment obtained from the <em>Wall Street Journal</em>, a traditional print medium. Seeking Alpha is more suitable for the extraction of investor sentiment due to the richer language and timeliness of online media.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"74 ","pages":"Article 100970"},"PeriodicalIF":2.1,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144223653","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
Revisiting the ∪-shaped patterns in volatility and price impacts: Novel results using trade-time estimates 重新审视波动性和价格影响的∪形模式：利用贸易时间估算得出的新结果
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-06-01 DOI: 10.1016/j.finmar.2025.100971
Yashar H. Barardehi , Dan Bernhardt
{"title":"Revisiting the ∪-shaped patterns in volatility and price impacts: Novel results using trade-time estimates","authors":"Yashar H. Barardehi ,&nbsp;Dan Bernhardt","doi":"10.1016/j.finmar.2025.100971","DOIUrl":"10.1016/j.finmar.2025.100971","url":null,"abstract":"<div><div>When measured using trade-time aggregation, intraday patterns in trading activity remain <span><math><mo>∪</mo></math></span>-shaped, but estimates of volatility and Kyle’s lambda fall sharply from open to close. <span><math><mo>∪</mo></math></span>-shaped patterns in volatility and Kyle’s lambda found using commonly-used calendar-time aggregation reflect over-aggregation biases when trading activity is high as near the open and close. Indicative of imperfectly-competitive liquidity provision, trade-time aggregation also reveals that in active markets, expected trade imbalances are positively priced and unexpected trade imbalances are more strongly priced when they share the sign of expected imbalances, while in less active markets expected trade imbalances are negatively priced.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"74 ","pages":"Article 100971"},"PeriodicalIF":2.1,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144223652","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
Auction-based tests of inventory control and private information in a centralized interdealer FX market 集中交易商间外汇市场中基于拍卖的库存控制和私人信息测试
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-06-01 DOI: 10.1016/j.finmar.2025.100981
Pietro Bonaldi , Mauricio Villamizar-Villegas
{"title":"Auction-based tests of inventory control and private information in a centralized interdealer FX market","authors":"Pietro Bonaldi ,&nbsp;Mauricio Villamizar-Villegas","doi":"10.1016/j.finmar.2025.100981","DOIUrl":"10.1016/j.finmar.2025.100981","url":null,"abstract":"<div><div>This study examines how inventory control and private information affect trading prices and volumes in a centralized interdealer foreign exchange (FX) market. Using exogenous variation from FX auctions conducted by the Colombian Central Bank (2008–2014), we analyze settlement data from the COP/USD spot market before and after each auction. Comparing dealers with differing inventory and information shocks, we find that those with reduced inventories increase net USD purchases and pay higher prices post-auction.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"74 ","pages":"Article 100981"},"PeriodicalIF":2.1,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144223650","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
Speed competition and strategic trading 加速竞争和战略贸易
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-06-01 DOI: 10.1016/j.finmar.2025.100972
Xue-Zhong He , Junqing Kang
{"title":"Speed competition and strategic trading","authors":"Xue-Zhong He ,&nbsp;Junqing Kang","doi":"10.1016/j.finmar.2025.100972","DOIUrl":"10.1016/j.finmar.2025.100972","url":null,"abstract":"<div><div>Speed competition incentivizes fast traders to trade earlier and temporally fragments the price discovery process. Large traders internalize their price impact and screen trading aggressiveness to resolve the pre-trading uncertainty proportional to the number of traders. Therefore, price discovery in the late period depends on the number of slow traders and the amount of fundamental uncertainty resolved by fast traders. A concentration of fast or slow traders harms price discovery in the late period, generating hump-shape overall price informativeness to speed competition. With fast information diffusion, speed competition harms the overall price informativeness, unless fast traders are high-frequency traders.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"74 ","pages":"Article 100972"},"PeriodicalIF":2.1,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144223651","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
Bank of Japan’s ETF purchase program and equity risk premium: A CAPM interpretation 日本央行ETF购买计划与股票风险溢价：CAPM的解释
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-03-01 DOI: 10.1016/j.finmar.2025.100961
Mitsuru Katagiri , Junnosuke Shino , Koji Takahashi
{"title":"Bank of Japan’s ETF purchase program and equity risk premium: A CAPM interpretation","authors":"Mitsuru Katagiri ,&nbsp;Junnosuke Shino ,&nbsp;Koji Takahashi","doi":"10.1016/j.finmar.2025.100961","DOIUrl":"10.1016/j.finmar.2025.100961","url":null,"abstract":"<div><div>We investigate the effects of the Bank of Japan’s (BOJ’s) exchange-traded fund (ETF) purchase program on equity risk premia. Utilizing the cross-sectional variations in the amount of individual stock that the BOJ has indirectly purchased in the program, the empirical analysis reveals that: (i) the BOJ’s ETF purchases instantaneously support stock prices on purchase, and (ii) the positive effects on stock prices, combined with the countercyclical nature of the BOJ’s purchases, affect the market beta and coskewness of Japanese stocks, leading to an economically significant decline in risk premia.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"73 ","pages":"Article 100961"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143593433","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Too many irons in the fire: The impact of limited institutional attention on market microstructure and efficiency 太多的 "烙铁"：机构关注度有限对市场微观结构和效率的影响
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-03-01 DOI: 10.1016/j.finmar.2025.100969
Hao Jiang , Yong Ma , Tianyang Wang
{"title":"Too many irons in the fire: The impact of limited institutional attention on market microstructure and efficiency","authors":"Hao Jiang ,&nbsp;Yong Ma ,&nbsp;Tianyang Wang","doi":"10.1016/j.finmar.2025.100969","DOIUrl":"10.1016/j.finmar.2025.100969","url":null,"abstract":"<div><div>This paper presents an in-depth exploration, both empirically and theoretically, of how institutional attention impacts market microstructure. Our innovative theoretical model incorporates an information processing constraint into the dynamic strategic trading framework. The model predicts a trade-off where increased institutional attention enhances price informativeness at the expense of market liquidity, and suggests that the unmonetized portion of institutional investors’ information advantage significantly influences the effect of public information about an asset’s fundamental value on market microstructure. Additionally, our findings are substantiated through rigorous empirical analysis.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"73 ","pages":"Article 100969"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143593434","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 the threat of short selling discipline management? Evidence from default risk changes around regulation SHO 卖空的威胁是否约束了管理？违约风险变化的证据围绕监管SHO
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-03-01 DOI: 10.1016/j.finmar.2024.100960
Keming Li , Takeshi Nishikawa , Ramesh P. Rao
{"title":"Does the threat of short selling discipline management? Evidence from default risk changes around regulation SHO","authors":"Keming Li ,&nbsp;Takeshi Nishikawa ,&nbsp;Ramesh P. Rao","doi":"10.1016/j.finmar.2024.100960","DOIUrl":"10.1016/j.finmar.2024.100960","url":null,"abstract":"<div><div>We document a significant reduction in default risk for the pilot firms relative to non-pilot firms during the Reg SHO period. This effect is more pronounced for firms whose default risk was high prior to the program. We also find that the pilot firms adopt greater accounting conservatism during the program and experience improved bond contracting through reductions in covenant usage in newly issued bonds. Lastly, we find significant improvements in investment efficiency and cash holding value for the pilot firms. Our combined evidence supports the disciplinary role of short selling in the financial markets.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"73 ","pages":"Article 100960"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143593426","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
Coarse pricing in QE auctions 量化宽松拍卖中的粗糙定价
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-03-01 DOI: 10.1016/j.finmar.2024.100959
Yusuke Tsujimoto
{"title":"Coarse pricing in QE auctions","authors":"Yusuke Tsujimoto","doi":"10.1016/j.finmar.2024.100959","DOIUrl":"10.1016/j.finmar.2024.100959","url":null,"abstract":"<div><div>This paper documents coarse pricing by the U.S. Federal Reserve’s counterparty intermediaries in quantitative easing operations. Although the Fed explicitly sets a tick size of 1/256th in its reverse auctions to purchase Treasury securities, offer prices of primary dealers exhibit strong clustering on coarser grids. Top dealers price more finely, and coarse pricing is particularly prevalent when the security characteristics indicate greater difficulty in precise pricing. I argue that this coarse pricing results from information costs associated with increasing pricing precision. The results also point to a novel role of tick size in affecting dealer competition in central bank operations.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"73 ","pages":"Article 100959"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143593431","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bigger pie, bigger slice: liquidity, value gain, and underpricing in IPOs 更大的蛋糕，更大的份额：流动性、价值增值和ipo定价过低
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-01-01 DOI: 10.1016/j.finmar.2024.100949
Yang Guo , Lily Yuanzhi Li , Hongda Zhong
{"title":"Bigger pie, bigger slice: liquidity, value gain, and underpricing in IPOs","authors":"Yang Guo ,&nbsp;Lily Yuanzhi Li ,&nbsp;Hongda Zhong","doi":"10.1016/j.finmar.2024.100949","DOIUrl":"10.1016/j.finmar.2024.100949","url":null,"abstract":"<div><div>Since investor participation is essential for successful IPOs, we hypothesize that issuers share value gain from IPOs with IPO investors, resulting in IPO underpricing. We test the positive relation between value gain and underpricing from the liquidity angle, as improved liquidity via IPO increases firm value. We find supporting evidence that underpricing is positively related to the expected post-IPO liquidity of the issuer. Using two regulation changes as exogenous shocks to share liquidity before and after an IPO, we show that underpricing is more pronounced with better expected post-IPO liquidity or lower pre-IPO liquidity.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"72 ","pages":"Article 100949"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143336287","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
Unintended consequence of high bid price exclusion in IPO auctions: Evidence from China IPO拍卖中高价排除的意外后果：来自中国的证据
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-01-01 DOI: 10.1016/j.finmar.2024.100936
Di Wu , Xiaoke Cheng , Kam C. Chan , Shenghao Gao
{"title":"Unintended consequence of high bid price exclusion in IPO auctions: Evidence from China","authors":"Di Wu ,&nbsp;Xiaoke Cheng ,&nbsp;Kam C. Chan ,&nbsp;Shenghao Gao","doi":"10.1016/j.finmar.2024.100936","DOIUrl":"10.1016/j.finmar.2024.100936","url":null,"abstract":"<div><div>Using a reform to relax the exclusion rate of highest bids in the book-building process as an exogenous shock, we find that IPO underpricing decreases, which indicates that excluding a certain percentage of the highest bids impairs IPO pricing efficiency. Further tests reveal that relaxing the mandate increases investors’ valuation of an IPO, thereby decreasing IPO underpricing. Our results also suggest that the relaxation of the stipulation motivates investors to provide more information, as revealed by fewer anchoring bids and reduced herding behavior, as well as higher opinion divergence and better predictive power for investor bids on post-IPO prices.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"72 ","pages":"Article 100936"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143359884","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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