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The price effect of temporary short-selling bans: Theory and evidence 临时卖空禁令的价格效应：理论与证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-11 DOI: 10.1016/j.finmar.2024.100890
Haoshu Tian , Xuemin (Sterling) Yan , Lingling Zheng
{"title":"The price effect of temporary short-selling bans: Theory and evidence","authors":"Haoshu Tian ,&nbsp;Xuemin (Sterling) Yan ,&nbsp;Lingling Zheng","doi":"10.1016/j.finmar.2024.100890","DOIUrl":"10.1016/j.finmar.2024.100890","url":null,"abstract":"<div><p>We develop a model of temporary short-selling bans by extending the infinite-horizon model of Scheinkman and Xiong (2003). Our model predicts that a temporary short-selling ban leads to a speculative bubble that is the highest at the beginning of the ban and gradually converges to zero. Examining the 2008 short-selling ban in the U.S., we find evidence consistent with the model’s predictions. The innovation of our empirical design is to use the financial segments of non-banned stocks as a control group for the banned financial stocks. Our results are robust across different test specifications and different samples of stocks.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100890"},"PeriodicalIF":2.8,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140154082","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
Are fund managers rewarded for taking cyclical risks? 基金经理是否因承担周期性风险而获得回报？
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2024.100893
Ellen Ryan
{"title":"Are fund managers rewarded for taking cyclical risks?","authors":"Ellen Ryan","doi":"10.1016/j.finmar.2024.100893","DOIUrl":"10.1016/j.finmar.2024.100893","url":null,"abstract":"<div><p>The investment fund sector has expanded dramatically since 2008, increasing the capacity for its risk-taking to generate negative spillovers. This paper provides empirical evidence for the existence of wide-spread risk-taking incentives in the investment fund sector, with a particular focus on incentives for synchronized, cyclical risk-taking which could have systemic risk implications. Incentives arise from the positive response of investors to returns achieved through cyclical risk-taking and non-linearities in the relationship between fund returns and fund flows. The fact that market discipline may not be sufficient to ensure prudent behavior among managers creates a clear case for macroprudential regulatory intervention.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100893"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139927228","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
Institutional herding and investor sentiment 机构羊群效应和投资者情绪
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2024.100891
Xu Guo , Chen Gu , Chengping Zhang , Shenru Li
{"title":"Institutional herding and investor sentiment","authors":"Xu Guo ,&nbsp;Chen Gu ,&nbsp;Chengping Zhang ,&nbsp;Shenru Li","doi":"10.1016/j.finmar.2024.100891","DOIUrl":"10.1016/j.finmar.2024.100891","url":null,"abstract":"<div><p>We investigate the role of investor sentiment in institutional herding behavior and its impact on stock prices. We find that institutional investors exhibit more herding behavior during periods of high sentiment, which has a significant impact on stock prices. Our results show that herding has a stabilizing effect on the stock market when investor sentiment is low, while it causes price distortions when sentiment is high. We also show that the impact of sentiment on price is particularly pronounced for small, non-profitable, low tangibility, high-growth firms.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100891"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139644814","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
Corporate bond price reversals 公司债券价格反转
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2023.100880
Alexey Ivashchenko
{"title":"Corporate bond price reversals","authors":"Alexey Ivashchenko","doi":"10.1016/j.finmar.2023.100880","DOIUrl":"10.1016/j.finmar.2023.100880","url":null,"abstract":"<div><p>I demonstrate empirically that corporate bond dealers mitigate adverse selection risk by passing potentially informed transactions to institutional investors. I contrast price reversals following days with abnormal trading volume across bonds with different information asymmetry. In informed trading, the part of reversal specific to high-volume days should increase with information asymmetry. In uninformed trading, there is no such effect. Following high-volume days when investors provide liquidity, the reversals are consistent with the former case. When dealers provide liquidity, I observe the latter. The results suggest that the informational content of bond prices is higher when dealers do not take inventory.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100880"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418123000782/pdfft?md5=3e6769c773d7495aa5d9cf05ba2d0583&pid=1-s2.0-S1386418123000782-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139022340","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
Price formation in field prediction markets: The wisdom in the crowd 现场预测市场的价格形成：群众的智慧
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2023.100881
Frederik Bossaerts , Nitin Yadav , Peter Bossaerts , Chad Nash , Torquil Todd , Torsten Rudolf , Rowena Hutchins , Anne-Louise Ponsonby , Karl Mattingly
{"title":"Price formation in field prediction markets: The wisdom in the crowd","authors":"Frederik Bossaerts ,&nbsp;Nitin Yadav ,&nbsp;Peter Bossaerts ,&nbsp;Chad Nash ,&nbsp;Torquil Todd ,&nbsp;Torsten Rudolf ,&nbsp;Rowena Hutchins ,&nbsp;Anne-Louise Ponsonby ,&nbsp;Karl Mattingly","doi":"10.1016/j.finmar.2023.100881","DOIUrl":"10.1016/j.finmar.2023.100881","url":null,"abstract":"<div><p>Prediction markets are a successful information aggregation structure, however the exact mechanism by which private information is incorporated into the price remains poorly understood. We introduce a novel method based on the “Kyle model” to identify traders who contribute valuable information to the market price. Applied to a large field prediction market dataset, we identify traders whose trades have positive informational price impact. In contrast to others, these traders realize profit (on average) in excess of a theoretical expected informed lower bound. Results are replicated on other field prediction market datasets, providing strong evidence in favor of the Kyle model.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100881"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418123000794/pdfft?md5=5915090d40ac9ded74a0ba5ecbc8ce27&pid=1-s2.0-S1386418123000794-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139374318","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
Intraday variation in cross-sectional stock comovement and impact of index-based strategies 横截面股票动向的日内变化及指数型策略的影响
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2024.100894
Yiwen Shen , Meiqi Shi
{"title":"Intraday variation in cross-sectional stock comovement and impact of index-based strategies","authors":"Yiwen Shen ,&nbsp;Meiqi Shi","doi":"10.1016/j.finmar.2024.100894","DOIUrl":"10.1016/j.finmar.2024.100894","url":null,"abstract":"<div><p>We investigate how comovement of S&amp;P 500 stocks changes during a day using a large high-frequency dataset and estimators that are robust under microstructure noise and asynchronicity. We find that, in 2011 to 2021, the stock correlation increases substantially throughout the trading session, while the cross-sectional beta dispersion decreases concurrently. Thus, S&amp;P 500 stocks exhibit stronger comovement near the market close. The time-varying comovement can be explained by the intraday variation in the composition of index-based and firm-based order flows. A cross-section market impact model with time-varying demand from single-stock and index investors generates the intraday patterns we observe.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100894"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139927324","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 impact of margin requirements on voluntary clearing decisions 保证金要求对自愿清算决定的影响
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2024.100892
Esen Onur, David Reiffen, Rajiv Sharma
{"title":"The impact of margin requirements on voluntary clearing decisions","authors":"Esen Onur,&nbsp;David Reiffen,&nbsp;Rajiv Sharma","doi":"10.1016/j.finmar.2024.100892","DOIUrl":"10.1016/j.finmar.2024.100892","url":null,"abstract":"<div><p>This paper examines the incentives to voluntarily centrally-clear swaps. It exploits changes resulting from a regulation mandating collateral on uncleared swaps to analyze determinants of traders’ clearing decisions. The rule promoted voluntary clearing by decreasing the relative cost of clearing swaps. Using unique regulatory data, the paper finds that clearing more than quadrupled for exchange rate derivatives that were implicated by this regulation, while clearing for similar but exempt derivatives increased by about one-third. These changes were driven by traders who were already clearinghouse members, suggesting that clearing members have substantially lower marginal clearing costs.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100892"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139927226","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 illiquidity and cross-sectional corporate bond returns 极端非流动性与横截面公司债券回报率
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2024.100895
Xi Chen , Junbo Wang , Chunchi Wu , Di Wu
{"title":"Extreme illiquidity and cross-sectional corporate bond returns","authors":"Xi Chen ,&nbsp;Junbo Wang ,&nbsp;Chunchi Wu ,&nbsp;Di Wu","doi":"10.1016/j.finmar.2024.100895","DOIUrl":"10.1016/j.finmar.2024.100895","url":null,"abstract":"<div><p>Corporate bonds carry an extreme illiquidity (EIL) premium. This premium permeates all rating categories and heightens during financial crises and periods of high uncertainty. EIL has predictive power in the cross-section for future returns up to at least one year. Active investors like mutual funds prefer low EIL bonds that can be easily liquidated during times of stress, whereas passive institutional investors overweight high EIL bonds to receive the EIL premium. While adding an EIL factor constructed from portfolios to the factor model increases the explanatory power, its effect is largely subsumed by bond-level EIL in a horse race.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100895"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139928027","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
Understanding the impacts of dark pools on price discovery 了解暗池对价格发现的影响
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2023.100882
Linlin Ye
{"title":"Understanding the impacts of dark pools on price discovery","authors":"Linlin Ye","doi":"10.1016/j.finmar.2023.100882","DOIUrl":"10.1016/j.finmar.2023.100882","url":null,"abstract":"<div><p>I study how crossing networks, a type of dark pool, affect price discovery and market liquidity in the presence of noisy and heterogeneous trader signals. I identify a buffer function of crossing networks that helps mitigate traders’ losses from false signals. Additionally, I uncover an amplification effect. That is, when signal precision is high, crossing networks enhance price discovery. By contrast, when signal precision is low, crossing networks impair price discovery. These insights reconcile conflicting empirical evidence, yielding novel predictions and regulatory recommendations for equity and emerging markets.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100882"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139374315","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
Stabilizing the financial markets through communication and informed trading 通过沟通和知情交易稳定金融市场
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-02-26 DOI: 10.1016/j.finmar.2024.100897
Qi Guo, Shao’an Huang, Gaowang Wang
{"title":"Stabilizing the financial markets through communication and informed trading","authors":"Qi Guo,&nbsp;Shao’an Huang,&nbsp;Gaowang Wang","doi":"10.1016/j.finmar.2024.100897","DOIUrl":"10.1016/j.finmar.2024.100897","url":null,"abstract":"<div><p>We develop a model of government intervention with information disclosure in which a government with two private signals trades directly in financial markets to stabilize asset prices. Government intervention through informed trading stabilizes financial markets and affects market quality through a noise channel and an information channel. Information disclosure negatively affects financial stability by deteriorating the information advantages of the government, while its final effects on market quality hinge on the relative sizes of the noise effect and the information effect. Under different information disclosure scenarios, there are potential tradeoffs between financial stability and price efficiency.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100897"},"PeriodicalIF":2.8,"publicationDate":"2024-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140018529","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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