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Institutional investor cliques and stock price efficiency: Evidence from China 机构投资者小团体与股票价格效率：来自中国的证据
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100935
Xiaodong Guo , Caiji Pang , Zheng Qiao , Xiangkun Yao
{"title":"Institutional investor cliques and stock price efficiency: Evidence from China","authors":"Xiaodong Guo ,&nbsp;Caiji Pang ,&nbsp;Zheng Qiao ,&nbsp;Xiangkun Yao","doi":"10.1016/j.finmar.2024.100935","DOIUrl":"10.1016/j.finmar.2024.100935","url":null,"abstract":"<div><div>We investigate the impact of coordinating groups of institutional investors (cliques) on stock price efficiency in China. Employing the Louvain algorithm, we identify institutional investor cliques based on their holding networks and observe strongly correlated trading behaviors among clique members. Our baseline findings document that institutional investor clique ownership impedes stock price efficiency. We also provide a potential mechanism suggesting that this impediment effect arises from reduced information acquisition by clique members. Our additional analyses suggest that the inefficient stock prices induced by institutional cliques may exacerbate stock bubbles and increase the stock price crash risk.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100935"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142705262","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
Synchronous social media and the stock market 同步社交媒体与股票市场
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100915
{"title":"Synchronous social media and the stock market","authors":"","doi":"10.1016/j.finmar.2024.100915","DOIUrl":"10.1016/j.finmar.2024.100915","url":null,"abstract":"<div><p>I examine stock discussions from real-time (synchronous) group chats on Discord and compare them with forum-style (asynchronous) postings on Reddit’s WallStreetBets. Findings suggest that popular stocks on Discord include fewer ”meme” stocks and are more diverse and profitable. A Discord-based long-short strategy outperforms several comparable strategies. Discord-based popularity predicts future trading volume, volatility, and returns, and this effect is stronger for smaller stocks. By contrast, popularity on WallStreetBets or on both platforms correlates with lower returns. Results suggest that academicians and practitioners should consider social interaction settings when evaluating the impact of social media on investment decisions.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100915"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141198458","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
Margin trading, short selling, and information asymmetry 保证金交易、卖空和信息不对称
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100926
Minggang Xu , Xueyong Zhang , Yeqing Zhang
{"title":"Margin trading, short selling, and information asymmetry","authors":"Minggang Xu ,&nbsp;Xueyong Zhang ,&nbsp;Yeqing Zhang","doi":"10.1016/j.finmar.2024.100926","DOIUrl":"10.1016/j.finmar.2024.100926","url":null,"abstract":"<div><p>We investigate the impact of margin trading and short selling (MTSS) on information asymmetry<span><span> using data from a unique Chinese pilot<span> program that permits MTSS for a specific list of stocks. We establish a theoretical framework indicating that MTSS enhances the pricing system’s informativeness, leading to reduced </span></span>information asymmetry. Motivated by this theoretical framework, we design a quasi-experiment to analyze data from 2013 to 2016. We find that indeed MTSS weakens information asymmetry. Furthermore, the reduction of information asymmetry can be attributed to both margin trading and short selling.</span></p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100926"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142117726","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
Firm visibility, liquidity, and valuation for thinly traded assets 交易稀少资产的公司知名度、流动性和估值
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100914
{"title":"Firm visibility, liquidity, and valuation for thinly traded assets","authors":"","doi":"10.1016/j.finmar.2024.100914","DOIUrl":"10.1016/j.finmar.2024.100914","url":null,"abstract":"<div><p><span>We employ a regression discontinuity design to study how a market division experiment affects stock liquidity and </span>firm valuation in an illiquid market. We document that an increase in firm visibility can substantially improve a firm's liquidity (measured by trading immediacy) and increase valuation by 28.4% for thinly traded assets. We also find some evidence that an improved information environment may contribute to enhanced liquidity and valuation.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100914"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141134854","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
Search friction, liquidity risk, and bond misallocation 搜索摩擦、流动性风险和债券错配
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100912
{"title":"Search friction, liquidity risk, and bond misallocation","authors":"","doi":"10.1016/j.finmar.2024.100912","DOIUrl":"10.1016/j.finmar.2024.100912","url":null,"abstract":"<div><p>Search friction is a key driver of changes in corporate bond yield spreads over time. In the cross-section, the liquidity risk stemming from search friction is significantly priced, and is strongly correlated with the misallocation of bond positions among different traders. I propose a novel measure of bond-specific misallocation, which is the negative covariance between traders’ private valuations and their inventory positions for each bond. I find that bonds with higher levels of misallocation are associated with lower absolute levels of liquidity risk from search friction. I develop a search-and-matching model to explain this correlation.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100912"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140939009","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
Doctors managing mutual funds: Returns to specialization in asset management 管理共同基金的医生：资产管理专业化的回报
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100916
{"title":"Doctors managing mutual funds: Returns to specialization in asset management","authors":"","doi":"10.1016/j.finmar.2024.100916","DOIUrl":"10.1016/j.finmar.2024.100916","url":null,"abstract":"<div><p>We investigate the returns to specialized knowledge in asset management by comparing the performance of medical specialists versus generalists in managing healthcare sector mutual funds. Specialist alpha is 5% higher on an annualized basis. This result is robust to controlling for other observable characteristics and using different performance measures, subperiods, and variable definitions. The positive effect of a medical education on fund performance and specialists’ ability to time industry-specific events suggest that knowledge-based skills, rather than social connections, are key to specialist outperformance. Our paper provides new evidence on fund manager characteristics that provide a competitive advantage in generating alpha.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100916"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141144741","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
Oil information uncertainty and aggregate market returns: A natural experiment based on satellite data 石油信息的不确定性与总体市场回报：基于卫星数据的自然实验
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100913
{"title":"Oil information uncertainty and aggregate market returns: A natural experiment based on satellite data","authors":"","doi":"10.1016/j.finmar.2024.100913","DOIUrl":"10.1016/j.finmar.2024.100913","url":null,"abstract":"<div><p>Satellites can “see” oil inventory in oil tanks, but they are sensitive to cloud cover. Cloud cover introduces a new uncertainty related to information quality. We measure such information uncertainty by assessing cloud cover over floating roof oil tanks. Using a cloud cover index, we demonstrate that higher information uncertainty leads to lower future returns (mean effect) and a stronger momentum anomaly (interaction effect). These two effects can be explained by investor overconfidence and arbitrage costs, respectively. An investor with a mean–variance preference obtains sizable gains in terms of certainty equivalent return, which accounts for the mean effect.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100913"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140785060","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 role of options markets in corporate social responsibility 期权市场在企业社会责任中的作用
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100910
{"title":"The role of options markets in corporate social responsibility","authors":"","doi":"10.1016/j.finmar.2024.100910","DOIUrl":"10.1016/j.finmar.2024.100910","url":null,"abstract":"<div><p>We explore the relationship between options trading and corporate social responsibility<span><span> (CSR). We find that options trading can enhance CSR by (i) fostering shareholder activism, as indicated by increased long-term and socially responsible institutional ownership and CSR proposals and (ii) intensifying product market competition, which spurs </span>green innovation and product-related CSR initiatives. The positive effects are more pronounced in well-governed firms but diminished in firms with managerial entrenchment. Moreover, CSR improvements driven by options trading positively influence firm value, with notable enhancements in environmental performance. Our results underscore that options markets play a crucial role in promoting responsible corporate practices.</span></p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100910"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140623067","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 volatility of stock investor returns 股票投资者收益的波动性
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100927
{"title":"The volatility of stock investor returns","authors":"","doi":"10.1016/j.finmar.2024.100927","DOIUrl":"10.1016/j.finmar.2024.100927","url":null,"abstract":"<div><p>The volatility of stock investor returns depends not only on the volatility of the stocks they hold but also on their time-varying capital exposure to these holdings. Using individual stocks, portfolios of stocks, and indexes across U.S. and international stock markets, we provide comprehensive evidence that the volatility of investor returns is consistently higher than the corresponding volatility of stock returns across nearly all specifications. The relative magnitude of the volatility differential ranges from 10% to 75%, increasing with investment horizon. This discrepancy is driven primarily by investors’ propensity to \"flee volatility,\" withdrawing equity capital following periods of high volatility.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100927"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141501049","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
Strategic trading as a response to short sellers 战略交易作为对卖空者的回应
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-04-22 DOI: 10.1016/j.finmar.2024.100911
Marco Di Maggio , Francesco Franzoni , Massimo Massa , Roberto Tubaldi
{"title":"Strategic trading as a response to short sellers","authors":"Marco Di Maggio ,&nbsp;Francesco Franzoni ,&nbsp;Massimo Massa ,&nbsp;Roberto Tubaldi","doi":"10.1016/j.finmar.2024.100911","DOIUrl":"10.1016/j.finmar.2024.100911","url":null,"abstract":"<div><p>We examine whether the strategic response to short selling by other informed investors decelerates the incorporation of positive information. We find a sizeable reduction of positive information impounding before earnings announcements for stocks more exposed to short selling. Consistent with strategic behavior, we find that investors with positive views slow down their trades when short sellers are also present. Furthermore, they break up their buy trades across multiple brokers, suggesting they wish to prevent a price impact. Thus, the strategic reaction to short selling appears to have implications for information impounding before public information releases.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100911"},"PeriodicalIF":2.8,"publicationDate":"2024-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141059189","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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