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Financial news media and volatility: Is there more to newspapers than news? 财经新闻媒体与波动：除了新闻，报纸还有其他内容吗？
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-02-15 DOI: 10.1016/j.finmar.2024.100896
Julian Ashwin
{"title":"Financial news media and volatility: Is there more to newspapers than news?","authors":"Julian Ashwin","doi":"10.1016/j.finmar.2024.100896","DOIUrl":"10.1016/j.finmar.2024.100896","url":null,"abstract":"<div><p>Does media coverage of a firm have a causal effect on the volatility of its stock price and, if so, is this of aggregate importance? I identify a robust link between coverage in the <em>Financial Times</em> and a firm’s intraday stock price volatility. This effect is not driven by persistence in volatility or anticipation of future newsworthy events, but is explained by an increase in trading volume, supporting a salience interpretation. The effect spills over into firms related by the structure of the production network, but does not affect the aggregate level of volatility.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100896"},"PeriodicalIF":2.8,"publicationDate":"2024-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418124000144/pdfft?md5=523b2eef9a18a32236f1ecde1561a241&pid=1-s2.0-S1386418124000144-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139877016","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
The lead–lag relation between VIX futures and SPX futures VIX 期货与 SPX 期货之间的领先-滞后关系
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-01-01 DOI: 10.1016/j.finmar.2023.100851
Christine Bangsgaard , Thomas Kokholm
{"title":"The lead–lag relation between VIX futures and SPX futures","authors":"Christine Bangsgaard ,&nbsp;Thomas Kokholm","doi":"10.1016/j.finmar.2023.100851","DOIUrl":"10.1016/j.finmar.2023.100851","url":null,"abstract":"<div><p>We analyze the lead–lag relation between VIX futures and SPX futures. The two futures markets are weakly connected when market volatility is low. By contrast, when volatility is high, their prices are highly negatively correlated, with VIX futures leading SPX futures. However, the tightness of the lead–lag relation prevents the formation of profitable trading strategies in a setup that includes transaction costs. An analysis of the time variation in the lead–lag relation finds that an improvement in the relative liquidity of one market strengthens the lead of that market. Moreover, the hedging activities of market makers influence the lead–lag relation.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"67 ","pages":"Article 100851"},"PeriodicalIF":2.8,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418123000496/pdfft?md5=27d85097640e8d3a70a5051e18b77279&pid=1-s2.0-S1386418123000496-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136173380","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
Disentangling the supply and announcement effects of open market operations 厘清公开市场操作的供应和公告效应
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-01-01 DOI: 10.1016/j.finmar.2023.100871
Narayan Bulusu
{"title":"Disentangling the supply and announcement effects of open market operations","authors":"Narayan Bulusu","doi":"10.1016/j.finmar.2023.100871","DOIUrl":"10.1016/j.finmar.2023.100871","url":null,"abstract":"<div><p>Central banks use open market operations<span><span> (OMOs) to adjust the liquidity available to the financial system to maintain the short-term borrowing rate within the desired target range. Using the conditional </span>event study methodology to decompose the impact of OMOs into supply and announcement effects, this paper finds that when OMO announcements are unexpected, the decrease in the lending rate as a result of the higher supply is significantly moderated by the announcement effect. The results highlight that central banks communicate not just through signals of their desired policy stance, but also through their announcements of operations that implement the stance.</span></p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"67 ","pages":"Article 100871"},"PeriodicalIF":2.8,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138524701","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
Abnormal stock returns and shorting around securities class action lawsuits: The role of pre-filing news releases 证券集体诉讼前后的异常股票回报和做空：申请前新闻发布的作用
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-01-01 DOI: 10.1016/j.finmar.2023.100868
Chris Stivers , Licheng Sun , Sounak Saha
{"title":"Abnormal stock returns and shorting around securities class action lawsuits: The role of pre-filing news releases","authors":"Chris Stivers ,&nbsp;Licheng Sun ,&nbsp;Sounak Saha","doi":"10.1016/j.finmar.2023.100868","DOIUrl":"10.1016/j.finmar.2023.100868","url":null,"abstract":"<div><p>Studying 1,473 U.S. securities class action (SCA) lawsuits over 2009–2019, we find that the pre-filing abnormal negative returns and shorting are largely linked to public investigation news that precedes the SCA lawsuit filing. Across all the lawsuits, 73% of the total abnormal negative returns over the ten-day pre-filing period are attributed to the 31.6% of the cases that had investigation news over that pre-filing period. Our findings indicate that investors’ ability to anticipate SCA lawsuits is not as economically significant as previous studies suggest, and that SCA shorting profitability is substantially linked to analysis of public information.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"67 ","pages":"Article 100868"},"PeriodicalIF":2.8,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136128281","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
Private information disclosure in the secondary loan market and its impact on equity market trading costs 二级贷款市场的私人信息披露及其对股票市场交易成本的影响
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-01-01 DOI: 10.1016/j.finmar.2023.100867
Anthony Saunders , Pei Shao , Yuchao Xiao
{"title":"Private information disclosure in the secondary loan market and its impact on equity market trading costs","authors":"Anthony Saunders ,&nbsp;Pei Shao ,&nbsp;Yuchao Xiao","doi":"10.1016/j.finmar.2023.100867","DOIUrl":"10.1016/j.finmar.2023.100867","url":null,"abstract":"<div><p>When a firm's loans are first traded in the secondary market, private information about the firm is disclosed to a select group of large investors, so-called qualified institutional buyers (QIBs). We document a significant information effect that benefits these buyers in the firm's market for equity, in particular, a significant impact on equity market investors and the firm's stock bid-ask spreads, which benefits informed QIBs relative to retail investors. This informational benefit raises important regulatory issues related to disclosure and SEC regulations.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"67 ","pages":"Article 100867"},"PeriodicalIF":2.8,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136009436","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
Informed trading prior to financial misconduct: Evidence from option markets 财务不端行为之前的知情交易：来自期权市场的证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-01-01 DOI: 10.1016/j.finmar.2023.100855
Keming Li
{"title":"Informed trading prior to financial misconduct: Evidence from option markets","authors":"Keming Li","doi":"10.1016/j.finmar.2023.100855","DOIUrl":"10.1016/j.finmar.2023.100855","url":null,"abstract":"<div><p>This paper shows an abnormal level of option trading activities in the ten days before the revelation of financial misconduct in a sample of the SEC and/or DOJ enforcement actions. These abnormal option trading volumes are negatively associated with the subsequent stock returns to the announcements, and are positively linked to firm penalty, the number of violations, prison sentences, fraud charge, top executives number, potential firm deception toward auditors, impeded investigation, and violation period. Finally, abnormal option trading is related to the time to discovery and the likelihood of discovery. These results suggest that option traders detect firms engaged in financial misconducts.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"67 ","pages":"Article 100855"},"PeriodicalIF":2.8,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48903099","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 better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program 提高大额订单的流动性是否能吸引机构投资者和分析师？从 "点数大小 "试点计划中获得的证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-01-01 DOI: 10.1016/j.finmar.2023.100870
Mengdie Deng, Tse-Chun Lin, Jiayu Zhou
{"title":"Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program","authors":"Mengdie Deng,&nbsp;Tse-Chun Lin,&nbsp;Jiayu Zhou","doi":"10.1016/j.finmar.2023.100870","DOIUrl":"10.1016/j.finmar.2023.100870","url":null,"abstract":"<div><p>Based on the SEC's Tick Size Pilot Program, we adopt a difference-in-differences design and find that the improved liquidity for large orders increases their ownership of the treatment firms with a larger tick size during the program. The effect is concentrated among firms with lower liquidity for large orders ex ante and mainly comes from dedicated investors and quasi-indexers. We also find that analyst coverage and forecast accuracy increase for the treatment firms, plausibly catering to the increased information demand of institutional investors. Consequently, price efficiency increases as well. Overall, we show the bright side of this controversial program.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"67 ","pages":"Article 100870"},"PeriodicalIF":2.8,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135564301","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 analysts distribute negative opinions earlier? 分析师会提前发布负面意见吗？
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-01-01 DOI: 10.1016/j.finmar.2023.100856
Yanhua Sunny Yang , Chris Yung
{"title":"Do analysts distribute negative opinions earlier?","authors":"Yanhua Sunny Yang ,&nbsp;Chris Yung","doi":"10.1016/j.finmar.2023.100856","DOIUrl":"10.1016/j.finmar.2023.100856","url":null,"abstract":"<div><p>We examine analysts’ forecast timing when issuing negative opinions. When management withholds bad news, good news become more abundant but relatively uninformative. We theoretically predict and empirically document that analysts treat observed bad news as having higher precision and respond to it by issuing forecasts more quickly and accurately than for good news forecasts. These results hold to various robustness checks. This study improves our understanding of negative information dissemination in capital markets.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"67 ","pages":"Article 100856"},"PeriodicalIF":2.8,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135568863","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
Business seasonality and stock liquidity 业务季节性和股票流动性
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-01-01 DOI: 10.1016/j.finmar.2023.100869
Joseph M. Marks , Chenguang Shang
{"title":"Business seasonality and stock liquidity","authors":"Joseph M. Marks ,&nbsp;Chenguang Shang","doi":"10.1016/j.finmar.2023.100869","DOIUrl":"10.1016/j.finmar.2023.100869","url":null,"abstract":"<div><p><span>We investigate the relation between firms' business seasonality and their stock market liquidity and find robust evidence that firms with seasonal business tend to have less liquid equity. The effect of seasonality on stock liquidity is amplified for firms facing greater information asymmetry. Furthermore, firms with seasonal business patterns are associated with a higher probability of informed trading, and their </span>stock returns co-move less with the market. Overall, our results suggest that the business patterns of such firms may negatively affect their information environments, and investors’ concerns with regard to adverse selection impede the liquidity provision for these firms.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"67 ","pages":"Article 100869"},"PeriodicalIF":2.8,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136128058","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
Climate risks and state-level stock market realized volatility 气候风险与国家级股市波动
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-11-01 DOI: 10.1016/j.finmar.2023.100854
Matteo Bonato , Oguzhan Cepni , Rangan Gupta , Christian Pierdzioch
{"title":"Climate risks and state-level stock market realized volatility","authors":"Matteo Bonato ,&nbsp;Oguzhan Cepni ,&nbsp;Rangan Gupta ,&nbsp;Christian Pierdzioch","doi":"10.1016/j.finmar.2023.100854","DOIUrl":"10.1016/j.finmar.2023.100854","url":null,"abstract":"<div><p>We analyze the predictive value of climate risks for state-level realized stock market volatility, computed, along with other realized moments, based on high-frequency intra-day U.S. data (September, 2011 to October, 2021). A model-based bagging algorithm recovers that climate risks have predictive value for realized volatility at intermediate and long (one and two months) forecast horizons. This finding also holds for upside (“good”) and downside (“bad”) realized volatility. The benefits of using climate risks for predicting state-level realized stock market volatility depend on the shape and (as-)symmetry of a forecaster’s loss function.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"66 ","pages":"Article 100854"},"PeriodicalIF":2.8,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48081226","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: 1
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