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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
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
Insider trading regulation and trader migration 内幕交易监管与交易员迁移
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-11-01 DOI: 10.1016/j.finmar.2023.100839
Robert Merl , Stefan Palan , Dominik Schmidt , Thomas Stöckl
{"title":"Insider trading regulation and trader migration","authors":"Robert Merl ,&nbsp;Stefan Palan ,&nbsp;Dominik Schmidt ,&nbsp;Thomas Stöckl","doi":"10.1016/j.finmar.2023.100839","DOIUrl":"10.1016/j.finmar.2023.100839","url":null,"abstract":"<div><p>Discussions about insider trading regulation veer between the poles of forbidding insider trading to protect market integrity and allowing insider trading to foster informational efficiency. We study traders’ preferences for regulation by offering them concurrent markets with different regulatory regimes in an experimental setting. We find that informed traders’ preference for the unregulated market causes both informed and uninformed traders to be more active in the unregulated market. This market, thus, sees more trading volume, lower spreads, and less mispricing. Nevertheless, uninformed traders suffer greater losses in unregulated markets, while informed traders profit from the absence of regulation.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"66 ","pages":"Article 100839"},"PeriodicalIF":2.8,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S138641812300037X/pdfft?md5=0a547f16c0c54abdad7660685881411c&pid=1-s2.0-S138641812300037X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43373734","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: 1
Retail trading and analyst coverage 零售交易和分析师报道
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-11-01 DOI: 10.1016/j.finmar.2023.100849
Charles Martineau , Marius Zoican
{"title":"Retail trading and analyst coverage","authors":"Charles Martineau ,&nbsp;Marius Zoican","doi":"10.1016/j.finmar.2023.100849","DOIUrl":"10.1016/j.finmar.2023.100849","url":null,"abstract":"<div><p>How does retail trading impact information supply in financial markets? We build a trading model with endogenous information supply where analysts maximize trading volume by institutional investors. In equilibrium, sell-side analysts provide higher quality signals in stocks with large retail interest, as institutional investors can trade more aggressively without revealing information. We provide empirical evidence supporting the main prediction of the model: A one standard deviation increase in retail trading leads to an additional 0.6 analysts covering the stock. To establish causality, we confirm our results using stock splits as a plausibly exogenous shock to retail trading.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"66 ","pages":"Article 100849"},"PeriodicalIF":2.8,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41506970","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
Order splitting and interacting with a counterparty 订单分裂和与交易对手的交互
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-11-01 DOI: 10.1016/j.finmar.2023.100850
Vincent van Kervel , Amy Kwan , P. Joakim Westerholm
{"title":"Order splitting and interacting with a counterparty","authors":"Vincent van Kervel ,&nbsp;Amy Kwan ,&nbsp;P. Joakim Westerholm","doi":"10.1016/j.finmar.2023.100850","DOIUrl":"10.1016/j.finmar.2023.100850","url":null,"abstract":"<div><p>Institutional investors have a strong incentive to find natural counterparties to be able to trade larger amounts at lower costs. We show theoretically that order splitting allows institutional investors to gradually detect each other’s trading intentions, such that they can coordinate their trading to maximize gains from trade. Empirically, we confirm that investors detect counterparties in real-time and adjust their trading rate accordingly. The economic magnitudes are sizeable, as a one-standard deviation increase in natural counterparty trading volume correlates with a 11.9% increase in parent order size and a 86% reduction in average implementation shortfall.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"66 ","pages":"Article 100850"},"PeriodicalIF":2.8,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135938130","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 market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave 跨平台交易速度对市场质量的影响:来自法兰克福-伦敦微波网络的证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-11-01 DOI: 10.1016/j.finmar.2023.100853
Khaladdin Rzayev , Gbenga Ibikunle , Tom Steffen
{"title":"The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave","authors":"Khaladdin Rzayev ,&nbsp;Gbenga Ibikunle ,&nbsp;Tom Steffen","doi":"10.1016/j.finmar.2023.100853","DOIUrl":"10.1016/j.finmar.2023.100853","url":null,"abstract":"<div><p>Exploiting information transmission latency between stock exchanges in Frankfurt and London, and speed-inducing technological upgrades, we show that when cross-market latency arbitrage opportunities are linked to the arrival of information, high-frequency traders' (HFTs’) activities impair liquidity and enhance price discovery by facilitating the incorporation of public information into prices. Conversely, when cross-market latency arbitrage opportunities are driven by liquidity shocks, HFTs improve liquidity and reduce trading costs, thus incentivizing information acquisition and trading with private information. These findings underscore the complex nature of the association between trading speed and market quality and reconcile mixed evidence in the extant literature.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"66 ","pages":"Article 100853"},"PeriodicalIF":2.8,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418123000514/pdfft?md5=b63fec5b36d38317898e02d3887dd33a&pid=1-s2.0-S1386418123000514-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44216242","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
Newspapers tone and the overnight-intraday stock return anomaly 报纸的语气和隔夜股票的盘中回报异常
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-09-01 DOI: 10.1016/j.finmar.2023.100838
Yossi Saadon , Ben Z. Schreiber
{"title":"Newspapers tone and the overnight-intraday stock return anomaly","authors":"Yossi Saadon ,&nbsp;Ben Z. Schreiber","doi":"10.1016/j.finmar.2023.100838","DOIUrl":"10.1016/j.finmar.2023.100838","url":null,"abstract":"<div><p>We examine the associations between newspapers tone and stock market indices by translating newspapers coverage into human sentiment gauge. Our tone has positive effects on overnight stock returns and negative effects on both intraday returns and conditional volatility. The positive effect of the tone is highly significant on days of sharp price declines and when the tone is calculated using general newspapers. That positive effect, apparently thru opening prices, partly explains the overnight-intraday anomaly. The impact of negative events' coverage is about double the impact of positive events’ coverage. This asymmetry is greater when distinguishing between general and business newspapers.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"65 ","pages":"Article 100838"},"PeriodicalIF":2.8,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44307712","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
Daily short selling around reverse stock splits 围绕反向股票拆分的每日卖空
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-09-01 DOI: 10.1016/j.finmar.2023.100832
Benjamin M. Blau , Justin S. Cox , Todd G. Griffith , Ryan Voges
{"title":"Daily short selling around reverse stock splits","authors":"Benjamin M. Blau ,&nbsp;Justin S. Cox ,&nbsp;Todd G. Griffith ,&nbsp;Ryan Voges","doi":"10.1016/j.finmar.2023.100832","DOIUrl":"https://doi.org/10.1016/j.finmar.2023.100832","url":null,"abstract":"<div><p>We examine prices and daily short selling activity around reverse stock splits using a difference-in-difference identification strategy. The results show negative returns for treatment stocks, relative to control stocks, around reverse splits. Additionally, short selling increases for treatment stocks vis-à-vis control stocks in the days after the reverse split announcements, but not before. Moreover, short selling on reverse split announcement and effective dates does not appear to contain more information about future negative returns than usual. Together, the results indicate that reverse stock splits attract short sellers’ attention, but that they are no more informed around these events than normal.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"65 ","pages":"Article 100832"},"PeriodicalIF":2.8,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49764169","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
Information flow and credit rating announcements 信息流和信用评级公告
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-09-01 DOI: 10.1016/j.finmar.2023.100837
Mehdi Khorram , Haitao Mo , Gary C. Sanger
{"title":"Information flow and credit rating announcements","authors":"Mehdi Khorram ,&nbsp;Haitao Mo ,&nbsp;Gary C. Sanger","doi":"10.1016/j.finmar.2023.100837","DOIUrl":"https://doi.org/10.1016/j.finmar.2023.100837","url":null,"abstract":"<div><p>We employ the implied volatility spread (IVS) and the short lending fee as measures of private information conveyed by their respective markets. Using issuer credit rating announcements as an informational event, we find that both IVS and the short fee have significantly higher predictive power for returns on event days versus non-event days. Both also predict the direction and magnitude of credit rating changes. Consistent with the linkage between the short sale and options markets, in models with both explanatory variables, the short fee remains significant in all specifications, while IVS loses explanatory power.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"65 ","pages":"Article 100837"},"PeriodicalIF":2.8,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49764174","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
Surprise in short interest 兴趣不足的惊喜
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-09-01 DOI: 10.1016/j.finmar.2023.100841
Matthias X. Hanauer , Pavel Lesnevski , Esad Smajlbegovic
{"title":"Surprise in short interest","authors":"Matthias X. Hanauer ,&nbsp;Pavel Lesnevski ,&nbsp;Esad Smajlbegovic","doi":"10.1016/j.finmar.2023.100841","DOIUrl":"https://doi.org/10.1016/j.finmar.2023.100841","url":null,"abstract":"<div><p>We extract the news component of short-selling activity by accounting for important cross-sectional, distributional differences in short interest data. The resulting measure of surprise in short interest negatively predicts the cross section of both U.S. and international equity returns. Our results also indicate that this predictability originates from short sellers’ informed trading on mispricing and investors’ underreaction due to their anchoring on past short interest. Finally, consistent with the notion of costly arbitrage, the return predictability is stronger among illiquid, volatile stocks and stocks with high information uncertainty, but importantly, unrelated to short-selling frictions.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"65 ","pages":"Article 100841"},"PeriodicalIF":2.8,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49764178","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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