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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
Mood, attention, and household trading: Evidence from terrorist attacks 情绪、注意力和家庭交易:来自恐怖袭击的证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-11-01 DOI: 10.1016/j.finmar.2023.100858
Albert Y. Wang , Michael Young
{"title":"Mood, attention, and household trading: Evidence from terrorist attacks","authors":"Albert Y. Wang ,&nbsp;Michael Young","doi":"10.1016/j.finmar.2023.100858","DOIUrl":"10.1016/j.finmar.2023.100858","url":null,"abstract":"<div><p>In response to terrorism, households reduce their trading activity and equity ownership. While the decline in the net value of trades is consistent with increasing risk aversion, reduced Google search volumes, lower aggregate attention indices, and fewer purchases of newsworthy stocks suggest that investors pay less attention to the financial markets after attacks. Additional tests indicate that investor inattention is driven by distress-induced avoidance rather than distraction, and the effect is limited to retail investors. Finally, reduced retail trading after attacks leads to a decline in stock liquidity.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"66 ","pages":"Article 100858"},"PeriodicalIF":2.8,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136072091","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
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
Who trades at the close? Implications for price discovery and liquidity 谁在收盘时交易?对价格发现和流动性的影响
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-11-01 DOI: 10.1016/j.finmar.2023.100852
Vincent Bogousslavsky , Dmitriy Muravyev
{"title":"Who trades at the close? Implications for price discovery and liquidity","authors":"Vincent Bogousslavsky ,&nbsp;Dmitriy Muravyev","doi":"10.1016/j.finmar.2023.100852","DOIUrl":"10.1016/j.finmar.2023.100852","url":null,"abstract":"<div><p>Closing auctions set daily closing prices for U.S. stocks and account for a striking 7.5% of daily volume in 2018, up from 3.1% in 2010. We study closing auctions in the new regime of record volume. Closing auctions appear to match volumes at low cost: closing prices typically match pre-close bid or ask prices, and price impact is lower than during continuous trading. Auction price deviations revert quickly and almost completely, on average. Auction-to-intraday volume spikes on S&amp;P 500 additions and increases permanently afterwards, suggesting that closing volume is fueled directly and indirectly by the growth of indexing and ETFs.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"66 ","pages":"Article 100852"},"PeriodicalIF":2.8,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135220136","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
Quarterly investment spikes, stock returns, and the investment factor 季度投资飙升，股票回报和投资因素
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-11-01 DOI: 10.1016/j.finmar.2023.100835
Michela Altieri , Jan Schnitzler
{"title":"Quarterly investment spikes, stock returns, and the investment factor","authors":"Michela Altieri ,&nbsp;Jan Schnitzler","doi":"10.1016/j.finmar.2023.100835","DOIUrl":"10.1016/j.finmar.2023.100835","url":null,"abstract":"<div><p>We find that abnormal fourth-quarter capital expenditures are negatively correlated with future stock returns. While this evidence is linked to the asset growth factor, it cannot be entirely attributed to it. The fact that the relationship reverts with contemporaneous returns suggests that ad hoc investments may reflect changing discount rates. However, additional tests indicate that the reported effect is amplified by high payouts, low debt levels, and high idiosyncratic volatility, which is suggestive of over-investment issues. Our analysis supports the notion that firms’ investment decisions contain intricate but valuable information about stock returns.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"66 ","pages":"Article 100835"},"PeriodicalIF":2.8,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135326455","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
Price bands and their effects on equity markets: Evidence from a natural experiment 价格带及其对股票市场的影响：来自自然实验的证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-11-01 DOI: 10.1016/j.finmar.2023.100840
Vladimir A. Gatchev , Rama Seth , Ajai Singh , S.R. Vishwanatha
{"title":"Price bands and their effects on equity markets: Evidence from a natural experiment","authors":"Vladimir A. Gatchev ,&nbsp;Rama Seth ,&nbsp;Ajai Singh ,&nbsp;S.R. Vishwanatha","doi":"10.1016/j.finmar.2023.100840","DOIUrl":"10.1016/j.finmar.2023.100840","url":null,"abstract":"<div><p>We exploit a unique experiment, where the intraday price moves of Indian IPO listings are restricted within a narrow band, to examine the consequences of price bands for stock prices, investor trading behavior, and stock market liquidity. Based on difference-in-differences estimations, we find that price bands lead to a significant reduction in the price variability of IPO stocks. The decrease in variability is accompanied by increases in post-IPO selling by individual investors, the price impact of trades, and IPO expected returns. Bid-ask spreads remain similar. The findings provide new evidence on the effects of intraday price bands on equity markets.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"66 ","pages":"Article 100840"},"PeriodicalIF":2.8,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43461758","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
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
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