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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
The exit choices of European private firms: A dynamic empirical analysis 欧洲民营企业退出选择:动态实证分析
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-09-01 DOI: 10.1016/j.finmar.2023.100821
Thomas J. Chemmanur , Andrea Signori , Silvio Vismara
{"title":"The exit choices of European private firms: A dynamic empirical analysis","authors":"Thomas J. Chemmanur ,&nbsp;Andrea Signori ,&nbsp;Silvio Vismara","doi":"10.1016/j.finmar.2023.100821","DOIUrl":"https://doi.org/10.1016/j.finmar.2023.100821","url":null,"abstract":"<div><p>Using a European private firm sample, we conduct a dynamic empirical analysis of private firm exit choice, previously modeled as a one-time IPO versus acquisition decision. Going public may yield firms a valuation premium (over a direct acquisition) through a post-IPO acquisition, but may also involve possible delisting at a valuation discount. We explicitly account for these dynamic considerations and show that such considerations alter firms’ initial exit trade-off: firms that anticipate a higher post-IPO acquisition probability are more likely to go public initially; those that anticipate a higher post-IPO delisting probability are more likely to choose a direct acquisition.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"65 ","pages":"Article 100821"},"PeriodicalIF":2.8,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49745010","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
Options-based systemic risk, financial distress, and macroeconomic downturns 基于期权的系统性风险、金融困境和宏观经济衰退
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-09-01 DOI: 10.1016/j.finmar.2023.100834
Mattia Bevilacqua , Radu Tunaru , Davide Vioto
{"title":"Options-based systemic risk, financial distress, and macroeconomic downturns","authors":"Mattia Bevilacqua ,&nbsp;Radu Tunaru ,&nbsp;Davide Vioto","doi":"10.1016/j.finmar.2023.100834","DOIUrl":"https://doi.org/10.1016/j.finmar.2023.100834","url":null,"abstract":"<div><p>We extract an option-implied measure for systemic risk, the Systemic Options Value-at-Risk (SOVaR), from put option prices that can capture the buildup stage of systemic risk in the financial sector earlier than the standard systemic risk measures (SRMs). Our measure exhibits more timely early warning signals of main events around the global financial crisis than the main SRMs. SOVaR shows significant predictive power for macroeconomic downturns as well as future recessions up to one year ahead. Our results are robust to various specifications, breakdowns of financial sectors, and controlling for other main risk measures proposed in the literature.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"65 ","pages":"Article 100834"},"PeriodicalIF":2.8,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49745018","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
Dissecting the listing gap: Mergers, private equity, or regulation? 剖析上市差距:并购、私募股权还是监管?
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-09-01 DOI: 10.1016/j.finmar.2023.100836
Gabriele Lattanzio , William L. Megginson , Ali Sanati
{"title":"Dissecting the listing gap: Mergers, private equity, or regulation?","authors":"Gabriele Lattanzio ,&nbsp;William L. Megginson ,&nbsp;Ali Sanati","doi":"10.1016/j.finmar.2023.100836","DOIUrl":"https://doi.org/10.1016/j.finmar.2023.100836","url":null,"abstract":"<div><p>The abnormal decline in the number of U.S. public firms is often blamed on merger activity, private equity investments, and stock market regulations. We compare the effects of these channels in a unified framework. In the U.S., an extra 100 mergers is associated with 22.01 additional missing public firms, whereas an extra 100 PE deals is associated with 3.62 fewer missing public firms. Regulatory changes contribute to the decline of U.S. listings too. We also specify the types of deals that most strongly affect listings. Finally, we document that similar listing gaps emerge in other developed economies.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"65 ","pages":"Article 100836"},"PeriodicalIF":2.8,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49745013","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 disappearing profitability of volatility-managed equity factors 波动性管理股票因素的盈利能力消失
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-09-01 DOI: 10.1016/j.finmar.2023.100857
Timotheos Angelidis , Nikolaos Tessaromatis
{"title":"The disappearing profitability of volatility-managed equity factors","authors":"Timotheos Angelidis ,&nbsp;Nikolaos Tessaromatis","doi":"10.1016/j.finmar.2023.100857","DOIUrl":"10.1016/j.finmar.2023.100857","url":null,"abstract":"<div><p>Our evidence suggests that the profitability of volatility timing strategies applied to equity factor portfolios disappeared when changes in the trading and information environment in the U.S. in the early 2000s made arbitrage less costly. The reduction of volatility timing alphas is greater for factor portfolios based on small-capitalization stocks, which are less liquid, more costly to trade, and more expensive to short than portfolios based on large-capitalization stocks. The evidence holds for 11 factor portfolios and a broader sample of 110 anomaly portfolios in the U.S. Our research highlights the importance of frictions in the profitability of investment strategies.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"65 ","pages":"Article 100857"},"PeriodicalIF":2.8,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43043596","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
Common short selling and excess comovement: Evidence from a sample of LSE stocks 常见的卖空和过度波动:来自伦敦证交所股票样本的证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-09-01 DOI: 10.1016/j.finmar.2023.100833
Marco Valerio Geraci , Jean-Yves Gnabo , David Veredas
{"title":"Common short selling and excess comovement: Evidence from a sample of LSE stocks","authors":"Marco Valerio Geraci ,&nbsp;Jean-Yves Gnabo ,&nbsp;David Veredas","doi":"10.1016/j.finmar.2023.100833","DOIUrl":"10.1016/j.finmar.2023.100833","url":null,"abstract":"<div><p>For a sample of 356 LSE stocks from the period 2013–2019, we find that common short sold capital is positively and significantly associated with one-month ahead four-factor residual return correlation, controlling for many pair characteristics, including similarities in size, book-to-market, and momentum. The relation weakens with stock illiquidity, whereas it strengthens when short positions originate from informed agents, such as hedge funds, active investors, and short sellers with high past performance. This supports our hypothesis that the relation is driven by information, not price pressure. We show that these results can be used to obtain diversification benefits.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"65 ","pages":"Article 100833"},"PeriodicalIF":2.8,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44066752","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 stock market rescue affect investment efficiency in the real sector? 股市救助会影响实体部门的投资效率吗?
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-09-01 DOI: 10.1016/j.finmar.2023.100859
Ling Jin , Zhisheng Li , Lei Lu , Xiaoran Ni
{"title":"Does stock market rescue affect investment efficiency in the real sector?","authors":"Ling Jin ,&nbsp;Zhisheng Li ,&nbsp;Lei Lu ,&nbsp;Xiaoran Ni","doi":"10.1016/j.finmar.2023.100859","DOIUrl":"10.1016/j.finmar.2023.100859","url":null,"abstract":"<div><p>During China's stock market crash in 2015, the government purchased the stocks of over 1000 firms. We investigate how this government rescue affects investment efficiency and show that rescued firms experience a significant decrease in investment-<em>q</em> sensitivity. This rescue has an adverse impact on price efficiency and impedes managers from learning information for investment decisions. The learning channel is the main mechanism through which the rescue has a real effect. Our findings indicate that programs intended to stabilize the stock market could adversely affect the real efficiency, providing new insight into the consequences of government purchases.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"65 ","pages":"Article 100859"},"PeriodicalIF":2.8,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47798684","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
Banning dark pools: Venue selection and investor trading costs 禁止暗池:地点选择和投资者交易成本
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-09-01 DOI: 10.1016/j.finmar.2023.100831
Christian Neumeier , Arie Gozluklu , Peter Hoffmann , Peter O’Neill , Felix Suntheim
{"title":"Banning dark pools: Venue selection and investor trading costs","authors":"Christian Neumeier ,&nbsp;Arie Gozluklu ,&nbsp;Peter Hoffmann ,&nbsp;Peter O’Neill ,&nbsp;Felix Suntheim","doi":"10.1016/j.finmar.2023.100831","DOIUrl":"10.1016/j.finmar.2023.100831","url":null,"abstract":"<div><p>We analyze the relation between transaction costs and venue choice using proprietary transaction-level data from institutional trade executions in the U.K. equity market. We show that, for a given investor, a higher share of dark trading (midpoint dark pools) is associated with lower execution costs. In the context of a recent ban on dark trading, we provide evidence consistent with migration towards substitute trading venues such as periodic auctions, which has mitigated adverse effects on trading costs for large investors. We also provide micro-evidence on Menkveld et al.’s (2017) pecking order theory of venue choice over the life-cycle of large parent orders.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"65 ","pages":"Article 100831"},"PeriodicalIF":2.8,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44824043","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: 4
Modern OTC market structure and liquidity: The tale of three tiers 现代场外交易市场结构与流动性:三层故事
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-06-01 DOI: 10.1016/j.finmar.2023.100815
Ryan Davis , Todd Griffith , Bonnie Van Ness , Robert Van Ness
{"title":"Modern OTC market structure and liquidity: The tale of three tiers","authors":"Ryan Davis ,&nbsp;Todd Griffith ,&nbsp;Bonnie Van Ness ,&nbsp;Robert Van Ness","doi":"10.1016/j.finmar.2023.100815","DOIUrl":"10.1016/j.finmar.2023.100815","url":null,"abstract":"<div><p>OTC Markets Group organizes stocks that trade over-the-counter (OTC) into three marketplaces (OTCQX, OTCQB, and Pink) based on firm quality and disclosure practices. We examine trading within these tiers and find that stocks in higher tiers are more liquid than stocks in lower tiers. After a series of difference-in-differences tests comparing a matched sample of stocks that change tiers, we find that liquidity improves (deteriorates) for stocks moving up (down) the tiered market structure, suggesting that the tier designations resolve uncertainty and increase firm visibility. Our results show that liquidity differences between tiers is attributable to OTC market structure.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"64 ","pages":"Article 100815"},"PeriodicalIF":2.8,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46400819","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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