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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
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
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