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Coarse pricing in QE auctions 量化宽松拍卖中的粗糙定价
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-03-01 Epub Date: 2025-01-06 DOI: 10.1016/j.finmar.2024.100959
Yusuke Tsujimoto
{"title":"Coarse pricing in QE auctions","authors":"Yusuke Tsujimoto","doi":"10.1016/j.finmar.2024.100959","DOIUrl":"10.1016/j.finmar.2024.100959","url":null,"abstract":"<div><div>This paper documents coarse pricing by the U.S. Federal Reserve’s counterparty intermediaries in quantitative easing operations. Although the Fed explicitly sets a tick size of 1/256th in its reverse auctions to purchase Treasury securities, offer prices of primary dealers exhibit strong clustering on coarser grids. Top dealers price more finely, and coarse pricing is particularly prevalent when the security characteristics indicate greater difficulty in precise pricing. I argue that this coarse pricing results from information costs associated with increasing pricing precision. The results also point to a novel role of tick size in affecting dealer competition in central bank operations.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"73 ","pages":"Article 100959"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143593431","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
Bigger pie, bigger slice: liquidity, value gain, and underpricing in IPOs 更大的蛋糕，更大的份额：流动性、价值增值和ipo定价过低
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-01-01 Epub Date: 2024-11-06 DOI: 10.1016/j.finmar.2024.100949
Yang Guo , Lily Yuanzhi Li , Hongda Zhong
{"title":"Bigger pie, bigger slice: liquidity, value gain, and underpricing in IPOs","authors":"Yang Guo ,&nbsp;Lily Yuanzhi Li ,&nbsp;Hongda Zhong","doi":"10.1016/j.finmar.2024.100949","DOIUrl":"10.1016/j.finmar.2024.100949","url":null,"abstract":"<div><div>Since investor participation is essential for successful IPOs, we hypothesize that issuers share value gain from IPOs with IPO investors, resulting in IPO underpricing. We test the positive relation between value gain and underpricing from the liquidity angle, as improved liquidity via IPO increases firm value. We find supporting evidence that underpricing is positively related to the expected post-IPO liquidity of the issuer. Using two regulation changes as exogenous shocks to share liquidity before and after an IPO, we show that underpricing is more pronounced with better expected post-IPO liquidity or lower pre-IPO liquidity.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"72 ","pages":"Article 100949"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143336287","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
Unintended consequence of high bid price exclusion in IPO auctions: Evidence from China IPO拍卖中高价排除的意外后果：来自中国的证据
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-01-01 Epub Date: 2024-08-28 DOI: 10.1016/j.finmar.2024.100936
Di Wu , Xiaoke Cheng , Kam C. Chan , Shenghao Gao
{"title":"Unintended consequence of high bid price exclusion in IPO auctions: Evidence from China","authors":"Di Wu ,&nbsp;Xiaoke Cheng ,&nbsp;Kam C. Chan ,&nbsp;Shenghao Gao","doi":"10.1016/j.finmar.2024.100936","DOIUrl":"10.1016/j.finmar.2024.100936","url":null,"abstract":"<div><div>Using a reform to relax the exclusion rate of highest bids in the book-building process as an exogenous shock, we find that IPO underpricing decreases, which indicates that excluding a certain percentage of the highest bids impairs IPO pricing efficiency. Further tests reveal that relaxing the mandate increases investors’ valuation of an IPO, thereby decreasing IPO underpricing. Our results also suggest that the relaxation of the stipulation motivates investors to provide more information, as revealed by fewer anchoring bids and reduced herding behavior, as well as higher opinion divergence and better predictive power for investor bids on post-IPO prices.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"72 ","pages":"Article 100936"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143359884","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 price evolution in financial markets under influence of published opinions 在公开意见影响下的金融市场价格演变
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-01-01 Epub Date: 2024-10-16 DOI: 10.1016/j.finmar.2024.100947
Xiaodi Zhang
{"title":"The price evolution in financial markets under influence of published opinions","authors":"Xiaodi Zhang","doi":"10.1016/j.finmar.2024.100947","DOIUrl":"10.1016/j.finmar.2024.100947","url":null,"abstract":"<div><div>Opinions by media experts and pundits in both traditional media outlets and online venues influence investors. While a published opinion could be more accurate than that of a typical investor, its influence displaces many independent views and has the potential to introduce a shared error. My probabilistic trading model characterizes such influence and demonstrates how the “wisdom of the crowds” effect leads convergence of prices to the fundamental value. I use two corporate events to test the model, and find evidence consistent with the theoretical predictions.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"72 ","pages":"Article 100947"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143336288","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 short-sale constraints inhibit information acquisition? Evidence from regulation SHO 卖空限制是否抑制了信息获取？来自法规SHO的证据
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-01-01 Epub Date: 2024-09-14 DOI: 10.1016/j.finmar.2024.100945
Lixin (Nancy) Su , Sonia Man-Lai Wong , Yuan Xue , Xiaofeng Zhao
{"title":"Do short-sale constraints inhibit information acquisition? Evidence from regulation SHO","authors":"Lixin (Nancy) Su ,&nbsp;Sonia Man-Lai Wong ,&nbsp;Yuan Xue ,&nbsp;Xiaofeng Zhao","doi":"10.1016/j.finmar.2024.100945","DOIUrl":"10.1016/j.finmar.2024.100945","url":null,"abstract":"<div><div>We investigate how short-sale constraints influence investor information acquisition. Leveraging the U.S. Securities and Exchange Commission's (SEC's) Regulation SHO pilot program, we find that relaxed short-sale constraints lead to increased public information acquisition by investors. Investors acquire and process valuable information and utilize it to improve their short-selling decisions after the relaxation of short-sale constraints. We obtain similar findings using a quasi-natural experiment in China that lifted short-sale bans, supporting the external validity of our results. Collectively, our evidence demonstrates that reduced trading frictions promote information acquisition and contribute to price discovery.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"72 ","pages":"Article 100945"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143331801","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
An ETF-based measure of stock price fragility 基于交易所交易基金的股价脆弱性衡量指标
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-01-01 Epub Date: 2024-11-04 DOI: 10.1016/j.finmar.2024.100946
Hamilton Galindo Gil , Renato Lazo-Paz
{"title":"An ETF-based measure of stock price fragility","authors":"Hamilton Galindo Gil ,&nbsp;Renato Lazo-Paz","doi":"10.1016/j.finmar.2024.100946","DOIUrl":"10.1016/j.finmar.2024.100946","url":null,"abstract":"<div><div>Equity mutual fund flows are commonly employed to measure stock price fragility - a stock’s exposure to non-fundamental demand risk. However, this approach may be biased by confounding fundamental information, potentially underestimating risk exposure. We propose an alternative method that uses the primary market data of exchange-traded funds (ETFs). This approach overcomes many limitations of mutual fund data, incorporates the influence of a broader set of investor demand, and strongly predicts stock return volatility and return comovement. Our study highlights the significant role that the arbitrage trading activity of ETFs play in signaling non-fundamental demand shocks.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"72 ","pages":"Article 100946"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143336289","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
Can stock trading suspension calm down investors during market crises? 股票停牌能否在市场危机中安抚投资者？
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 Epub Date: 2024-08-10 DOI: 10.1016/j.finmar.2024.100934
Weihua Chen , Jennifer Huang , Donghui Shi , Zhongzhi Song
{"title":"Can stock trading suspension calm down investors during market crises?","authors":"Weihua Chen ,&nbsp;Jennifer Huang ,&nbsp;Donghui Shi ,&nbsp;Zhongzhi Song","doi":"10.1016/j.finmar.2024.100934","DOIUrl":"10.1016/j.finmar.2024.100934","url":null,"abstract":"<div><div>We examine the trading behavior of investors facing a large number of firm-initiated stock trading suspension events during the Chinese stock market crisis in July 2015. Using account-level trading data from the Shanghai Stock Exchange, we find that investors with a higher fraction of holding value in suspension sell less (or purchase more) of non-suspended stocks. Consequently, non-suspended stocks whose shareholders have a high average account-level suspension fraction experience a short-term relative price appreciation. This evidence indicates that trading suspension can calm down investors and therefore help to stabilize the volatile market during crises.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100934"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142705217","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
Asymmetry and the Cross-section of Option Returns 不对称与期权收益截面*
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 Epub Date: 2024-07-25 DOI: 10.1016/j.finmar.2024.100932
Jianqiu Wang , Ke Wu , Sijie Yang , Dexin Zhou
{"title":"Asymmetry and the Cross-section of Option Returns","authors":"Jianqiu Wang ,&nbsp;Ke Wu ,&nbsp;Sijie Yang ,&nbsp;Dexin Zhou","doi":"10.1016/j.finmar.2024.100932","DOIUrl":"10.1016/j.finmar.2024.100932","url":null,"abstract":"<div><div>We propose a novel measure of upside asymmetry based on probability density function that utilizes information from the distribution of option returns. Our analysis of U.S. option data reveals a positive cross-sectional relationship between the upside asymmetry (RML) and subsequent option returns. This relationship cannot be explained by stock or option characteristics studied in previous literature and do not reverse in the following months. Additionally, the relationship is stronger among firms with higher costs of arbitrage. RML robustly predicts future realized and implied volatilities after controlling for historical volatility and lagged implied volatility.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100932"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141850545","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
December doldrums, investor distraction, and the stock market reaction to unscheduled news events 十二月低迷、投资者分心以及股市对计划外新闻事件的反应
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 Epub Date: 2024-06-18 DOI: 10.1016/j.finmar.2024.100928
Sudheer Chava , Nikhil Paradkar
{"title":"December doldrums, investor distraction, and the stock market reaction to unscheduled news events","authors":"Sudheer Chava ,&nbsp;Nikhil Paradkar","doi":"10.1016/j.finmar.2024.100928","DOIUrl":"10.1016/j.finmar.2024.100928","url":null,"abstract":"<div><div>We examine how investor distraction during the December holiday season impacts the stock market’s reaction to salient firm-specific news. We find that both retail and institutional investor attention is significantly lower in December. Importantly, only unscheduled credit rating downgrades and 8-K filings experience lower investor attention in December; we find no equivalent effect for pre-scheduled earnings announcements. Consistently, we document significantly weaker market responses in December toward unscheduled firm news only. Firm prominence mitigates this December distraction effect. Our results highlight how investor distraction in December can lead to a muted market reaction to unscheduled, but salient, firm-specific news.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100928"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141501048","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
Arbitrage opportunities and efficiency tests in crypto derivatives 加密货币衍生品中的套利机会和效率测试
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 Epub Date: 2024-08-03 DOI: 10.1016/j.finmar.2024.100930
Carol Alexander , Xi Chen , Jun Deng , Tianyi Wang
{"title":"Arbitrage opportunities and efficiency tests in crypto derivatives","authors":"Carol Alexander ,&nbsp;Xi Chen ,&nbsp;Jun Deng ,&nbsp;Tianyi Wang","doi":"10.1016/j.finmar.2024.100930","DOIUrl":"10.1016/j.finmar.2024.100930","url":null,"abstract":"<div><div>We test the joint efficiency of the bitcoin and ether options and perpetual futures markets and identify the determinants of arbitrage opportunities. Our novel fiat-currency-free put–call parity relationship motivates new arbitrage tests for options-only and option–perpetual cross-markets. Bitcoin and ether derivatives markets are becoming more efficient, especially for options of maturity <span><math><mo>≥</mo></math></span> 15 days. Bitcoin derivative markets are generally more efficient than ether derivative markets, but arbitrage strategies can still be highly profitable even under conservative transaction cost scenarios, which include slippage for large orders, especially during periods of high trading volumes or when the blockchain traffic becomes more congested.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100930"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142177298","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
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