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Job postings and aggregate stock returns 招聘信息和股票总收益
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-06-01 DOI: 10.1016/j.finmar.2023.100804
Pratik Kothari , Michael S. O’Doherty
{"title":"Job postings and aggregate stock returns","authors":"Pratik Kothari ,&nbsp;Michael S. O’Doherty","doi":"10.1016/j.finmar.2023.100804","DOIUrl":"https://doi.org/10.1016/j.finmar.2023.100804","url":null,"abstract":"<div><p>The job openings-to-employment ratio (<span><math><mi>JOE</mi></math></span>), defined as the number of job postings divided by the employment level, is among the strongest known predictors of the equity premium. We find that <span><math><mi>JOE</mi></math></span> outperforms a broad set of over two dozen popular predictor variables in both in-sample and out-of-sample forecasting tests. Forecasts based on <span><math><mi>JOE</mi></math></span> also produce gains of 2.91% in annualized certainty equivalent return and 0.20 in annualized Sharpe ratio relative to forecasts based on the historical mean equity premium. The empirical results are consistent with a standard production-based asset pricing model with labor inputs and search frictions.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"64 ","pages":"Article 100804"},"PeriodicalIF":2.8,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49758393","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
Transaction costs, frequent trading, and stock prices 交易成本、频繁交易和股票价格
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-06-01 DOI: 10.1016/j.finmar.2022.100775
Sergey Isaenko
{"title":"Transaction costs, frequent trading, and stock prices","authors":"Sergey Isaenko","doi":"10.1016/j.finmar.2022.100775","DOIUrl":"https://doi.org/10.1016/j.finmar.2022.100775","url":null,"abstract":"<div><p>I consider the effects of quadratic transaction costs on stock prices. It is optimal for investors to trade frequently with relatively small amounts in the presence of such costs. Contrary to previous papers that report that the strongest effects that transaction costs can have on the risk premium are of the order of a few percent, I find that the effects could be of the order of tens of percent conditioned that investors are sufficiently heterogeneous. Frequent trading in the presence of transaction costs substantially changes heterogeneity in demands across investors, resulting in a significant liquidity premium.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"64 ","pages":"Article 100775"},"PeriodicalIF":2.8,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49746511","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
Risk disclosure in IPO advertisement and the quality of the firm IPO广告风险披露与公司质量
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-06-01 DOI: 10.1016/j.finmar.2022.100789
Supriya Katti , Edward R. Lawrence , Mehul Raithatha
{"title":"Risk disclosure in IPO advertisement and the quality of the firm","authors":"Supriya Katti ,&nbsp;Edward R. Lawrence ,&nbsp;Mehul Raithatha","doi":"10.1016/j.finmar.2022.100789","DOIUrl":"10.1016/j.finmar.2022.100789","url":null,"abstract":"<div><p>We compare the IPO issuing firms in India that disclose risk in their advertisements with the firms that do not disclose such risks and find 31% higher underpricing in firms that disclose risk. For the risk disclosing firms, we find a significantly higher subscription from institutional investors. The difference in the subscription from retail investors for the two groups of firms is insignificant. The firms that disclose risk in their ads have superior performance in the post IPO period as compared to the firms that do not disclose such risk.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"64 ","pages":"Article 100789"},"PeriodicalIF":2.8,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45600025","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
Machine invasion: Automation in information acquisition and the cross-section of stock returns 机器入侵:信息获取的自动化和股票收益的横截面
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-06-01 DOI: 10.1016/j.finmar.2022.100788
Raunaq S. Pungaliya , Yanbo Wang
{"title":"Machine invasion: Automation in information acquisition and the cross-section of stock returns","authors":"Raunaq S. Pungaliya ,&nbsp;Yanbo Wang","doi":"10.1016/j.finmar.2022.100788","DOIUrl":"https://doi.org/10.1016/j.finmar.2022.100788","url":null,"abstract":"<div><p>We estimate the number of machines “covering” a firm by separating machine Internet protocols (IPs) from human IPs based on the intensity of information retrieval using the EDGAR web log dataset. We investigate the relationship of machine coverage and the cross-section of stock returns and find that stocks in the lowest quintile of machine coverage outperform those in the highest quintile by 6% annually after adjusting for risk. Our results indicate that automation in information processing has a significant impact on the cross-section of stock returns.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"64 ","pages":"Article 100788"},"PeriodicalIF":2.8,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49758466","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 role of idiosyncratic jumps in stock markets 特殊跳跃在股票市场中的作用
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-06-01 DOI: 10.1016/j.finmar.2023.100820
Suzanne S. Lee
{"title":"The role of idiosyncratic jumps in stock markets","authors":"Suzanne S. Lee","doi":"10.1016/j.finmar.2023.100820","DOIUrl":"https://doi.org/10.1016/j.finmar.2023.100820","url":null,"abstract":"<div><p>I study how realized idiosyncratic jumps play a role in pricing individual stocks. I find that stocks with high variances associated with positive idiosyncratic jumps tend to have low subsequent returns. To explain the negative premium, I show that positive idiosyncratic jump variances are important predictors for future skewness. Thus, my finding is consistent with investors’ preference for unusually large gains over short horizons. I demonstrate the economic significance of my results by highlighting the superior performance of a strategy based on variances associated with positive idiosyncratic jumps compared to strategies based on other variance measures.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"64 ","pages":"Article 100820"},"PeriodicalIF":2.8,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49747179","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
A Bayesian analysis of time-varying jump risk in S&P 500 returns and options 标准普尔500指数收益和期权时变跳跃风险的贝叶斯分析
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-06-01 DOI: 10.1016/j.finmar.2022.100786
Andrew Carverhill , Dan Luo
{"title":"A Bayesian analysis of time-varying jump risk in S&P 500 returns and options","authors":"Andrew Carverhill ,&nbsp;Dan Luo","doi":"10.1016/j.finmar.2022.100786","DOIUrl":"10.1016/j.finmar.2022.100786","url":null,"abstract":"<div><p>We examine time-varying jump risk for modeling stock price dynamics and cross-sectional option prices. We explore jump-diffusion specifications with two independently evolving processes for stochastic volatility and jump intensity, respectively. We explicitly impose time-series consistency in model estimation using a Markov Chain Monte Carlo (MCMC) method. We find that both the jump size and standard deviation of jump size premia are more prominent under time-varying jump risk. Simultaneous jumps in returns and volatility help reconcile the time series of returns, volatility, and jump intensities. Finally, independent time-varying jump intensities improve the cross-sectional fit of option prices, especially at longer maturities.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"64 ","pages":"Article 100786"},"PeriodicalIF":2.8,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42004926","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: 2
COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading COVID-19大流行与股票市场:流动性、价格效率和交易
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-06-01 DOI: 10.1016/j.finmar.2023.100803
Kee H. Chung , Chairat Chuwonganant
{"title":"COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading","authors":"Kee H. Chung ,&nbsp;Chairat Chuwonganant","doi":"10.1016/j.finmar.2023.100803","DOIUrl":"10.1016/j.finmar.2023.100803","url":null,"abstract":"<div><p>This paper shows that the COVID-19 pandemic is associated with a decrease in liquidity and increases in price efficiency and informed trading before the NYSE closed its trading floor. The closure of the trading floor led to reductions in liquidity, price efficiency, and informed trading on the NYSE, and its subsequent reopening led to increases in these variables. The effects of the pandemic and the trading floor on price efficiency can be explained, at least in part, by their impacts on liquidity and informed trading. The effects on liquidity and price efficiency are fully reversed after the NYSE reopened its trading floor.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"64 ","pages":"Article 100803"},"PeriodicalIF":2.8,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48334294","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: 3
Equity premium prediction: The role of information from the options market 股票溢价预测：期权市场信息的作用
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-06-01 DOI: 10.1016/j.finmar.2022.100801
Antonios K. Alexandridis , Iraklis Apergis , Ekaterini Panopoulou , Nikolaos Voukelatos
{"title":"Equity premium prediction: The role of information from the options market","authors":"Antonios K. Alexandridis ,&nbsp;Iraklis Apergis ,&nbsp;Ekaterini Panopoulou ,&nbsp;Nikolaos Voukelatos","doi":"10.1016/j.finmar.2022.100801","DOIUrl":"https://doi.org/10.1016/j.finmar.2022.100801","url":null,"abstract":"<div><p>We examine the role of information from the options market in forecasting the equity premium. We provide evidence that the equity premium is predictable out-of-sample using a set of CBOE strategy benchmark indices as predictors. We use a range of econometric approaches to generate point, quantile, and density forecasts of the equity premium. We find that models based on option variables consistently outperform the historical average benchmark. In addition to statistical gains, using option predictors results in substantial economic benefits for a mean–variance investor, delivering up to a fivefold increase in certainty equivalent returns over the benchmark during the 1996–2021 sample period.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"64 ","pages":"Article 100801"},"PeriodicalIF":2.8,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49747014","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
Spoilt for choice: Determinants of market shares in fragmented equity markets 选择太多:分散的股票市场中市场份额的决定因素
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-06-01 DOI: 10.1016/j.finmar.2023.100816
Peter Gomber , Satchit Sagade , Erik Theissen , Moritz Christian Weber , Christian Westheide
{"title":"Spoilt for choice: Determinants of market shares in fragmented equity markets","authors":"Peter Gomber ,&nbsp;Satchit Sagade ,&nbsp;Erik Theissen ,&nbsp;Moritz Christian Weber ,&nbsp;Christian Westheide","doi":"10.1016/j.finmar.2023.100816","DOIUrl":"10.1016/j.finmar.2023.100816","url":null,"abstract":"<div><p>We analyze the determinants of the trading volumes of different trading mechanisms in equity markets using an extensive panel data set from European markets comprising public limit order books, call auctions, dark pools, internalization platforms, and the over-the-counter market. Market shares, resulting from investors’ order routing decisions, are driven by the degree of immediacy and anonymity offered by the venues, their ability to offer off-tick executions, as well as the informational environment and conditions in the market. Findings for small and large trades are distinctly different, likely because traders jointly choose trade size and venue type.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"64 ","pages":"Article 100816"},"PeriodicalIF":2.8,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48113204","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
Liquid speed: A micro-burst fee for low-latency exchanges 液体速度:用于低延迟交换的微突发费用
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-06-01 DOI: 10.1016/j.finmar.2022.100785
Michael Brolley , Marius Zoican
{"title":"Liquid speed: A micro-burst fee for low-latency exchanges","authors":"Michael Brolley ,&nbsp;Marius Zoican","doi":"10.1016/j.finmar.2022.100785","DOIUrl":"https://doi.org/10.1016/j.finmar.2022.100785","url":null,"abstract":"<div><p>A micro-burst fee on liquidity-taking orders that surges during high-frequency races reduces costs associated with latency arbitrage. Moreover, micro-burst fees provide higher revenue for exchanges versus co-location subscriptions. Unlike co-location fees, micro-burst fees scale with trading activity and allow exchanges to extract higher revenues from HFTs. To ensure long-run adoption incentives for exchanges, a regulator should impose a cap on micro-burst fees; for example, a calibration suggests that liquidity improves with a micro-burst fee as low as 7.8 bps, while a Reg NMS cap on fees of 30 bps per share would improve liquidity by 75%.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"64 ","pages":"Article 100785"},"PeriodicalIF":2.8,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49746510","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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