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Financial congestion 财务拥挤
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 Epub Date: 2024-08-02 DOI: 10.1016/j.finmar.2024.100933
Deniz Okat
{"title":"Financial congestion","authors":"Deniz Okat","doi":"10.1016/j.finmar.2024.100933","DOIUrl":"10.1016/j.finmar.2024.100933","url":null,"abstract":"<div><div>Individuals have an increased incentive to invest when they know that they can sell their investments whenever they need funds. However, this increase in investments can also lead to a reduction in aggregate returns, as it exacerbates the negative externalities that individuals impose on each other whenever they invest. As a result, setting up a financial market that allows individuals to trade their assets may reduce welfare as it can amplify these negative externalities and lead to suboptimal investment decisions.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100933"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141930797","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
Short selling and the pricing of PIN information risk 卖空与 PIN 信息风险定价
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 Epub Date: 2024-07-29 DOI: 10.1016/j.finmar.2024.100931
Chen Chen , Qiqi Liang , Chris Stivers , Licheng Sun
{"title":"Short selling and the pricing of PIN information risk","authors":"Chen Chen ,&nbsp;Qiqi Liang ,&nbsp;Chris Stivers ,&nbsp;Licheng Sun","doi":"10.1016/j.finmar.2024.100931","DOIUrl":"10.1016/j.finmar.2024.100931","url":null,"abstract":"<div><div>We present evidence that the pricing of the probability of informed trading (PIN) information risk varies substantially with stocks’ short selling environment. For lightly shorted stocks, their risk-adjusted returns (alphas) increase reliably with both the good news (PIN_G) and bad news (PIN_B) components of their PIN. The positive PIN-alpha relations decline and then disappear as stocks’ shorting activity increases. Our findings are consistently evident with shorting-interest, shorting-flow, and the probability of informed shorting, and are more prominent for smaller-cap stocks. Our findings support theories where asymmetric information with imperfectly competitive markets can impact stocks’ cost of equity.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100931"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141930798","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
Robinhood, Reddit, and the news: The impact of traditional and social media on retail investor trading Robinhood、Reddit 和新闻：传统媒体和社交媒体对散户投资者交易的影响
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 Epub Date: 2024-07-09 DOI: 10.1016/j.finmar.2024.100929
Markus Münster , Felix Reichenbach , Martin Walther
{"title":"Robinhood, Reddit, and the news: The impact of traditional and social media on retail investor trading","authors":"Markus Münster ,&nbsp;Felix Reichenbach ,&nbsp;Martin Walther","doi":"10.1016/j.finmar.2024.100929","DOIUrl":"10.1016/j.finmar.2024.100929","url":null,"abstract":"<div><div>We study the impact of social media posts and news articles on retail trading on Robinhood by analyzing the net buying activity before and after a (social) media publication. Our findings indicate that both publication types lead to an increase of holders. However, both effects are short-lived, and the effect of social media posts on retail trading is significantly higher. Furthermore, investors buy stocks that are recommended on Reddit regardless of text sentiment. However, they act as contrarians by selling stocks with positive news coverage and vice versa. We thus find evidence for both attention- and information-driven trading behavior.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100929"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141706653","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
Institutional investor cliques and stock price efficiency: Evidence from China 机构投资者小团体与股票价格效率：来自中国的证据
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 Epub Date: 2024-08-30 DOI: 10.1016/j.finmar.2024.100935
Xiaodong Guo , Caiji Pang , Zheng Qiao , Xiangkun Yao
{"title":"Institutional investor cliques and stock price efficiency: Evidence from China","authors":"Xiaodong Guo ,&nbsp;Caiji Pang ,&nbsp;Zheng Qiao ,&nbsp;Xiangkun Yao","doi":"10.1016/j.finmar.2024.100935","DOIUrl":"10.1016/j.finmar.2024.100935","url":null,"abstract":"<div><div>We investigate the impact of coordinating groups of institutional investors (cliques) on stock price efficiency in China. Employing the Louvain algorithm, we identify institutional investor cliques based on their holding networks and observe strongly correlated trading behaviors among clique members. Our baseline findings document that institutional investor clique ownership impedes stock price efficiency. We also provide a potential mechanism suggesting that this impediment effect arises from reduced information acquisition by clique members. Our additional analyses suggest that the inefficient stock prices induced by institutional cliques may exacerbate stock bubbles and increase the stock price crash risk.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100935"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142705262","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
Synchronous social media and the stock market 同步社交媒体与股票市场
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 Epub Date: 2024-05-25 DOI: 10.1016/j.finmar.2024.100915
{"title":"Synchronous social media and the stock market","authors":"","doi":"10.1016/j.finmar.2024.100915","DOIUrl":"10.1016/j.finmar.2024.100915","url":null,"abstract":"<div><p>I examine stock discussions from real-time (synchronous) group chats on Discord and compare them with forum-style (asynchronous) postings on Reddit’s WallStreetBets. Findings suggest that popular stocks on Discord include fewer ”meme” stocks and are more diverse and profitable. A Discord-based long-short strategy outperforms several comparable strategies. Discord-based popularity predicts future trading volume, volatility, and returns, and this effect is stronger for smaller stocks. By contrast, popularity on WallStreetBets or on both platforms correlates with lower returns. Results suggest that academicians and practitioners should consider social interaction settings when evaluating the impact of social media on investment decisions.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100915"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141198458","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
Margin trading, short selling, and information asymmetry 保证金交易、卖空和信息不对称
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 Epub Date: 2024-06-20 DOI: 10.1016/j.finmar.2024.100926
Minggang Xu , Xueyong Zhang , Yeqing Zhang
{"title":"Margin trading, short selling, and information asymmetry","authors":"Minggang Xu ,&nbsp;Xueyong Zhang ,&nbsp;Yeqing Zhang","doi":"10.1016/j.finmar.2024.100926","DOIUrl":"10.1016/j.finmar.2024.100926","url":null,"abstract":"<div><p>We investigate the impact of margin trading and short selling (MTSS) on information asymmetry<span><span> using data from a unique Chinese pilot<span> program that permits MTSS for a specific list of stocks. We establish a theoretical framework indicating that MTSS enhances the pricing system’s informativeness, leading to reduced </span></span>information asymmetry. Motivated by this theoretical framework, we design a quasi-experiment to analyze data from 2013 to 2016. We find that indeed MTSS weakens information asymmetry. Furthermore, the reduction of information asymmetry can be attributed to both margin trading and short selling.</span></p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100926"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142117726","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
Firm visibility, liquidity, and valuation for thinly traded assets 交易稀少资产的公司知名度、流动性和估值
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 Epub Date: 2024-05-22 DOI: 10.1016/j.finmar.2024.100914
{"title":"Firm visibility, liquidity, and valuation for thinly traded assets","authors":"","doi":"10.1016/j.finmar.2024.100914","DOIUrl":"10.1016/j.finmar.2024.100914","url":null,"abstract":"<div><p><span>We employ a regression discontinuity design to study how a market division experiment affects stock liquidity and </span>firm valuation in an illiquid market. We document that an increase in firm visibility can substantially improve a firm's liquidity (measured by trading immediacy) and increase valuation by 28.4% for thinly traded assets. We also find some evidence that an improved information environment may contribute to enhanced liquidity and valuation.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100914"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141134854","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
Search friction, liquidity risk, and bond misallocation 搜索摩擦、流动性风险和债券错配
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 Epub Date: 2024-04-30 DOI: 10.1016/j.finmar.2024.100912
{"title":"Search friction, liquidity risk, and bond misallocation","authors":"","doi":"10.1016/j.finmar.2024.100912","DOIUrl":"10.1016/j.finmar.2024.100912","url":null,"abstract":"<div><p>Search friction is a key driver of changes in corporate bond yield spreads over time. In the cross-section, the liquidity risk stemming from search friction is significantly priced, and is strongly correlated with the misallocation of bond positions among different traders. I propose a novel measure of bond-specific misallocation, which is the negative covariance between traders’ private valuations and their inventory positions for each bond. I find that bonds with higher levels of misallocation are associated with lower absolute levels of liquidity risk from search friction. I develop a search-and-matching model to explain this correlation.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100912"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140939009","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
Doctors managing mutual funds: Returns to specialization in asset management 管理共同基金的医生：资产管理专业化的回报
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 Epub Date: 2024-05-24 DOI: 10.1016/j.finmar.2024.100916
{"title":"Doctors managing mutual funds: Returns to specialization in asset management","authors":"","doi":"10.1016/j.finmar.2024.100916","DOIUrl":"10.1016/j.finmar.2024.100916","url":null,"abstract":"<div><p>We investigate the returns to specialized knowledge in asset management by comparing the performance of medical specialists versus generalists in managing healthcare sector mutual funds. Specialist alpha is 5% higher on an annualized basis. This result is robust to controlling for other observable characteristics and using different performance measures, subperiods, and variable definitions. The positive effect of a medical education on fund performance and specialists’ ability to time industry-specific events suggest that knowledge-based skills, rather than social connections, are key to specialist outperformance. Our paper provides new evidence on fund manager characteristics that provide a competitive advantage in generating alpha.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100916"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141144741","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
Oil information uncertainty and aggregate market returns: A natural experiment based on satellite data 石油信息的不确定性与总体市场回报：基于卫星数据的自然实验
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 Epub Date: 2024-04-23 DOI: 10.1016/j.finmar.2024.100913
{"title":"Oil information uncertainty and aggregate market returns: A natural experiment based on satellite data","authors":"","doi":"10.1016/j.finmar.2024.100913","DOIUrl":"10.1016/j.finmar.2024.100913","url":null,"abstract":"<div><p>Satellites can “see” oil inventory in oil tanks, but they are sensitive to cloud cover. Cloud cover introduces a new uncertainty related to information quality. We measure such information uncertainty by assessing cloud cover over floating roof oil tanks. Using a cloud cover index, we demonstrate that higher information uncertainty leads to lower future returns (mean effect) and a stronger momentum anomaly (interaction effect). These two effects can be explained by investor overconfidence and arbitrage costs, respectively. An investor with a mean–variance preference obtains sizable gains in terms of certainty equivalent return, which accounts for the mean effect.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100913"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140785060","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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