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The role of options markets in corporate social responsibility 期权市场在企业社会责任中的作用
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 Epub Date: 2024-04-13 DOI: 10.1016/j.finmar.2024.100910
{"title":"The role of options markets in corporate social responsibility","authors":"","doi":"10.1016/j.finmar.2024.100910","DOIUrl":"10.1016/j.finmar.2024.100910","url":null,"abstract":"<div><p>We explore the relationship between options trading and corporate social responsibility<span><span> (CSR). We find that options trading can enhance CSR by (i) fostering shareholder activism, as indicated by increased long-term and socially responsible institutional ownership and CSR proposals and (ii) intensifying product market competition, which spurs </span>green innovation and product-related CSR initiatives. The positive effects are more pronounced in well-governed firms but diminished in firms with managerial entrenchment. Moreover, CSR improvements driven by options trading positively influence firm value, with notable enhancements in environmental performance. Our results underscore that options markets play a crucial role in promoting responsible corporate practices.</span></p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100910"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140623067","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 volatility of stock investor returns 股票投资者收益的波动性
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 Epub Date: 2024-06-07 DOI: 10.1016/j.finmar.2024.100927
{"title":"The volatility of stock investor returns","authors":"","doi":"10.1016/j.finmar.2024.100927","DOIUrl":"10.1016/j.finmar.2024.100927","url":null,"abstract":"<div><p>The volatility of stock investor returns depends not only on the volatility of the stocks they hold but also on their time-varying capital exposure to these holdings. Using individual stocks, portfolios of stocks, and indexes across U.S. and international stock markets, we provide comprehensive evidence that the volatility of investor returns is consistently higher than the corresponding volatility of stock returns across nearly all specifications. The relative magnitude of the volatility differential ranges from 10% to 75%, increasing with investment horizon. This discrepancy is driven primarily by investors’ propensity to \"flee volatility,\" withdrawing equity capital following periods of high volatility.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100927"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141501049","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 effect of temporary short-selling bans: Theory and evidence 临时卖空禁令的价格效应：理论与证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-06-01 Epub Date: 2024-03-11 DOI: 10.1016/j.finmar.2024.100890
Haoshu Tian , Xuemin (Sterling) Yan , Lingling Zheng
{"title":"The price effect of temporary short-selling bans: Theory and evidence","authors":"Haoshu Tian ,&nbsp;Xuemin (Sterling) Yan ,&nbsp;Lingling Zheng","doi":"10.1016/j.finmar.2024.100890","DOIUrl":"10.1016/j.finmar.2024.100890","url":null,"abstract":"<div><p>We develop a model of temporary short-selling bans by extending the infinite-horizon model of Scheinkman and Xiong (2003). Our model predicts that a temporary short-selling ban leads to a speculative bubble that is the highest at the beginning of the ban and gradually converges to zero. Examining the 2008 short-selling ban in the U.S., we find evidence consistent with the model’s predictions. The innovation of our empirical design is to use the financial segments of non-banned stocks as a control group for the banned financial stocks. Our results are robust across different test specifications and different samples of stocks.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100890"},"PeriodicalIF":2.8,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140154082","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
Strategic trading as a response to short sellers 战略交易作为对卖空者的回应
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-06-01 Epub Date: 2024-04-22 DOI: 10.1016/j.finmar.2024.100911
Marco Di Maggio , Francesco Franzoni , Massimo Massa , Roberto Tubaldi
{"title":"Strategic trading as a response to short sellers","authors":"Marco Di Maggio ,&nbsp;Francesco Franzoni ,&nbsp;Massimo Massa ,&nbsp;Roberto Tubaldi","doi":"10.1016/j.finmar.2024.100911","DOIUrl":"10.1016/j.finmar.2024.100911","url":null,"abstract":"<div><p>We examine whether the strategic response to short selling by other informed investors decelerates the incorporation of positive information. We find a sizeable reduction of positive information impounding before earnings announcements for stocks more exposed to short selling. Consistent with strategic behavior, we find that investors with positive views slow down their trades when short sellers are also present. Furthermore, they break up their buy trades across multiple brokers, suggesting they wish to prevent a price impact. Thus, the strategic reaction to short selling appears to have implications for information impounding before public information releases.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100911"},"PeriodicalIF":2.8,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141059189","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
Fundamental characteristics, machine learning, and stock price crash risk 基本特征、机器学习和股价暴跌风险
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-06-01 Epub Date: 2024-04-05 DOI: 10.1016/j.finmar.2024.100908
Fuwei Jiang , Tian Ma , Feifei Zhu
{"title":"Fundamental characteristics, machine learning, and stock price crash risk","authors":"Fuwei Jiang ,&nbsp;Tian Ma ,&nbsp;Feifei Zhu","doi":"10.1016/j.finmar.2024.100908","DOIUrl":"10.1016/j.finmar.2024.100908","url":null,"abstract":"<div><p>We investigate the application of machine learning algorithms for predicting stock price crash risks by employing a set of firm-specific characteristics of the Chinese stock market. The results suggest that machine learning techniques are superior in capturing the nuances of stock price crash risk, particularly through profitability and value versus growth features. These techniques perform well within state-owned enterprises and during periods of low economic policy uncertainty, and predictive insights primarily originate from intra-industry dynamics. In addition, we offer corporate finance- and financial market-based interpretations of machine learning's predictability, as well as a comprehensive understanding of its key determinants.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100908"},"PeriodicalIF":2.8,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140765385","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
Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market 纽约证券交易所混合市场推出前后的算法交易和市场效率
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-06-01 Epub Date: 2024-04-09 DOI: 10.1016/j.finmar.2024.100909
Darya Yuferova
{"title":"Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market","authors":"Darya Yuferova","doi":"10.1016/j.finmar.2024.100909","DOIUrl":"10.1016/j.finmar.2024.100909","url":null,"abstract":"<div><p>I study the effect of algorithmic trading on market efficiency, taking into account past market and limit order flows alike. I find that an exogenous increase in algorithmic trading around the introduction of the NYSE Hybrid Market leads to a significant decrease in the predictive power of surprises in market order imbalance and limit order book imbalances, especially at the outer levels of the limit order book. However, the predictive power of past returns remains largely unchanged. This suggests that algorithmic trading improves market efficiency by facilitating the incorporation of information embedded in both market and limit order flows.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100909"},"PeriodicalIF":2.8,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418124000272/pdfft?md5=9a23e0c2025935fdfe0b5d03b5223c13&pid=1-s2.0-S1386418124000272-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140757229","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
Financial news media and volatility: Is there more to newspapers than news? 财经新闻媒体与波动：除了新闻，报纸还有其他内容吗？
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-06-01 Epub Date: 2024-02-15 DOI: 10.1016/j.finmar.2024.100896
Julian Ashwin
{"title":"Financial news media and volatility: Is there more to newspapers than news?","authors":"Julian Ashwin","doi":"10.1016/j.finmar.2024.100896","DOIUrl":"10.1016/j.finmar.2024.100896","url":null,"abstract":"<div><p>Does media coverage of a firm have a causal effect on the volatility of its stock price and, if so, is this of aggregate importance? I identify a robust link between coverage in the <em>Financial Times</em> and a firm’s intraday stock price volatility. This effect is not driven by persistence in volatility or anticipation of future newsworthy events, but is explained by an increase in trading volume, supporting a salience interpretation. The effect spills over into firms related by the structure of the production network, but does not affect the aggregate level of volatility.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100896"},"PeriodicalIF":2.8,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418124000144/pdfft?md5=523b2eef9a18a32236f1ecde1561a241&pid=1-s2.0-S1386418124000144-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139877016","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
Stabilizing the financial markets through communication and informed trading 通过沟通和知情交易稳定金融市场
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-06-01 Epub Date: 2024-02-26 DOI: 10.1016/j.finmar.2024.100897
Qi Guo, Shao’an Huang, Gaowang Wang
{"title":"Stabilizing the financial markets through communication and informed trading","authors":"Qi Guo,&nbsp;Shao’an Huang,&nbsp;Gaowang Wang","doi":"10.1016/j.finmar.2024.100897","DOIUrl":"10.1016/j.finmar.2024.100897","url":null,"abstract":"<div><p>We develop a model of government intervention with information disclosure in which a government with two private signals trades directly in financial markets to stabilize asset prices. Government intervention through informed trading stabilizes financial markets and affects market quality through a noise channel and an information channel. Information disclosure negatively affects financial stability by deteriorating the information advantages of the government, while its final effects on market quality hinge on the relative sizes of the noise effect and the information effect. Under different information disclosure scenarios, there are potential tradeoffs between financial stability and price efficiency.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100897"},"PeriodicalIF":2.8,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140018529","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
Leveraged trading and stock returns: Evidence from international stock markets 杠杆交易与股票回报：国际股票市场的证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-06-01 Epub Date: 2024-03-28 DOI: 10.1016/j.finmar.2024.100907
Zhuo Chen , Pengfei Li , Zhengwei Wang , Bohui Zhang
{"title":"Leveraged trading and stock returns: Evidence from international stock markets","authors":"Zhuo Chen ,&nbsp;Pengfei Li ,&nbsp;Zhengwei Wang ,&nbsp;Bohui Zhang","doi":"10.1016/j.finmar.2024.100907","DOIUrl":"10.1016/j.finmar.2024.100907","url":null,"abstract":"<div><p>Are margin traders as well-informed as short sellers when it comes to leveraged investing? Our paper, utilizing a unique dataset on stock-level short selling and margin trading from three international stock markets, reveals that while short selling has cross-sectional return predictability, margin trading does not. In comparison to short selling, margin-trading activities demonstrate a stronger correlation across stocks and weakly predict firm fundamentals. This suggests that margin traders are less likely to possess a firm-specific information advantage. Our findings at the investor account level also indicate that margin traders are less sophisticated than short sellers.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100907"},"PeriodicalIF":2.8,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140408037","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
Are fund managers rewarded for taking cyclical risks? 基金经理是否因承担周期性风险而获得回报？
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 Epub Date: 2024-02-14 DOI: 10.1016/j.finmar.2024.100893
Ellen Ryan
{"title":"Are fund managers rewarded for taking cyclical risks?","authors":"Ellen Ryan","doi":"10.1016/j.finmar.2024.100893","DOIUrl":"10.1016/j.finmar.2024.100893","url":null,"abstract":"<div><p>The investment fund sector has expanded dramatically since 2008, increasing the capacity for its risk-taking to generate negative spillovers. This paper provides empirical evidence for the existence of wide-spread risk-taking incentives in the investment fund sector, with a particular focus on incentives for synchronized, cyclical risk-taking which could have systemic risk implications. Incentives arise from the positive response of investors to returns achieved through cyclical risk-taking and non-linearities in the relationship between fund returns and fund flows. The fact that market discipline may not be sufficient to ensure prudent behavior among managers creates a clear case for macroprudential regulatory intervention.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100893"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139927228","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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