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Institutional herding and investor sentiment 机构羊群效应和投资者情绪
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 Epub Date: 2024-01-30 DOI: 10.1016/j.finmar.2024.100891
Xu Guo , Chen Gu , Chengping Zhang , Shenru Li
{"title":"Institutional herding and investor sentiment","authors":"Xu Guo ,&nbsp;Chen Gu ,&nbsp;Chengping Zhang ,&nbsp;Shenru Li","doi":"10.1016/j.finmar.2024.100891","DOIUrl":"10.1016/j.finmar.2024.100891","url":null,"abstract":"<div><p>We investigate the role of investor sentiment in institutional herding behavior and its impact on stock prices. We find that institutional investors exhibit more herding behavior during periods of high sentiment, which has a significant impact on stock prices. Our results show that herding has a stabilizing effect on the stock market when investor sentiment is low, while it causes price distortions when sentiment is high. We also show that the impact of sentiment on price is particularly pronounced for small, non-profitable, low tangibility, high-growth firms.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100891"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139644814","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
Corporate bond price reversals 公司债券价格反转
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 Epub Date: 2023-12-23 DOI: 10.1016/j.finmar.2023.100880
Alexey Ivashchenko
{"title":"Corporate bond price reversals","authors":"Alexey Ivashchenko","doi":"10.1016/j.finmar.2023.100880","DOIUrl":"10.1016/j.finmar.2023.100880","url":null,"abstract":"<div><p>I demonstrate empirically that corporate bond dealers mitigate adverse selection risk by passing potentially informed transactions to institutional investors. I contrast price reversals following days with abnormal trading volume across bonds with different information asymmetry. In informed trading, the part of reversal specific to high-volume days should increase with information asymmetry. In uninformed trading, there is no such effect. Following high-volume days when investors provide liquidity, the reversals are consistent with the former case. When dealers provide liquidity, I observe the latter. The results suggest that the informational content of bond prices is higher when dealers do not take inventory.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100880"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418123000782/pdfft?md5=3e6769c773d7495aa5d9cf05ba2d0583&pid=1-s2.0-S1386418123000782-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139022340","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
Price formation in field prediction markets: The wisdom in the crowd 现场预测市场的价格形成：群众的智慧
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 Epub Date: 2024-01-05 DOI: 10.1016/j.finmar.2023.100881
Frederik Bossaerts , Nitin Yadav , Peter Bossaerts , Chad Nash , Torquil Todd , Torsten Rudolf , Rowena Hutchins , Anne-Louise Ponsonby , Karl Mattingly
{"title":"Price formation in field prediction markets: The wisdom in the crowd","authors":"Frederik Bossaerts ,&nbsp;Nitin Yadav ,&nbsp;Peter Bossaerts ,&nbsp;Chad Nash ,&nbsp;Torquil Todd ,&nbsp;Torsten Rudolf ,&nbsp;Rowena Hutchins ,&nbsp;Anne-Louise Ponsonby ,&nbsp;Karl Mattingly","doi":"10.1016/j.finmar.2023.100881","DOIUrl":"10.1016/j.finmar.2023.100881","url":null,"abstract":"<div><p>Prediction markets are a successful information aggregation structure, however the exact mechanism by which private information is incorporated into the price remains poorly understood. We introduce a novel method based on the “Kyle model” to identify traders who contribute valuable information to the market price. Applied to a large field prediction market dataset, we identify traders whose trades have positive informational price impact. In contrast to others, these traders realize profit (on average) in excess of a theoretical expected informed lower bound. Results are replicated on other field prediction market datasets, providing strong evidence in favor of the Kyle model.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100881"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418123000794/pdfft?md5=5915090d40ac9ded74a0ba5ecbc8ce27&pid=1-s2.0-S1386418123000794-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139374318","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
Intraday variation in cross-sectional stock comovement and impact of index-based strategies 横截面股票动向的日内变化及指数型策略的影响
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 Epub Date: 2024-02-20 DOI: 10.1016/j.finmar.2024.100894
Yiwen Shen , Meiqi Shi
{"title":"Intraday variation in cross-sectional stock comovement and impact of index-based strategies","authors":"Yiwen Shen ,&nbsp;Meiqi Shi","doi":"10.1016/j.finmar.2024.100894","DOIUrl":"10.1016/j.finmar.2024.100894","url":null,"abstract":"<div><p>We investigate how comovement of S&amp;P 500 stocks changes during a day using a large high-frequency dataset and estimators that are robust under microstructure noise and asynchronicity. We find that, in 2011 to 2021, the stock correlation increases substantially throughout the trading session, while the cross-sectional beta dispersion decreases concurrently. Thus, S&amp;P 500 stocks exhibit stronger comovement near the market close. The time-varying comovement can be explained by the intraday variation in the composition of index-based and firm-based order flows. A cross-section market impact model with time-varying demand from single-stock and index investors generates the intraday patterns we observe.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100894"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139927324","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 impact of margin requirements on voluntary clearing decisions 保证金要求对自愿清算决定的影响
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 Epub Date: 2024-02-07 DOI: 10.1016/j.finmar.2024.100892
Esen Onur, David Reiffen, Rajiv Sharma
{"title":"The impact of margin requirements on voluntary clearing decisions","authors":"Esen Onur,&nbsp;David Reiffen,&nbsp;Rajiv Sharma","doi":"10.1016/j.finmar.2024.100892","DOIUrl":"10.1016/j.finmar.2024.100892","url":null,"abstract":"<div><p>This paper examines the incentives to voluntarily centrally-clear swaps. It exploits changes resulting from a regulation mandating collateral on uncleared swaps to analyze determinants of traders’ clearing decisions. The rule promoted voluntary clearing by decreasing the relative cost of clearing swaps. Using unique regulatory data, the paper finds that clearing more than quadrupled for exchange rate derivatives that were implicated by this regulation, while clearing for similar but exempt derivatives increased by about one-third. These changes were driven by traders who were already clearinghouse members, suggesting that clearing members have substantially lower marginal clearing costs.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100892"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139927226","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
Extreme illiquidity and cross-sectional corporate bond returns 极端非流动性与横截面公司债券回报率
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 Epub Date: 2024-02-16 DOI: 10.1016/j.finmar.2024.100895
Xi Chen , Junbo Wang , Chunchi Wu , Di Wu
{"title":"Extreme illiquidity and cross-sectional corporate bond returns","authors":"Xi Chen ,&nbsp;Junbo Wang ,&nbsp;Chunchi Wu ,&nbsp;Di Wu","doi":"10.1016/j.finmar.2024.100895","DOIUrl":"10.1016/j.finmar.2024.100895","url":null,"abstract":"<div><p>Corporate bonds carry an extreme illiquidity (EIL) premium. This premium permeates all rating categories and heightens during financial crises and periods of high uncertainty. EIL has predictive power in the cross-section for future returns up to at least one year. Active investors like mutual funds prefer low EIL bonds that can be easily liquidated during times of stress, whereas passive institutional investors overweight high EIL bonds to receive the EIL premium. While adding an EIL factor constructed from portfolios to the factor model increases the explanatory power, its effect is largely subsumed by bond-level EIL in a horse race.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100895"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139928027","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
Understanding the impacts of dark pools on price discovery 了解暗池对价格发现的影响
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 Epub Date: 2024-01-04 DOI: 10.1016/j.finmar.2023.100882
Linlin Ye
{"title":"Understanding the impacts of dark pools on price discovery","authors":"Linlin Ye","doi":"10.1016/j.finmar.2023.100882","DOIUrl":"10.1016/j.finmar.2023.100882","url":null,"abstract":"<div><p>I study how crossing networks, a type of dark pool, affect price discovery and market liquidity in the presence of noisy and heterogeneous trader signals. I identify a buffer function of crossing networks that helps mitigate traders’ losses from false signals. Additionally, I uncover an amplification effect. That is, when signal precision is high, crossing networks enhance price discovery. By contrast, when signal precision is low, crossing networks impair price discovery. These insights reconcile conflicting empirical evidence, yielding novel predictions and regulatory recommendations for equity and emerging markets.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100882"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139374315","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 lead–lag relation between VIX futures and SPX futures VIX 期货与 SPX 期货之间的领先-滞后关系
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-01-01 Epub Date: 2023-06-21 DOI: 10.1016/j.finmar.2023.100851
Christine Bangsgaard , Thomas Kokholm
{"title":"The lead–lag relation between VIX futures and SPX futures","authors":"Christine Bangsgaard ,&nbsp;Thomas Kokholm","doi":"10.1016/j.finmar.2023.100851","DOIUrl":"10.1016/j.finmar.2023.100851","url":null,"abstract":"<div><p>We analyze the lead–lag relation between VIX futures and SPX futures. The two futures markets are weakly connected when market volatility is low. By contrast, when volatility is high, their prices are highly negatively correlated, with VIX futures leading SPX futures. However, the tightness of the lead–lag relation prevents the formation of profitable trading strategies in a setup that includes transaction costs. An analysis of the time variation in the lead–lag relation finds that an improvement in the relative liquidity of one market strengthens the lead of that market. Moreover, the hedging activities of market makers influence the lead–lag relation.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"67 ","pages":"Article 100851"},"PeriodicalIF":2.8,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418123000496/pdfft?md5=27d85097640e8d3a70a5051e18b77279&pid=1-s2.0-S1386418123000496-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136173380","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
Disentangling the supply and announcement effects of open market operations 厘清公开市场操作的供应和公告效应
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-01-01 Epub Date: 2023-11-17 DOI: 10.1016/j.finmar.2023.100871
Narayan Bulusu
{"title":"Disentangling the supply and announcement effects of open market operations","authors":"Narayan Bulusu","doi":"10.1016/j.finmar.2023.100871","DOIUrl":"10.1016/j.finmar.2023.100871","url":null,"abstract":"<div><p>Central banks use open market operations<span><span> (OMOs) to adjust the liquidity available to the financial system to maintain the short-term borrowing rate within the desired target range. Using the conditional </span>event study methodology to decompose the impact of OMOs into supply and announcement effects, this paper finds that when OMO announcements are unexpected, the decrease in the lending rate as a result of the higher supply is significantly moderated by the announcement effect. The results highlight that central banks communicate not just through signals of their desired policy stance, but also through their announcements of operations that implement the stance.</span></p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"67 ","pages":"Article 100871"},"PeriodicalIF":2.8,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138524701","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
Abnormal stock returns and shorting around securities class action lawsuits: The role of pre-filing news releases 证券集体诉讼前后的异常股票回报和做空：申请前新闻发布的作用
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-01-01 Epub Date: 2023-10-28 DOI: 10.1016/j.finmar.2023.100868
Chris Stivers , Licheng Sun , Sounak Saha
{"title":"Abnormal stock returns and shorting around securities class action lawsuits: The role of pre-filing news releases","authors":"Chris Stivers ,&nbsp;Licheng Sun ,&nbsp;Sounak Saha","doi":"10.1016/j.finmar.2023.100868","DOIUrl":"10.1016/j.finmar.2023.100868","url":null,"abstract":"<div><p>Studying 1,473 U.S. securities class action (SCA) lawsuits over 2009–2019, we find that the pre-filing abnormal negative returns and shorting are largely linked to public investigation news that precedes the SCA lawsuit filing. Across all the lawsuits, 73% of the total abnormal negative returns over the ten-day pre-filing period are attributed to the 31.6% of the cases that had investigation news over that pre-filing period. Our findings indicate that investors’ ability to anticipate SCA lawsuits is not as economically significant as previous studies suggest, and that SCA shorting profitability is substantially linked to analysis of public information.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"67 ","pages":"Article 100868"},"PeriodicalIF":2.8,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136128281","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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