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Spillover effects between liquidity risks through endogenous debt maturity 流动性风险通过内生债务到期的溢出效应
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-06-01 DOI: 10.1016/j.finmar.2023.100814
Xu Wei , Xiao Xiao , Yi Zhou , Yimin Zhou
{"title":"Spillover effects between liquidity risks through endogenous debt maturity","authors":"Xu Wei ,&nbsp;Xiao Xiao ,&nbsp;Yi Zhou ,&nbsp;Yimin Zhou","doi":"10.1016/j.finmar.2023.100814","DOIUrl":"10.1016/j.finmar.2023.100814","url":null,"abstract":"<div><p>We construct a model of debt maturity structure and show how a firm trades off between the costs of market liquidity risk and rollover risk. We show that an exogenous shock that directly increases one type of liquidity risk would induce the firm to alter its debt maturity structure and partially offset the impact of the shock by raising its exposure to the other type of risk (i.e., spillover effects exist). We also show that the spillover from market liquidity risk (rollover risk) to rollover risk (market liquidity risk) is more (less) pronounced during recessions or in competitive markets.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"64 ","pages":"Article 100814"},"PeriodicalIF":2.8,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42403642","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
ETF ownership and firm-specific information in corporate bond returns 公司债券收益中的ETF所有权和公司特定信息
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-03-01 DOI: 10.1016/j.finmar.2022.100772
Meredith E. Rhodes , Joseph R. Mason
{"title":"ETF ownership and firm-specific information in corporate bond returns","authors":"Meredith E. Rhodes ,&nbsp;Joseph R. Mason","doi":"10.1016/j.finmar.2022.100772","DOIUrl":"10.1016/j.finmar.2022.100772","url":null,"abstract":"<div><p>We analyze the relation between ETF ownership and firm-specific information in corporate bond returns. ETF ownership appears to weaken bond price informativeness by altering the flow of firm-specific information to bonds. Bonds with low (high) ETF ownership are sensitive (insensitive) to the same information as equity. Using earnings announcements, we show that bonds with low ETF ownership react to earnings news, but bonds with high levels do not. Moreover, we find a positive association between investment-grade bond return comovement with the market and ETF ownership, implying that return variation is less attributable to firm-level information as ETF ownership increases.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"63 ","pages":"Article 100772"},"PeriodicalIF":2.8,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41530063","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
Firm fundamentals and the cross-section of implied volatility shapes 坚实的基本面和隐含波动率的横截面形状
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-03-01 DOI: 10.1016/j.finmar.2022.100771
Ding Chen , Biao Guo , Guofu Zhou
{"title":"Firm fundamentals and the cross-section of implied volatility shapes","authors":"Ding Chen ,&nbsp;Biao Guo ,&nbsp;Guofu Zhou","doi":"10.1016/j.finmar.2022.100771","DOIUrl":"https://doi.org/10.1016/j.finmar.2022.100771","url":null,"abstract":"<div><p>With machine learning tools, we document that firm fundamentals have explanatory power on the shape of the option implied volatility (IV) curve that is both economically and statistically significant. We also find that, after accounting for fundamentals, the associated IV process can generate overreaction in the long-term IV with respect to change in the short-term IV, and can allow a positive profit from at-the-money straddle writing, explaining puzzling patterns in the literature. We also provide a simple model linking the IV to firm fundamentals, which permits realistic IV curves and is consistent with the empirical findings.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"63 ","pages":"Article 100771"},"PeriodicalIF":2.8,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49767064","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
Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation 用平滑横截面尾部风险预测股票风险溢价:相关性的重要性
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-03-01 DOI: 10.1016/j.finmar.2022.100769
José Afonso Faias
{"title":"Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation","authors":"José Afonso Faias","doi":"10.1016/j.finmar.2022.100769","DOIUrl":"https://doi.org/10.1016/j.finmar.2022.100769","url":null,"abstract":"<div><p>I provide a new monthly cross-sectional measure of stock market tail risk, <em>SCSTR</em>, defined as the average of the daily cross-sectional tail risk, rather than the tail risk of the pooled daily returns within a month. Through simulations, I find that <em>SCSTR</em> better captures monthly tail risk rather than merely the tail risk on specific days within a month. In an extended period from 1964 until 2018, this difference is important in generating strong in- and out-of-sample predictability and performs better than the historical risk premium and other commonly-used predictors for short- and long-term horizons.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"63 ","pages":"Article 100769"},"PeriodicalIF":2.8,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49745011","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 Bank of Japan's equity purchases and stock illiquidity 日本央行的股票购买和股票流动性不足
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-03-01 DOI: 10.1016/j.finmar.2022.100770
Izidin El Kalak , Woon Sau Leung , Hidenori Takahashi , Kazuo Yamada
{"title":"The Bank of Japan's equity purchases and stock illiquidity","authors":"Izidin El Kalak ,&nbsp;Woon Sau Leung ,&nbsp;Hidenori Takahashi ,&nbsp;Kazuo Yamada","doi":"10.1016/j.finmar.2022.100770","DOIUrl":"10.1016/j.finmar.2022.100770","url":null,"abstract":"<div><p>Using the large-scale index-linked exchange-traded fund (ETF) purchase program of the Bank of Japan (BOJ), we examine the role of unconventional equity-based monetary policies in the market liquidity of the underlying securities. Using a large sample of Japanese stocks, we document a significant increase in stock illiquidity when a firm's ownership by the BOJ increases. Intensified ETF arbitrage activities partially mediate such effect. The increased illiquidity is concentrated among small and young firms and those whose shares are likely subject to strong buying pressure. Finally, BOJ ownership increases comovement in liquidity and reduces informational efficiency.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"63 ","pages":"Article 100770"},"PeriodicalIF":2.8,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47080202","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
Net buying pressure and the information in bitcoin option trades 比特币期权交易中的净买入压力和信息
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-03-01 DOI: 10.1016/j.finmar.2022.100764
Carol Alexander , Jun Deng , Jianfen Feng , Huning Wan
{"title":"Net buying pressure and the information in bitcoin option trades","authors":"Carol Alexander ,&nbsp;Jun Deng ,&nbsp;Jianfen Feng ,&nbsp;Huning Wan","doi":"10.1016/j.finmar.2022.100764","DOIUrl":"https://doi.org/10.1016/j.finmar.2022.100764","url":null,"abstract":"<div><p>Bitcoin prices are driven by upward as well as downward jumps and so the bitcoin implied volatility surface behaves differently from those of established options markets. We analyze tick-level Deribit option price data, demonstrating increasing support for the limits-to-arbitrage hypothesis. Hence market makers are managing order imbalance and inventory more effectively as Deribit bitcoin options trading volumes increases. On the demand side, volatility traders drive both at-the-money and out-of-the-money option prices, the latter also being driven by directional traders. Directional effects were most pronounced during the price bubble of 2021. Further refinements of our tests assess time-to-maturity and time-of-day effects.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"63 ","pages":"Article 100764"},"PeriodicalIF":2.8,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49764167","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
Informed options strategies before corporate events 企业活动前的知情期权策略
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-03-01 DOI: 10.1016/j.finmar.2022.100766
Patrick Augustin , Menachem Brenner , Gunnar Grass , Piotr Orłowski , Marti G. Subrahmanyam
{"title":"Informed options strategies before corporate events","authors":"Patrick Augustin ,&nbsp;Menachem Brenner ,&nbsp;Gunnar Grass ,&nbsp;Piotr Orłowski ,&nbsp;Marti G. Subrahmanyam","doi":"10.1016/j.finmar.2022.100766","DOIUrl":"10.1016/j.finmar.2022.100766","url":null,"abstract":"<div><p>We analyze how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about the timing and impact of these announcements on stock prices. We propose a framework that ranks options trading strategies (option type, maturity, and strike price) based on their maximum attainable leverage when price-taking investors face market frictions. We exploit the heterogeneity in announcement characteristics across twelve categories of corporate events to support that event-specific information signals are informative for announcement returns and that they impact the optimal choice of option moneyness and tenor.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"63 ","pages":"Article 100766"},"PeriodicalIF":2.8,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41618694","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: 1
Stock illiquidity and option returns 股票非流动性和期权回报
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-03-01 DOI: 10.1016/j.finmar.2022.100765
Stefan Kanne , Olaf Korn , Marliese Uhrig-Homburg
{"title":"Stock illiquidity and option returns","authors":"Stefan Kanne ,&nbsp;Olaf Korn ,&nbsp;Marliese Uhrig-Homburg","doi":"10.1016/j.finmar.2022.100765","DOIUrl":"https://doi.org/10.1016/j.finmar.2022.100765","url":null,"abstract":"<div><p>We provide evidence of a strong effect of the underlying stock's illiquidity on option returns. Conditional on end-user demand, illiquidity premiums are negative and decrease in stock illiquidity for options where end users are net buyers, while premiums are positive and tend to increase otherwise. Our results cannot be explained by common risk factors and cross-sectional differences in stock volatility or option spreads and are robust to different illiquidity measures and data periods. The observed pattern is consistent with an intermediary hedging cost channel and the magnitudes of our illiquidity premiums are in line with reasonable transaction costs.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"63 ","pages":"Article 100765"},"PeriodicalIF":2.8,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49764175","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
Market quality surrounding anticipated distraction events: Evidence from the FIFA World Cup 围绕预期干扰事件的市场质量:来自FIFA世界杯的证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-03-01 DOI: 10.1016/j.finmar.2022.100768
Philip A. Drummond
{"title":"Market quality surrounding anticipated distraction events: Evidence from the FIFA World Cup","authors":"Philip A. Drummond","doi":"10.1016/j.finmar.2022.100768","DOIUrl":"10.1016/j.finmar.2022.100768","url":null,"abstract":"<div><p>This study examines the effects of intra-day anticipated distraction events on market quality. This is achieved by exploiting the quasi-random nature by which FIFA World Cup football matches overlap with the domestic trading hours of participating countries. Utilizing stock market data from 24 countries and a sample of 95 football matches, I find that match days exhibit pre-match increases to trading volume and contemporaneous declines to trading activity. Market volatility follows a similar trend. Realized spreads are increased during matches. Match time is associated with increased price efficiency, suggesting reduced noise trading.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"63 ","pages":"Article 100768"},"PeriodicalIF":2.8,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44416673","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
Finding information in obvious places: Work connections and mutual fund investment ideas 在显而易见的地方寻找信息:工作关系和共同基金投资想法
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2023-03-01 DOI: 10.1016/j.finmar.2022.100767
Egemen Genc , Sara E. Shirley , Jeffrey R. Stark , Hai Tran
{"title":"Finding information in obvious places: Work connections and mutual fund investment ideas","authors":"Egemen Genc ,&nbsp;Sara E. Shirley ,&nbsp;Jeffrey R. Stark ,&nbsp;Hai Tran","doi":"10.1016/j.finmar.2022.100767","DOIUrl":"https://doi.org/10.1016/j.finmar.2022.100767","url":null,"abstract":"<div><p>Mutual funds with managers who share a work connection have greater overlap in portfolio holdings, equity purchases, and equity sales. This relationship develops after a work connection begins and persists after the connection ends. Several tests to mitigate endogeneity concerns provide supportive evidence of a causal interpretation that work connections lead to the sharing of investment ideas among mutual fund managers. Tests on reciprocal trading suggest that quid pro quo expectations motivate managers to share valuable investment ideas.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"63 ","pages":"Article 100767"},"PeriodicalIF":2.8,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49767061","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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