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Revisiting the ∪-shaped patterns in volatility and price impacts: Novel results using trade-time estimates 重新审视波动性和价格影响的∪形模式：利用贸易时间估算得出的新结果
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-06-01 Epub Date: 2025-03-04 DOI: 10.1016/j.finmar.2025.100971
Yashar H. Barardehi , Dan Bernhardt
When measured using trade-time aggregation, intraday patterns in trading activity remain ∪-shaped, but estimates of volatility and Kyle’s lambda fall sharply from open to close. ∪-shaped patterns in volatility and Kyle’s lambda found using commonly-used calendar-time aggregation reflect over-aggregation biases when trading activity is high as near the open and close. Indicative of imperfectly-competitive liquidity provision, trade-time aggregation also reveals that in active markets, expected trade imbalances are positively priced and unexpected trade imbalances are more strongly priced when they share the sign of expected imbalances, while in less active markets expected trade imbalances are negatively priced.
如果用交易时间总和来衡量，日内交易活动的模式仍然是与∪相关的，但对波动率和凯尔λ的估计从开盘到收盘都大幅下降。使用常用的日历时间聚合法得出的波动性和凯尔lambda的∪形模式反映了在开盘和收盘时交易活跃程度较高时的过度聚合偏差。贸易时间汇总还表明，在活跃市场中，预期的贸易不平衡是正定价的，而在不太活跃的市场中，当预期的贸易不平衡与预期的贸易不平衡有相同的迹象时，预期的贸易不平衡是负定价的。
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引用次数: 0
Speed competition and strategic trading 加速竞争和战略贸易
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-06-01 Epub Date: 2025-03-05 DOI: 10.1016/j.finmar.2025.100972
Xue-Zhong He , Junqing Kang
Speed competition incentivizes fast traders to trade earlier and temporally fragments the price discovery process. Large traders internalize their price impact and screen trading aggressiveness to resolve the pre-trading uncertainty proportional to the number of traders. Therefore, price discovery in the late period depends on the number of slow traders and the amount of fundamental uncertainty resolved by fast traders. A concentration of fast or slow traders harms price discovery in the late period, generating hump-shape overall price informativeness to speed competition. With fast information diffusion, speed competition harms the overall price informativeness, unless fast traders are high-frequency traders.
速度竞争激励快速交易者提前交易，并暂时打断价格发现过程。大型交易者将其价格影响内化，并筛选交易积极性，以解决交易前与交易者数量成比例的不确定性。因此，后期的价格发现取决于慢速交易者的数量和快速交易者解决的基本不确定性的数量。快速或慢速交易者的集中会损害后期的价格发现，产生驼峰状的整体价格信息，从而加速竞争。随着信息的快速扩散，速度竞争损害了整体的价格信息，除非快速交易者是高频交易者。
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引用次数: 0
Bank of Japan’s ETF purchase program and equity risk premium: A CAPM interpretation 日本央行ETF购买计划与股票风险溢价：CAPM的解释
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-03-01 Epub Date: 2025-01-18 DOI: 10.1016/j.finmar.2025.100961
Mitsuru Katagiri , Junnosuke Shino , Koji Takahashi
We investigate the effects of the Bank of Japan’s (BOJ’s) exchange-traded fund (ETF) purchase program on equity risk premia. Utilizing the cross-sectional variations in the amount of individual stock that the BOJ has indirectly purchased in the program, the empirical analysis reveals that: (i) the BOJ’s ETF purchases instantaneously support stock prices on purchase, and (ii) the positive effects on stock prices, combined with the countercyclical nature of the BOJ’s purchases, affect the market beta and coskewness of Japanese stocks, leading to an economically significant decline in risk premia.
本文研究了日本央行交易所交易基金（ETF）购买计划对股票风险溢价的影响。利用日本央行在该计划中间接购买的个股数量的横截面变化，实证分析表明：(i)日本央行的ETF购买在购买时即时支持股价；（ii）对股价的积极影响，加上日本央行购买的逆周期性质，影响了日本股票的市场贝塔和余偏性，导致风险溢价在经济上显著下降。
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引用次数: 0
Too many irons in the fire: The impact of limited institutional attention on market microstructure and efficiency 太多的 "烙铁"：机构关注度有限对市场微观结构和效率的影响
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-03-01 Epub Date: 2025-02-01 DOI: 10.1016/j.finmar.2025.100969
Hao Jiang , Yong Ma , Tianyang Wang
This paper presents an in-depth exploration, both empirically and theoretically, of how institutional attention impacts market microstructure. Our innovative theoretical model incorporates an information processing constraint into the dynamic strategic trading framework. The model predicts a trade-off where increased institutional attention enhances price informativeness at the expense of market liquidity, and suggests that the unmonetized portion of institutional investors’ information advantage significantly influences the effect of public information about an asset’s fundamental value on market microstructure. Additionally, our findings are substantiated through rigorous empirical analysis.
本文从实证和理论两方面深入探讨了制度关注对市场微观结构的影响。我们的创新理论模型将信息处理约束纳入动态战略交易框架。该模型预测了一种权衡，即机构关注的增加以牺牲市场流动性为代价提高了价格信息性，并表明机构投资者信息优势中未货币化的部分显著影响了有关资产基本价值的公开信息对市场微观结构的影响。此外，我们的研究结果通过严格的实证分析得到证实。
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引用次数: 0
Does the threat of short selling discipline management? Evidence from default risk changes around regulation SHO 卖空的威胁是否约束了管理？违约风险变化的证据围绕监管SHO
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-03-01 Epub Date: 2024-12-30 DOI: 10.1016/j.finmar.2024.100960
Keming Li , Takeshi Nishikawa , Ramesh P. Rao
We document a significant reduction in default risk for the pilot firms relative to non-pilot firms during the Reg SHO period. This effect is more pronounced for firms whose default risk was high prior to the program. We also find that the pilot firms adopt greater accounting conservatism during the program and experience improved bond contracting through reductions in covenant usage in newly issued bonds. Lastly, we find significant improvements in investment efficiency and cash holding value for the pilot firms. Our combined evidence supports the disciplinary role of short selling in the financial markets.
我们记录了在Reg SHO期间，试点公司相对于非试点公司的违约风险显著降低。对于那些在该计划实施前违约风险较高的公司来说，这种影响更为明显。我们还发现，试点公司在项目期间采用了更大的会计稳健性，并通过减少新发行债券的契约使用来改善债券合同。最后，我们发现试点企业的投资效率和现金持有价值都有显著提高。我们的综合证据支持卖空在金融市场中的纪律作用。
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引用次数: 0
Coarse pricing in QE auctions 量化宽松拍卖中的粗糙定价
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-03-01 Epub Date: 2025-01-06 DOI: 10.1016/j.finmar.2024.100959
Yusuke Tsujimoto
This paper documents coarse pricing by the U.S. Federal Reserve’s counterparty intermediaries in quantitative easing operations. Although the Fed explicitly sets a tick size of 1/256th in its reverse auctions to purchase Treasury securities, offer prices of primary dealers exhibit strong clustering on coarser grids. Top dealers price more finely, and coarse pricing is particularly prevalent when the security characteristics indicate greater difficulty in precise pricing. I argue that this coarse pricing results from information costs associated with increasing pricing precision. The results also point to a novel role of tick size in affecting dealer competition in central bank operations.
本文记录了美联储在量化宽松操作中的交易对手中介机构的粗略定价。尽管美联储在购买美国国债的反向拍卖中明确设定了1/256的价差，但一级交易商的报价在较粗的网格上表现出强烈的聚集性。顶级交易商定价更精细，当安全性特征表明精确定价难度较大时，粗糙定价尤其普遍。我认为，这种粗糙的定价源于与不断提高的定价精度相关的信息成本。研究结果还指出，在央行操作中，交易规模在影响交易商竞争方面发挥了新的作用。
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引用次数: 0
Bigger pie, bigger slice: liquidity, value gain, and underpricing in IPOs 更大的蛋糕，更大的份额：流动性、价值增值和ipo定价过低
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-01-01 Epub Date: 2024-11-06 DOI: 10.1016/j.finmar.2024.100949
Yang Guo , Lily Yuanzhi Li , Hongda Zhong
Since investor participation is essential for successful IPOs, we hypothesize that issuers share value gain from IPOs with IPO investors, resulting in IPO underpricing. We test the positive relation between value gain and underpricing from the liquidity angle, as improved liquidity via IPO increases firm value. We find supporting evidence that underpricing is positively related to the expected post-IPO liquidity of the issuer. Using two regulation changes as exogenous shocks to share liquidity before and after an IPO, we show that underpricing is more pronounced with better expected post-IPO liquidity or lower pre-IPO liquidity.
由于投资者的参与对IPO的成功至关重要，我们假设发行人与IPO投资者分享IPO的价值收益，从而导致IPO定价过低。我们从流动性的角度检验了价值增值与定价过低之间的正相关关系，因为通过IPO改善流动性增加了公司价值。我们发现支持性证据表明，定价过低与发行人ipo后的预期流动性呈正相关。我们将两次监管变化作为IPO前后股票流动性的外生冲击，结果表明，在预期IPO后流动性更好或IPO前流动性更低的情况下，股价过低更为明显。
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引用次数: 0
Unintended consequence of high bid price exclusion in IPO auctions: Evidence from China IPO拍卖中高价排除的意外后果：来自中国的证据
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-01-01 Epub Date: 2024-08-28 DOI: 10.1016/j.finmar.2024.100936
Di Wu , Xiaoke Cheng , Kam C. Chan , Shenghao Gao
Using a reform to relax the exclusion rate of highest bids in the book-building process as an exogenous shock, we find that IPO underpricing decreases, which indicates that excluding a certain percentage of the highest bids impairs IPO pricing efficiency. Further tests reveal that relaxing the mandate increases investors’ valuation of an IPO, thereby decreasing IPO underpricing. Our results also suggest that the relaxation of the stipulation motivates investors to provide more information, as revealed by fewer anchoring bids and reduced herding behavior, as well as higher opinion divergence and better predictive power for investor bids on post-IPO prices.
通过放宽最高竞价排除率的改革作为外生冲击，我们发现IPO抑价现象有所减少，这表明排除一定比例的最高竞价会损害IPO定价效率。进一步的测试表明，放宽授权增加了投资者对IPO的估值，从而减少了IPO的低定价。我们的研究结果还表明，放宽规定激励投资者提供更多信息，这表现为锚定出价减少和羊群行为减少，以及投资者对ipo后价格出价的意见分歧和预测能力增强。
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引用次数: 0
The price evolution in financial markets under influence of published opinions 在公开意见影响下的金融市场价格演变
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-01-01 Epub Date: 2024-10-16 DOI: 10.1016/j.finmar.2024.100947
Xiaodi Zhang
Opinions by media experts and pundits in both traditional media outlets and online venues influence investors. While a published opinion could be more accurate than that of a typical investor, its influence displaces many independent views and has the potential to introduce a shared error. My probabilistic trading model characterizes such influence and demonstrates how the “wisdom of the crowds” effect leads convergence of prices to the fundamental value. I use two corporate events to test the model, and find evidence consistent with the theoretical predictions.
无论是传统媒体还是网络媒体，媒体专家和权威人士的观点都会影响投资者。虽然公开发表的观点可能比一个典型投资者的观点更准确，但它的影响取代了许多独立的观点，并有可能导致共同的错误。我的概率交易模型描述了这种影响，并展示了“群体智慧”效应如何导致价格向基本价值趋同。我使用两个公司事件来测试模型，并找到与理论预测一致的证据。
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引用次数: 0
An ETF-based measure of stock price fragility 基于交易所交易基金的股价脆弱性衡量指标
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-01-01 Epub Date: 2024-11-04 DOI: 10.1016/j.finmar.2024.100946
Hamilton Galindo Gil , Renato Lazo-Paz
Equity mutual fund flows are commonly employed to measure stock price fragility - a stock’s exposure to non-fundamental demand risk. However, this approach may be biased by confounding fundamental information, potentially underestimating risk exposure. We propose an alternative method that uses the primary market data of exchange-traded funds (ETFs). This approach overcomes many limitations of mutual fund data, incorporates the influence of a broader set of investor demand, and strongly predicts stock return volatility and return comovement. Our study highlights the significant role that the arbitrage trading activity of ETFs play in signaling non-fundamental demand shocks.
股票共同基金流量通常被用来衡量股价的脆弱性——股票对非基本面需求风险的敞口。然而，这种方法可能因混淆基本信息而有偏差，潜在地低估了风险暴露。我们提出了一种替代方法，即使用交易所交易基金（etf）的主要市场数据。这种方法克服了共同基金数据的许多局限性，纳入了更广泛的投资者需求的影响，并强有力地预测了股票回报的波动性和回报的变动。我们的研究强调了etf的套利交易活动在非基本需求冲击信号中的重要作用。
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引用次数: 0
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