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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 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 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 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
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-01-01
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引用次数: 0
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-01-01
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引用次数: 0
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-01-01
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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 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
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-01-01
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引用次数: 0
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-01-01
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引用次数: 0
IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Journal of Financial Markets
Pub Date : 2025-01-01
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引用次数: 0
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