Journal of Financial Markets最新文献

We examine the associations between newspapers tone and stock market indices by translating newspapers coverage into human sentiment gauge. Our tone has positive effects on overnight stock returns and negative effects on both intraday returns and conditional volatility. The positive effect of the tone is highly significant on days of sharp price declines and when the tone is calculated using general newspapers. That positive effect, apparently thru opening prices, partly explains the overnight-intraday anomaly. The impact of negative events' coverage is about double the impact of positive events’ coverage. This asymmetry is greater when distinguishing between general and business newspapers.

Using a European private firm sample, we conduct a dynamic empirical analysis of private firm exit choice, previously modeled as a one-time IPO versus acquisition decision. Going public may yield firms a valuation premium (over a direct acquisition) through a post-IPO acquisition, but may also involve possible delisting at a valuation discount. We explicitly account for these dynamic considerations and show that such considerations alter firms’ initial exit trade-off: firms that anticipate a higher post-IPO acquisition probability are more likely to go public initially; those that anticipate a higher post-IPO delisting probability are more likely to choose a direct acquisition.

We extract an option-implied measure for systemic risk, the Systemic Options Value-at-Risk (SOVaR), from put option prices that can capture the buildup stage of systemic risk in the financial sector earlier than the standard systemic risk measures (SRMs). Our measure exhibits more timely early warning signals of main events around the global financial crisis than the main SRMs. SOVaR shows significant predictive power for macroeconomic downturns as well as future recessions up to one year ahead. Our results are robust to various specifications, breakdowns of financial sectors, and controlling for other main risk measures proposed in the literature.

The abnormal decline in the number of U.S. public firms is often blamed on merger activity, private equity investments, and stock market regulations. We compare the effects of these channels in a unified framework. In the U.S., an extra 100 mergers is associated with 22.01 additional missing public firms, whereas an extra 100 PE deals is associated with 3.62 fewer missing public firms. Regulatory changes contribute to the decline of U.S. listings too. We also specify the types of deals that most strongly affect listings. Finally, we document that similar listing gaps emerge in other developed economies.

During China's stock market crash in 2015, the government purchased the stocks of over 1000 firms. We investigate how this government rescue affects investment efficiency and show that rescued firms experience a significant decrease in investment-q sensitivity. This rescue has an adverse impact on price efficiency and impedes managers from learning information for investment decisions. The learning channel is the main mechanism through which the rescue has a real effect. Our findings indicate that programs intended to stabilize the stock market could adversely affect the real efficiency, providing new insight into the consequences of government purchases.

Our evidence suggests that the profitability of volatility timing strategies applied to equity factor portfolios disappeared when changes in the trading and information environment in the U.S. in the early 2000s made arbitrage less costly. The reduction of volatility timing alphas is greater for factor portfolios based on small-capitalization stocks, which are less liquid, more costly to trade, and more expensive to short than portfolios based on large-capitalization stocks. The evidence holds for 11 factor portfolios and a broader sample of 110 anomaly portfolios in the U.S. Our research highlights the importance of frictions in the profitability of investment strategies.

We analyze the relation between transaction costs and venue choice using proprietary transaction-level data from institutional trade executions in the U.K. equity market. We show that, for a given investor, a higher share of dark trading (midpoint dark pools) is associated with lower execution costs. In the context of a recent ban on dark trading, we provide evidence consistent with migration towards substitute trading venues such as periodic auctions, which has mitigated adverse effects on trading costs for large investors. We also provide micro-evidence on Menkveld et al.’s (2017) pecking order theory of venue choice over the life-cycle of large parent orders.

For a sample of 356 LSE stocks from the period 2013–2019, we find that common short sold capital is positively and significantly associated with one-month ahead four-factor residual return correlation, controlling for many pair characteristics, including similarities in size, book-to-market, and momentum. The relation weakens with stock illiquidity, whereas it strengthens when short positions originate from informed agents, such as hedge funds, active investors, and short sellers with high past performance. This supports our hypothesis that the relation is driven by information, not price pressure. We show that these results can be used to obtain diversification benefits.

The job openings-to-employment ratio ($\mathrm{JOE}$), defined as the number of job postings divided by the employment level, is among the strongest known predictors of the equity premium. We find that $\mathrm{JOE}$ outperforms a broad set of over two dozen popular predictor variables in both in-sample and out-of-sample forecasting tests. Forecasts based on $\mathrm{JOE}$ also produce gains of 2.91% in annualized certainty equivalent return and 0.20 in annualized Sharpe ratio relative to forecasts based on the historical mean equity premium. The empirical results are consistent with a standard production-based asset pricing model with labor inputs and search frictions.

OTC Markets Group organizes stocks that trade over-the-counter (OTC) into three marketplaces (OTCQX, OTCQB, and Pink) based on firm quality and disclosure practices. We examine trading within these tiers and find that stocks in higher tiers are more liquid than stocks in lower tiers. After a series of difference-in-differences tests comparing a matched sample of stocks that change tiers, we find that liquidity improves (deteriorates) for stocks moving up (down) the tiered market structure, suggesting that the tier designations resolve uncertainty and increase firm visibility. Our results show that liquidity differences between tiers is attributable to OTC market structure.