Showing papers in "Journal of Financial Markets in 2021"

TL;DR: In this article, out-of-sample returns on 153 anomalies in equities documented in the academic literature are studied and machine learning techniques that aggregate all the anomalies into one mispricing signal are profitable around the globe and survive on a liquid universe of stocks.

TL;DR: It is found that noise trading can be treated as approximately i.i.d. at monthly and lower frequencies but that weekly and daily trades are serially correlated; the distribution of noise trading is less heavy-tailed at lower frequency but conforms to a normal only for quarterly data.

TL;DR: In this article, the authors examine the price discovery contributions of cryptocurrency exchanges in the presence of market microstructure noise and find that Bitfinex is the leader in price discovery process.

TL;DR: In this paper, the negative effect of stock liquidity on default risk for a sample of 46 countries was studied and it was shown that default risk declines following the introduction of the Directive on Markets in Financial Instruments (MiFID), an exogenous shock that increases liquidity.

TL;DR: The authors improved the performance of stock return forecasts using predictive regressions with ordinary least squares (OLS) estimates weighted by a class of time-dependent functions (TWLS) to address the structural breaks in predictive relationships.

TL;DR: In this paper, the authors examine time-invariant and time-varying market integration across European stock markets and find that higher market integration is associated with decreasing diversification benefits.

TL;DR: In this article, the authors empirically evaluate U.S. market return predictability based on an aggregate measure constructed from the bottom-up firm-level cash conversion cycle (CCC) for 1976-2018.

TL;DR: In this article, the authors test the pricing of the conditional systematic risk (β) of IML, a traded liquidity factor of the return premium on illiquid-minus-liquid stocks, with its risk premium varying over time.

TL;DR: In this article, the authors show that the reduction in shareholder litigation risk does not degrade firms' stock price informativeness, and that firms change the way they invest rather than obfuscating or withholding firm-specific information.

TL;DR: In this article, the authors investigate how to measure common risks in the tails of return distributions using the recently proposed panel quantile regression model for financial returns, by exploring how volatility crosses all quantiles of the return distribution and using a fixed effects estimator.

TL;DR: In this article, the authors study the role of goodwill, an important form of intangible assets arising from merger and acquisitions (M&As), on asset pricing and find that it remains an economically and statistically significant predictor of stock returns after adjustment for common factors.

TL;DR: In this paper, the authors study how the heterogeneity in investment horizons of local institutional investors affects the IPO market and find that local short-term presence is strongly positively related to IPO underpricing.

TL;DR: In this paper, the authors document significant changes in the relative price discovery of U.S. markets after the implementation of the SEC's Tick Size Pilot Program (TSPP) and find that informed institutional trading using ISOs are the primary channel through which these changes transpire.

TL;DR: In this article, the authors show that a sudden increase in margin requirements during the COVID-19 pandemic is correlated with the withdrawal of global liquidity providers, consistent with the binding nature of increased capital constraints.

TL;DR: In this paper, the authors proposed a two-way investor classification that jointly accounts for both investment horizon or portfolio concentration in isolation, and provided an intuitive account of each institutional investor group's trading and the ensuing impact on market price dynamics.

TL;DR: In this paper, the authors developed a tractable model of a limit order market where informed and liquidity investors compete with a professional liquidity provider who has a monitoring advantage, and applied their model to study the impact of exogenous transaction costs and investor patience on trading activity and market quality.

TL;DR: In this paper, the authors formulate an oligopoly model of simultaneous trading by dealers in the CDS and loan CDS markets and show that in equilibrium it is optimal for incumbent dealers to take suitably designed opposite positions in the two markets.

TL;DR: In this paper, the authors link a seemingly biased trading behavior to equilibrium asset prices, and find that securities for which investors have large unrealized gains and losses outperform in the subsequent month.

TL;DR: The authors examined the impact of air pollution on investor bidding behavior and seasoned equity offering (SEO) discounts using a sample of Chinese SEOs from 2013 to 2019 and found that worse air pollution faced by investors leads to lower investor bid prices and larger SEO discounts.

TL;DR: In this paper, the authors examine the bidding behavior of institutional investors in initial public offering (IPO) auctions using a hand-collected dataset of limit bids and find that most institutional investors are "occasional bidders" who rarely get a share allocation.

TL;DR: In this article, the authors examined intraday time series momentum (ITSM) in an international setting by employing high-frequency data of 16 developed markets and showed that ITSM is economically sizable and statistically significant both in and out-of-sample in most countries.

TL;DR: This paper examined the extent to which exchange-traded funds' unusually high overnight returns are distorted by market microstructure effects; specifically, positive order imbalances and overnight increases in bid-ask spreads.

TL;DR: This paper examined systematic credit default swap (CDS) and equity markets using investment grade and high yield Markit CDX indices and matched equity portfolios within a vector autoregressive (VAR), asymmetrical Granger causality, and VARMA framework to ascertain whether one market has an advantage over the other in pricing in new information Contrary to the investment grade sector, neither the CDS nor the equity market is observed to have an advantage.

TL;DR: In this paper, the authors examined the relation between information asymmetry costs and expected returns across various types of institutional traders, taking advantage of a unique account-level transaction dataset on the Taiwan Futures Exchange.

TL;DR: In this paper, the authors extract a single factor from popular aggregate implied cost of capital (ICC) measures using partial least squares method and show that this combined measure strongly predicts future stock market returns, both in-sample and out-of-sample.

TL;DR: In this article, the authors model investors who are only able to access equity markets through a broker and show that they have an incentive to route based on the fees charged by exchanges, rather than on execution quality for their clients.

TL;DR: In this paper, the SEC's NRSRO designation for Japanese credit rating agencies is examined for examining certification and monitoring effects, as Japanese domestic bond markets are not subject to SEC regulations.

TL;DR: In this article, the authors apply techniques from the event probability forecasting literature to the analysis of spillover scenarios in economic and financial networks and show that abrupt changes in the probabilities of crisis scenarios accurately map on to key events during the Global Financial Crisis.

TL;DR: This article found no evidence that this redesign impacted market-wide measures of trading costs or contributed appreciably to segmenting retail order flow away from other Canadian venues with a maker-taker fee structure.

TL;DR: In this paper, the authors propose a structural setting to investigate the dynamics of information processing on equity prices and the exchange rate for cross-listed stocks, and disentangle the effects on firm value of the currency from other determinants of a firm's cash flow.