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News-driven return reversals: Liquidity provision ahead of earnings announcements
So, Eric C.; Wang, Sean - In: Journal of Financial Economics 114 (2014) 1, pp. 20-35
liquidity. Our findings highlight significant time-series variation in the magnitude of short-term return reversals and suggest … liquidity and that these increases significantly affect the dynamics and information content of market prices. …
Persistent link: https://www.econbiz.de/10010906188
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The option to stock volume ratio and future returns
Johnson, Travis L.; So, Eric C. - In: Journal of Financial Economics 106 (2012) 2, pp. 262-286
We examine the information content of option and equity volumes when trade direction is unobserved. In a multimarket asymmetric information model, equity short-sale costs result in a negative relation between relative option volume and future firm value. In our empirical tests, firms in the...
Persistent link: https://www.econbiz.de/10010593832
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Style investing, comovement and return predictability
Wahal, Sunil; Yavuz, M. Deniz - In: Journal of Financial Economics 107 (2013) 1, pp. 136-154
Barberis and Shleifer (2003) argue that style investing generates momentum and reversals in style and individual asset returns, as well as comovement between individual assets and their styles. Consistent with these predictions, in some specifications, past style returns help explain future...
Persistent link: https://www.econbiz.de/10010593834
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The asset growth effect: Insights from international equity markets
Watanabe, Akiko; Xu, Yan; Yao, Tong; Yu, Tong - In: Journal of Financial Economics 108 (2013) 2, pp. 529-563
Firms with higher asset growth rates subsequently experience lower stock returns in international equity markets, consistent with the U.S. evidence. This negative effect of asset growth on returns is stronger in more developed capital markets and markets where stocks are more efficiently priced,...
Persistent link: https://www.econbiz.de/10010664043
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Global, local, and contagious investor sentiment
Baker, Malcolm; Wurgler, Jeffrey; Yuan, Yu - In: Journal of Financial Economics 104 (2012) 2, pp. 272-287
We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of...
Persistent link: https://www.econbiz.de/10010571674
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Measuring investor sentiment with mutual fund flows
Ben-Rephael, Azi; Kandel, Shmuel; Wohl, Avi - In: Journal of Financial Economics 104 (2012) 2, pp. 363-382
We investigate a proxy for monthly shifts between bond funds and equity funds in the USA: aggregate net exchanges of equity funds. This measure (which is negatively related to changes in VIX) is positively contemporaneously correlated with aggregate stock market excess returns: One standard...
Persistent link: https://www.econbiz.de/10011039240
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Risk and return: Long-run relations, fractional cointegration, and return predictability
Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - In: Journal of Financial Economics 108 (2013) 2, pp. 409-424
Univariate dependencies in market volatility, both objective and risk neutral, are best described by long-memory fractionally integrated processes. Meanwhile, the ex post difference, or the variance swap payoff reflecting the reward for bearing volatility risk, displays far less persistent...
Persistent link: https://www.econbiz.de/10011039272
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The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market
Loon, Yee Cheng; Zhong, Zhaodong Ken - In: Journal of Financial Economics 112 (2014) 1, pp. 91-115
improvement in liquidity and trading activity. …
Persistent link: https://www.econbiz.de/10010752915
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Sell-order liquidity and the cross-section of expected stock returns
Brennan, Michael J.; Chordia, Tarun; Subrahmanyam, Avanidhar - In: Journal of Financial Economics 105 (2012) 3, pp. 523-541
sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our … analysis indicates that the liquidity premium in equities emanates predominantly from the sell-order side. We also find that … lambdas are significantly positively correlated with measures of funding liquidity such as the TED spread as well option …
Persistent link: https://www.econbiz.de/10010617605
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Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - In: Journal of Financial Economics 105 (2012) 1, pp. 18-36
We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus … on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit … range of liquidity measures and find that liquidity effects account for approximately 14% of the explained market …
Persistent link: https://www.econbiz.de/10010571651