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Securities lending and trading by active and passive funds

Honkanen, Pekka - 2020

available for borrowing, mutual funds acquire information about short selling, which they exploit for trading. Funds with … lower lending fees than passive funds, consistent with funds paying for the information with lower fees …

Persistent link: https://www.econbiz.de/10012311898

Actively managed funds and earnings news : evidence from trade-level data

Lee, Charles M. C.; Zhu, Christina - 2018 - Current Draft: September 2018

We use trade-level data to examine the role of actively managed funds (AMFs) in earnings news dissemination. We find AMFs are drawn to, and participate disproportionately more in, earnings announcements (EAs) that include bundled managerial guidance. When the two pieces of news are directionally...

Persistent link: https://www.econbiz.de/10011980295

Investor Sentiment - Relationship between VIX and Trading Volume

Lei, Violet U. T. - 2012

As noise traders affect stock market by trading, sentiment, as a signal of noise, may have relationships with trading volume. This paper explores the effect of sentiment on the stock market's trading volume. Increase in Volatility Index (VIX) can explain the percentage increase in trading...

Persistent link: https://www.econbiz.de/10013101456

Short-Term Momentum and Reversals in Large Stocks

Wei, Jason Zhanshun - 2012

Using stocks traded on the NYSE, AMEX and NASDAQ for the period of 1964 to 2009, this study demonstrates that, while momentum prevails among small stocks, momentum and reversals coexist among large stocks for a holding period of up to six months. The momentum/reversal divide is along the...

Persistent link: https://www.econbiz.de/10013108409

Why Do Investors Trade?

Kelley, Eric K. - 2013

speculate on perceived information. To identify the model parameters, we exploit enormous empirical variation in trading volume …

Persistent link: https://www.econbiz.de/10013090972

Rethinking Determinants of Trading Volume at Earnings Announcements

Lerman, Alina - 2019

-announcement difference in private information precision, belief divergence or differential interpretation, and signal strength. In this paper … bad and neutral news firms. Finally, proxies for pre-announcement difference in private information precision do not … volume at earnings announcements is more reflective of the quantity and quality of information released, but its dynamics …

Persistent link: https://www.econbiz.de/10012895535

Alphabetic Bias, Investor Recognition, and Trading Behavior

Jacobs, Heiko - 2016

Extensive research has revealed that alphabetical name ordering tends to provide an advantage to those positioned in the beginning of an alphabetical listing. This paper is the first to explore the implications of this alphabetic bias in financial markets. We find that U.S. stocks that appear...

Persistent link: https://www.econbiz.de/10013006756

Why Does Option Volume Predict Stock Returns? The Role of Investor Disagreement and Mispriced Stocks

Hameed, Allaudeen - 2020

Divergence in investor beliefs is an important driver of the negative relation between option trading volume and future stock returns. We find a strong negative relation between disagreement-based option trades and future stock returns, and this relation is markedly amplified when the underlying...

Persistent link: https://www.econbiz.de/10012851265

The Chinese Warrants Bubble : Evidence from Brokerage Account Records

Pearson, Neil D. - 2020

We use brokerage account records to study trading during the Chinese put warrants bubble and find evidence consistent with extrapolative theories of speculative asset price bubbles. We identify the event that started the bubble and show that investors engaged in a form of feedback trading based...

Persistent link: https://www.econbiz.de/10012855245

How Do Informed Option Traders Trade? Option Trading Activity, News Releases, and Stock Return Predictability

Weinbaum, David - 2020

We examine how informed traders trade in the option market around news announcements. We show that their profits depend on whether positions are long or short, whether trades take place before or after news releases, and whether events are scheduled or unscheduled. We predict and find that...

Persistent link: https://www.econbiz.de/10012856388

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