The value relevance of timely information: The case of comparable store sales growth

Investors and analysts have called for more timely disclosure of corporate information. Responding to these demands, some retail firms issue comparable store sales (CSS) on a monthly or a quarterly basis in addition to an annual basis. This study examines whether a timely disclosure of CSS provides value-relevant information to market participants by examining investors' and financial analysts' responses at the time of CSS disclosures (short-horizon) and over the month or the quarter (long-horizon). We find that both monthly and quarterly CSS are associated with contemporaneous market returns and analyst forecast revisions. More importantly, we find that quarterly CSS news becomes less important to investors when firms provide more timely CSS information, indicating that monthly CSS reports may preempt the information content of quarterly CSS. Additional tests show that investors and analysts rely less on CSS if CSS news and earnings (sales) news are inconsistent.     

A rational asymmetric reaction to news: evidence from English football clubs

Using a large dataset of matches played between two publicly traded English football (soccer) clubs, we test for and confirm an asymmetric market reaction to winning and losing and that the stock market respond stronger and slower to bad news (losing) than good news (winning). In contrast to previous studies, we show that financial fundamentals help explain this asymmetry. In particular, club short-term financial performance is negatively impacted by losing but not impacted by winning. Furthermore, losing is a significantly stronger predictor of future match outcomes than winning.     

Tests of the hypothesis of the existence of risk premium in the foreign exchange market

This paper tests for a risk premium in the foreign exchange market. The null hypothesis of the test is the random walk hypothesis in the foreign exchange market. The alternative hypothesis is that biases of current spot rates (or forward rates) from future spot rates are systematically related to a set of economic variables on which a risk premium may depend. This paper provides firm evidence for a risk premium in the foreign exchange market. The risk premium explains 10–20% of the total variance in future spot rates when the US dollar/mark quarterly rates are used. The magnitudes are smaller (less than 10%) for monthly rates.     

Analysis of DJIA,S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery

This study examines the temporal behavior of price discovery in the spot, ETF and futures markets of the DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000. We document an increasing trend in the price discovery metrics of exchange traded funds for all indexes but the DJIA. Contrary to past studies, our findings show that the spot market rather than the futures market leads the price discovery. The arbitrage process that links exchange traded funds to spot prices, and not the futures prices might explain the results. This daily arbitrage that ensures exchange traded funds prices equal net asset values appear to promote spot market price discovery especially with the popularity of exchange traded funds in more recent years. We additionally document that the temporal behavior of the exchange traded funds price discovery metric affects differently price discovery in the spot and futures markets across indexes.     

2010年11月银行间市场运行报告

2010年11月,银行间市场面临的货币政策环境＂外松内紧＂。银行间市场交易整体保持活跃,各市场交易量同比均大幅增长;人民币市场资金面逐渐收紧,货币市场短期利率明显上扬;国债收益率曲线平坦化上移;人民币汇率中间价上半月显著升值,人民币对美元即期交易价格在外汇新规出台后大幅波动。银行间市场业务创新进一步推进,人民币对俄罗斯卢布交易正式推出,便利跨境贸易人民币结算业务开展;信用风险缓释凭证交易上线,有利于拓展衍生品市场深度与广度。     

THE RELATION BETWEEN OPTION MISPRICING AND VOLUME IN THE BLACK-SCHOLES OPTION MODEL

We investigate the relation between mispricing in the Black-Scholes option pricing (BSOP) model and volume in the option market. Our results indicate heavily traded call options are priced more efficiently and have lower mispricing errors than thinly traded options. However, this relation shifts significantly on days when call option trading is high. On high-volume days, the BSOP model mispricing errors are significantly larger than mispricing errors on normal-volume days. We believe large increases in volume may reflect new and changing market information, thus making pricing less efficient in the BSOP model.     

The Expiration Effects of Stock-Index Derivatives: Empirical Evidence from the Taiwan Futures Exchange

Five index derivatives with the same expiration days, settlement days, and settlement systems have been consecutively traded on the Taiwan Futures Exchange (TAIFEX) since 1998. This paper examines the expiration effects of TAIFEX index derivatives on the underlying stock market between 1998 and 2002. Our empirical findings show no significant expiration effects on the expiration day, but evidence demonstrates that expiration effects have strengthened as more relative index derivatives are listed on the TAIFEX. Meanwhile, the expiration effects seem to shift to the opening of the settlement day. In general, the expiration effects in Taiwan are not as significant as those in U.S. markets but are stronger than those in the Hong Kong market. The special settlement procedures adopted by the TAIFEX may account for the difference.     

Analysis of intraday herding behavior among the sector ETFs

A body of literature has emerged suggesting that investors herd, or tend to make investment decisions on the basis of information provided by the trades of other market participants. In this paper, we use intraday data to examine whether traders herd during periods of extreme market movements using sector Exchange Traded Funds (ETFs). Two procedures, one based on identifying extreme up market and down market periods and the other based on incorporating a nonlinear term in a regression specification, are used to identify the possibility of the existence of herding behavior in nine sector ETFs traded on the American Stock Exchange. The results support the conclusion that investors do not herd during periods of extreme market movements using ETFs. Furthermore, we show that the market reaction to news is not symmetric for up markets and down markets.     

Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets

This study examines the pricing efficiency for the leading cryptocurrency, Bitcoin using spot prices and all CBOE and CME futures contracts traded from January 2018 to March 2019. We find that the futures basis provide some predictive power for future changes in the spot price and in the risk premium. However, the basis of Bitcoin is a biased predictor of the future spot price changes. Cointegration tests also demonstrate that futures prices are biased predictors of spot prices. Deviations from no-arbitrage between spot and futures markets are persistent and widen significantly with Bitcoin thefts (hacks, frauds) as well as alternative cryptocurrency issuances.     

Hedging with Chinese metal futures

This paper evaluates different hedging strategies for aluminum and copper futures contracts traded at Shanghai Futures Exchange. In addition to usual candidates such as the traditional regression hedge ratio and the hedging strategy constructed from bivariate fractionally integrated generalized autoregressive conditional heteroskedasticity (BFIGARCH) model, two advanced specifications are proposed to account for impacts of the basis on market volatility and co-movements between spot and futures returns. Empirical results suggest that the basis has asymmetric effects and optimal hedging strategy constructed from the asymmetric BFIGARCH model tends to produce the best in-sample and out-of-sample hedging performance.     

The effect of settlement regimes on trading cost and market efficiency: evidence from the National Stock Exchange

Using data from 65 of the most actively traded stocks from the National Stock Exchange of India we study the relationship between impact cost and three indicators of market efficiency under different settlement regimes. Our data is uniquely suited for this study because it encompasses a transition by the National Stock Exchange of India from fixed to rolling settlement. As a by-product of our study we are able to examine inefficiencies related to the day of the week on which trades are conducted for different settlement regimes. In summary our data reveals that rolling settlement reduces aggregate impact costs, leading to greater market efficiency. Employing a fixed effects model we show that impact cost has a stronger relationship to our indicators of market efficiency under rolling settlement. However, we find evidence of two structural inefficiencies related to the day-of-the-week on which trades are conducted: 1) under rolling settlement, trades conducted earlier in the week (and settled by Thursday) have lower impact costs, and 2) there is an impact cost premium for Friday trades.     

On the impact of macroeconomic news surprises on Treasury-bond returns

This paper investigates the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond returns, by paying particular attention to the moment at which the information is published in the month. Implementing an event study on intraday data, we show that (1) the main bond market movers are based on economic activity and inflation indicators, (2) long-maturity bonds are slightly more impacted by surprises than short-maturity ones, and (3) the bond market is more sensitive to negative surprises than to positive ones. Finally, we find evidence of an empirical monotonic relationship between the surprises’ impact and their corresponding news’ publication date and/or their sign.     

LIQUIDITY AND PRICE VARIABILITY IN FUTURES MARKETS

This paper tests the hypothesis that market liquidity affects the price variability of futures contracts. The analyses used take into account the maturity effect and various sources of nonstationarity. Empirical testing involved eleven commodities in various markets. The evidence strongly suggests that futures contracts in distant and thinly traded months exhibit different price variability than contracts in near to maturity and liquid traded months, and that the behavior is commodity dependent. These findings could help investors better evaluate risks and provide a better basis for hedging strategies. Also, monthly averages of open interest can be used interchangeably with volume to measure liquidity in determining which pattern applies to a given commodity.     

The effect of option transaction costs on informed trading in the options market around earnings announcements

We investigate the effect of option market transaction costs (a form of market imperfection) on the ability of option implied volatility-based measures to predict future stock returns and volatility around quarterly earnings announcements. We find that the predictability is significantly stronger for firms with lower option relative bid-ask spreads. The effect is more pronounced around positive rather than negative earnings news. We find no significant effect of option transaction costs around randomly chosen dates when there is no clustering of major information events. Trading strategies based on option market predictors and transaction costs earn monthly abnormal returns of 1.39% to 1.91%.     

A PRICING ANOMALY IN TREASURY BILL FUTURES

This research applies an entirely new approach to examining the efficiency of futures markets for Treasury bills and avoids many shortcomings of previous studies that rely on comparing yields on spot versus futures market positions. Efficiency is examined by comparing the consistency of yields within the futures market itself since, at one time, the International Monetary Market (IMM) traded futures contracts for both three-month and one-year bills. The results indicate a remarkably large average annual yield differential of 32 basis points when the yields on the one-year contract are compared to the appropriate corresponding strip of three-month contracts. Possible explanations such as low volume, market thinness, transaction costs, strategy interdependence, serial correlation among differences, and daily resettlement (the Cox, Ingersoll, and Ross effect) are unsuccessful in explaining this pricing anomaly.     

The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns

This paper examines the equity market reaction to the monthly release of Australian consumer sentiment news. Our results indicate that consumer sentiment has valuable information content. Further, we document a version of the “negativity effect” (from the psychology literature) in which, upon announcement of bad (good) sentiment news, the equity market experiences a significant negative (no) announcement day effect. Notably, we find that the market recovers from the bad news shock relatively quickly post-announcement. The results are robust to a broad range of additional tests.     

The impact of salient political and economic news on the trading activity

This paper investigates the impact of salient political and economic news on the intraday trading activity, namely, the stock return volatility, the stock price volatility, the number of shares traded, and the trading frequency. Using transactions data on 33 constituent stocks of the Hang Seng Index in the Stock Exchange of Hong Kong (SEHK), we find that political news has a distinct impact on market activity when compared with economic news. We argue that the observed phenomenon is related to the precision of signals associated with these two types of news and investors' perceptual biases.     

Asset Price Dynamics and Infrequent Feedback Trades

This article combines the continuous arrival of information with the infrequency of trades, and investigates the effects on asset price dynamics of positive and negative-feedback trading. Specifically, we model an economy where stocks and bonds are traded by two types of agents: speculators who maximize expected utility, and feedback traders who mechanically respond to price changes and infrequently submit market orders. We show that positive-feedback strategies increase the volatility of stock returns, and the response of stock prices to dividend news. Conversely, the presence of negative-feedback traders makes stock returns less volatile, and prices less responsive to dividends.     

Agency and Internal Capital Market Inefficiency: Evidence from Banking Organizations

Using banking data, I provide evidence that agency problems are at the root of internal capital market inefficiency. I find that publicly traded bank holding companies (BHCs) are less efficient in their internal capital allocation than nonpublicly traded BHCs. This suggests that the divergence of interests between the chief executive officer and the shareholders is an important source of the internal capital misallocation. I also demonstrate that BHCs incorporating a tiered organizational structure are less efficient than nontiered BHCs, but only within a sample of BHCs that are publicly traded. These findings imply that a greater degree of rent‐seeking activity by division managers contributes to internal capital market inefficiency only if the top manager is an agent. This is consistent with theoretical models that explain internal capital misallocations through the multiple layers of agency within an organization.     

The Value Relevance of International Financial Reporting Standards: Empirical Evidence in an Emerging Market

This study examines the value relevance of accounting information under International Financial Reporting Standards (IFRS) in the Abu Dhabi Stock Exchange (ADX, henceforth). Based on models developed by Easton and Harris (1991), and Ohlson (1995) and using monthly market data from 2000 to 2006, this paper investigates the value relevance of accounting information of firms traded on the ADX. Our overall results show that earnings scaled by beginning of period price are positively and significantly related to cumulative returns and that earnings per share and book value per share are positively and significantly related to price per share. We also find that value relevance of accounting information has changed since the market inception in 2000. The results documented herein extend the literature on value relevance accounting information in an emerging market that requires the use of IFRS. The study therefore contributes to the debate over the mandatory adoption of IFRS and the value relevance of accounting information reported under IFRS.