投资者保护具有股票流动性效应——来自中国高频交易数据的经验证据

股权分置改革使得股票市场的资源配置功能得到了进一步的发挥,但大股东使用内幕交易等手段侵害中小股东利益的行为也会变得更加突出。在以往的研究中,人们仅关注了投资者保护对关联交易等"利益输送"行为的遏制作用,并没有关注投资者保护对内幕交易等"利益输送"行为的治理效应。事实上,加强投资者保护能够改善信息环境,减少内幕交易行为,这将导致股票流动性的上升和信息不对称程度的下降。这一结论对于股权分置改革后的中国证券市场具有尤为重要的指导意义。     

FREQUENT NEWS AND PURE SIGNALS: THE CASE OF A PUBLICLY TRADED FOOTBALL CLUB

We use stock market data for Borussia Dortmund GmbH & Co. KGaA – one of the leading German football clubs – for an application of the news model. Owing to the specific characteristics of the news‐generating process, the case of a publicly traded sport club is a very appropriate candidate for testing this model. By applying a traditional as well as a reversed news model, we elaborate whether new information can explain subsequent changes in the stock price of Borussia Dortmund. We find that sport as well as corporate governance‐related variables are important drivers of the stock price.     

The New York Times and Wall Street Journal: Does Their Coverage of Earnings Announcements Cause “Stale” News to Become “New” News?

Recent research suggests that the stock market reacts to stale information if it is reported in the media because it is gives the impression of being “new” news. The objective of this study is to provide a unique test of this hypothesis using the time-series properties of quarterly earnings. It is well documented that seasonally differenced quarterly earnings for adjacent quarters are positively correlated. Therefore a component of current quarter earnings when reported is news that was known or predictable at the end of the prior quarter and thus is old news. We find for those firms that receive media coverage in the Wall Street Journal and The New York Times that the price reaction at the time of the announcement of current earnings to past quarter's seasonally differenced quarterly earnings is greater than those firms that do not receive media coverage. The result is consistent with stale earnings information being given the appearance of new information resulting in a further price reaction. This suggests that the stale information hypothesis and media coverage could be a partial explanation for post-earnings announcement drift.     

股权再融资、盈余管理与大股东的寻租行为

我国上市公司处于大股东的超强控制状态,大股东与中小股东之间存在严重的信息不对称,导致大股东在股权再融资过程中表现出强烈的盈余管理动机.本文研究了我国资本市场参与者的行为与盈余管理之间的关系,并分析了对资本配置效率的影响效应.大股东通过操纵报告盈余来改变会计盈余的时间分布和误导投资者,从而攫取更多的隐性收益,造成资本市场配置效率的降低.研究结果表明:(1)大股东通过盈余管理在股权再融资过程中可以获得中小股东无法得到的隐性收益;(2)大股东的收益随着盈余管理程度的增加而提升,中小股东的财富随着盈余管理程度的增加而降低;(3)盈余管理程度的增加将降低上市公司的资本配置效率和企业价值.因此,大股东通过盈余管理实现了对小股东财富的掠夺效应,造成了上市公司资本配置效率、公司价值、声誉和后续融资能力的下降.     

新闻媒体、资讯特征与资本市场信息效率

我国媒体产业呈现双轨制特色,产业中同时存在政策导向媒体与市场导向媒体.两类媒体的功能定位与激励机制迥然不同,使得两者对资本市场的影响存在差异.文章发现,在资本市场上,媒体主要通过负面报道,促进公司特质性信息反映在股价中,而正面报道则无此作用.在区分政策导向媒体和市场导向媒体后,文章进一步发现,媒体对资本市场信息整合的影响主要体现在政策导向媒体上,市场导向媒体则无显著影响.为了考察这种差异产生的原因,文章对两类媒体在资讯报道方面的文本特征(信息挖掘与信息传递)进行了比较,发现政策导向媒体相对于市场导向媒体进行了更深层次的信息挖掘与更精准的信息传递,这是它对资本市场信息整合更具影响力的真正原因.     

Daily market news sentiment and stock prices

In recent years there has been a tremendous growth in readily available news related to traded assets in international financial markets. This financial news is now available through real-time online sources such as Internet news and social media sources. The increase in the availability of financial news and investor’s ease of access to it has a potentially significant impact on market stock price movement as these news items are swiftly transformed into investors sentiment which in turn drives prices. In this study, we use the Thomson Reuters News Analytics (TRNA) data set to construct a series of daily sentiment scores for Dow Jones Industrial Average (DJIA) stock index constituents. We use these daily DJIA market sentiment scores to study the influence of financial news sentiment scores on the stock returns of these constituents using a multi-factor model. We augment the Fama–French three-factor model with the day’s sentiment score along with lagged scores to evaluate the additional effects of financial news sentiment on stock prices in the context of this model using Ordinary Least Square (OLS) and Quantile Regression (QR) to analyse the effect around the tail of the return distribution. We also conduct the analysis using the seven-day simple moving average (SMA) of the scores to account for news released on non-trading days. Our results suggest that even when market factors are taken into account, sentiment scores have a significant effect on Dow Jones constituent returns and that lagged daily sentiment scores are often significant, suggesting that information compounded in these scores is not immediately reflected in security prices and related return series. The results also indicate that the SMA measure does not have a significant effect on the returns. The analysis using Quantile Regression provides evidence that the news has more impact on left tail compared to the right tail of the returns.     

ARE TELEVISION AND VIDEO GAMES REALLY HARMFUL FOR KIDS?

Are watching television (TV) and playing video games really harmful for children's development? By using a unique longitudinal dataset with detailed information on children's development and health, we examined the causal effect of hours of TV watched or of video games played on school‐aged children's problem behavior, orientation to school, and obesity. The results suggested that the answer to the question is yes, but the magnitude of the effect is sufficiently small to be considered as negligible. The results were robust to within‐twin‐fixed effects. (JEL I10, I20)     

Measuring and combating corruption

Corruption thrives on misinformation and secrecy. In the Global Corruption Report 2003 , Transparency International ( TI ) puts access to information at the top of its agenda. TI catalogues a climate of mistrust that is working against the interests of shareholders and employees in the market economy, and against the interests of the developing world when economic and business decisions are taken on the basis of the size of a kickback rather than quality, competence and value for money. A sustainable and prosperous society requires a national integrity system based on the rule of law, checks and balances, and a thriving independent media and civil society.     

A Tale of Two Indices: The Story of the NASDAQ and the SENSEX

Using the daily data on SENSEX and NASDAQ from January to October of 2000, the paper attempts to find out to what extent the “news” on NASDAQ helps price formation at the beginning and at the end of a trading day at the Indian bourses. The possible impact of NASDAQ on SENSEX is analyzed through OLS equations under cointegration and error correction framework. The results indicate that the “news” on NASDAQ plays an important role in price formation at the beginning of a trading day at the Indian bourses. However, as the impact of NASDAQ fades a lot during the trading hours when the Indian market remains open and the US market remains closed, the closing figures at SENSEX could not be predicted well with this information.

     

Discount between H Share and A Share from the Perspective of China

The effect of strict segmentation on pricing in the context of the Chinese stock markets was investigated. As an effective complementary to domestic A share market, H share market has played an important role in attracting foreign capital flows into mainland and as an open window for foreign investors to know Chinese enterprises. However, H share has received little attention by researchers. Considered that H share market enjoys relatively more free information and has a greater and faster access to global news sources, The discount between H share and A share is mainly studied in this paper. By constructing the model and based on proposed hypotheses, the empirical test confirms information asymmetry between foreign investors and domestic investors, liquidity effects, diversification effects are significant factors in explaining discounts on H share from the cross-section data.     

企业捐赠、市场认知与盈余信息含量

企业的捐赠行为在某种程度上是出于慈善的“社会责任”动机,也可能表现为战略性绩效改善动机。本文研究发现,目前中国的资本市场中,捐赠行为还没有被市场所认可,股东会认为捐献降低了可供股东分配的资源和利润,损害股东利益,因此给予负面评价。市场对于不同的捐赠动机会给出不同的评价。如果企业捐赠更多地表现为战略性绩效改善动机,那么市场会给予积极的正面评价,这种捐赠能够提高盈余的信息含量,可能的原因在于,市场和投资者现阶段更加关注的是企业的短期盈利问题。     

Is the Fed’s news perception different from the private sector’s?

The recent literature on monetary policy has dedicated considerable attention to modelling agents’ processing of information about the future in real time. This paper contributes to this growing strand by investigating the implied differences in the so-called news shocks estimated from the standard New Keynesian dynamic stochastic general equilibrium (DSGE) model using the real-time data sets from the Survey of Professional Forecasters (SPF) and the Federal Reserve’s Greenbook (GB) forecasts. Alternative specifications with either the SPF or GB forecasts aim to delineate the differences in the private sector’s and the Fed’s expectations of future macroeconomic outcomes and identify the differences in their perception of news shocks. Our results indicate that while the demand news shocks have very similar distributions in the two datasets, the monetary and cost-push news shocks from the models estimated on the GB data tend to be larger than those from the SPF. These findings suggest that the Federal Reserve’s forecasting methods allow for more variation in future outcomes than the SPF’s. These findings mesh well with the extant literature on the superiority of the Fed’s forecasts relative to the private sector’s and provide a structural explanation for the source of this superiority.     

The effects of insider trading on insiders effort in good and bad times

We analyze the effects of insider trading on insiders' effort decisions and on the value of firms. We consider a situation in which the final output of a firm and the productivity of managerial effort will depend on whether the firm is in a good or a bad state. When the state is not verifiable, the managerial contract cannot be made explicitly contingent on it: consequently, a contract that does not allow for insider trading would lead to the insiders' facing the same incentive scheme in good and bad times. Under a contract that allows for insider trading, however, insiders will buy shares on receiving (ahead of the market) good news and will sell shares on receiving bad news; consequently, they will end up facing different incentive scheme in good and bad times. Whether this effect is desirable depends on how the marginal productivity of managerial effort in good times compares with that in bad times. In particular, we show that allowing insider trading may improve managers' effort decisions and consequently may increase corporate value and benefit shareholders.     

Taxation and the stock market valuation of capital gains and dividends: Theory and emphirical results

Dividends seem to be more heavily taxed than capital gains. Why then do corporations pay dividends rather than repurchasing shares or retaining earnings? Either corporations are not acting in the interests of shareholders, or else shareholders desire dividends sufficiently for nontax reasons to offset the tax effect.In this paper, we measure the relative valuation of dividends and capital gains in the stock market, using a variant of the capital asset pricing model. We find that dividends are not valued differently systematically from capital gains. This finding is consistent with share price maximization by firms but inconsistent with the fact that most shareholderspay a heavier tax on dividends.We also show that the relative value of dividends provides an indirect measure of a marginal Tobin's q. The measured value of dividends relative to capital gains tends to be higher during prosperous periods, as is consistent with this interpretation. We hope that this time series on a marginal Tobin's q will prove to be useful in forecasting the rate of investment.     

Capital markets and capital allocation: Implications for economies in transition*

Recent work showing that a sounder financial system is associated with faster economic growth has important implications for transition economies. Stock prices in developed economies move in highly firm‐specific ways that convey information about changes in firms’ marginal value of investment. This information facilitates the rapid flow of capital to its highest value uses. In contrast, stock prices in low‐income countries tend to move up and down en masse, and thus are of scant use for microeconomic capital allocation. Some transition economy markets are coming to resemble those of developed economies, others those of low‐income countries. Stock return asynchronicity is highly correlated with the strength of private property rights in general and public shareholders’ rights in particular. Other recent work suggests that small entrenched elites in low‐income countries preserve their sweeping control over the corporate sectors of their economies by using political influence to undermine the financial system and deprive entrants of capital. The lack of cross‐sectional independence in some transition economies’ stock returns may be a warning of such economic entrenchment. Sound property rights, solid shareholder rights, stock market transparency, and capital account openness appear to check this, and thus contribute to efficient capital allocation and economic growth.     

Language after liftoff: Fed communication away from the zero lower bound

This paper examines the Federal Reserve's communication strategy to see how well it has worked and how it can be improved. It argues that Federal Reserve communication when short-term interest rates are no longer constrained by the zero lower bound should be focused on relaying a data-based reaction function which informs market participants how interest rates will adjust as new information arrives. Instead, the Federal Reserve in recent years has relied more heavily than desired on “time-based” forward guidance, focusing on when interest rates are likely to rise rather than under what circumstances. We argue that, except under unusual circumstances, this is an imprudent strategy, as it mutes the effect of macroeconomic news on interest rates and unnecessarily places restrictions on future Federal Reserve action when new information arrives. We argue that the Federal Reserve can improve communication in the current environment by moving away from time-based forward guidance, clarifying how interest rates are likely to change given new information, and providing more information in the Summary of Economic Projections.     

Persistent media bias

The news media plays an essential role in society, but surveys indicate that the public views the media as biased. This paper presents a theory of media bias that originates with private information obtained by journalists through their investigations and persists despite profit-maximizing news organizations and rivalry from other news organizations. Bias has two effects on the demand for news. First, rational individuals are more skeptical of potentially biased news and thus rely less on it in their decision-making. This skepticism reduces demand and leads the news organization to set a lower price for its publication the greater is the bias it tolerates. Lower quality news thus commands a lower price. Second, bias makes certain stories more likely than others. Given their private information, journalists may bias their stories if their career prospects can be advanced by being published on the front page. News organizations can control bias by restricting the discretion allowed to journalists, but granting discretion and tolerating bias can increase profits if it allows journalists to be hired at a lower wage. Bias is not driven from the market by a rival news organization nor by a news organization with an opposing bias, and the profits of a high-bias news organization can be higher than the profits of a low bias one. Moreover, bias can be greater with competition than with a monopoly news organization. If individuals collectively choose regulation in place of their individual decision-making, bias increases the expected stringency of regulation.     

Volatility persistence and asymmetry under the microscope: the role of information demand for gold and oil

This study explores the relationship between Google search activity and the conditional volatility of oil and gold spot market returns. By aggregating the volume of queries related to the two commodity markets in the spirit of Da et al. ( 2015 ), we construct a weekly Searching Volume Index (SVI) for each market as proxy of households and investors information demand. We employ a rolling EGARCH framework to reveal how the significance of information demand has evolved through time. We find that higher information demand increases conditional volatility in gold and oil spot market returns. Information flows from Google SVI's reduce the proportion of the significant volatility asymmetry produced by negative shocks in both commodity markets. The latter is more profound in the gold market.     

Local media ownership and media quality

The Federal Communications Commission regulates local media ownership to promote competition, diversity and the provision of local programming. This study investigates how local media cross-ownership, co-ownership and ownership diversity are associated with media market outcomes. Cross-sectional regressions indicate that television station ownership consolidation is associated with increased local TV news production but lower news ratings. However, panel estimation finds that changes in local media ownership are uncorrelated with local media usage or programming, producing confidence intervals that are tightly centered around zero.     

Informational efficiency: ranking markets

Summary. The paper studies informational properties of three types of imperfectly competitive markets: a one-signal speculative market (OSS market) in which agents have only private information about the fundamental value (v) of the risky asset traded, a two-signal speculative market (TSS market) in which agents have private information about both v and the asset supply, and a market in which agents are endowed with both information about v and shares of the risky asset traded. In this last market (JA market), agents have joint activities: they trade for both speculative and hedging purposes. It is shown that (i) the JA market and the OSS market are the most and the least efficient, respectively, and (ii) the levels of informational efficiency in the three markets are inversely correlated with the intensities with which traders use their private information about the fundamental value of the asset. Received May 28, 1999; revised version: May 28, 1999