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Author: Yinfei Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 155
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Book Description
In the second essay, I examine whether the cross-sectional NSI effect extends to the time-series level. I find that aggregate NSI negatively predicts future stock market returns, which is consistent with the cross-sectional NSI effect. The predicting power is statistically strong and economically large both in and out-of-sample. In addition, I provide evidence that the market-level net share issuance effect is stronger during periods with high investor sentiment. Moreover, aggregate net share issuance is not only positively related to contemporaneous and lagged stock market returns but also negatively related to analyst forecast errors. I interpret these findings as evidence that mispricing is more likely the source of the NSI effect.
Author: Yinfei Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 155
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Book Description
In the second essay, I examine whether the cross-sectional NSI effect extends to the time-series level. I find that aggregate NSI negatively predicts future stock market returns, which is consistent with the cross-sectional NSI effect. The predicting power is statistically strong and economically large both in and out-of-sample. In addition, I provide evidence that the market-level net share issuance effect is stronger during periods with high investor sentiment. Moreover, aggregate net share issuance is not only positively related to contemporaneous and lagged stock market returns but also negatively related to analyst forecast errors. I interpret these findings as evidence that mispricing is more likely the source of the NSI effect.
Author: William J. Atkinson
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 40
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Book Description
Author: Domenic Vitiello
Publisher: University of Pennsylvania Press
ISBN: 0812242246
Category : Business & Economics
Languages : en
Pages : 272
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Book Description
The Philadelphia Stock Exchange and the City It Made recounts the history of America's first stock exchange and the ways it shaped the growth and decline of the city around it. Founded in 1790, the Philadelphia Stock Exchange, its member firms, and the companies they financed had profound impacts on the city's place in the world economy. At its start, the exchange and its members helped spur the development of the early United States, its financial sector, and its westward expansion. During the nineteenth century, they invested in making Philadelphia the center of industrial America, raising capital for the railroads and coal mines that connected cities to one another and built a fossil fuel-based economy. After financing the Civil War, they underwrote the growth of the modern metropolis, its transportation infrastructure, utility systems, and real estate development. At the turn of the twentieth century, stagnation of the exchange contributed to Philadelphia's loss of power in the national and world economy. This original interpretation of the roots of deindustrialization holds important lessons for other cities that have declined. The exchange's revival following World War II is a remarkable story, but it also illustrates the limits of economic development in postindustrial cities. Unlike earlier eras, the exchange's fortunes diverged from those of the city around it. Ultimately, it became part of a larger, global institution when it merged with NASDAQ in 2008. Far more than a history of a single institution, The Philadelphia Stock Exchange and the City It Made traces the evolving relationship between the exchange and the city. For people concerned with cities and their development, this study offers a long-term history of the public-private partnerships and private sector-led urban development popular today. More generally, it traces the networks of firms and institutions revealed by the securities market and its participants. Herein lies a critical and understudied part of the history of metropolitan economic development.
Author: Fang Cai
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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Book Description
In this study, we explore the dynamics of the relation between institutional trading and stock returns. We find that stock returns Granger-cause institutional trading (especially purchases) on a quarterly basis. The robust and significant causality from equity returns to institutional trading can be largely explained by the time-series variation of market returns, that is, institutions buy more popular stocks after market rises. Stock returns appear to be negatively related to lagged institutional trading. An analysis of the behavior of trading and the returns of the traded stocks reveals evidence that stocks with heavy institutional buying (selling) experience positive (negative) excess returns over the previous 12 months.
Author: Bradford D. Jordan
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 40
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Book Description
This paper examines that stock price performance of savings institutions that have converted to the stock form of organization. Using event-study methodology, the study focuses on the returns to initial shareholders in the period immediately following initial trading. The results of the study indicate that there are significant positive returns in savings institution conversions in the first several trading days, indicating a one-time wealth transfer from depositors not extracting their rights to the initial shareholders. The results also attest to the efficiency of the market as the market price adjusts quickly in the first two days of trading after the public offering.
Author: Martijn Cremers
Publisher:
ISBN:
Category :
Languages : en
Pages : 11
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Book Description
This paper examines how the extent of short-term trading relates to the efficiency of stock prices. We employ a new duration measure based on quarterly institutional investors' portfolio holdings, next to existing proxies such as trading volume, the percentage of transient institutions, and fund turnover. Momentum returns and subsequent returns reversal are generally much stronger for stocks held primarily by short-term investors, especially if these investors recently had superior recent performance which could make them overconfident. Our results point towards the behavioral theory in Daniel, Hirshleifer and Subrahmanyam (1998) and seem inconsistent with short-term institutions improving efficiency.The paper "Short-Term Trading and Stock Return Anomalies: Momentum, Reversal, and Share Issuance" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=1571191 http://ssrn.com/abstract=1571191.
Author: F. Douglas Foster
Publisher:
ISBN:
Category :
Languages : en
Pages : 50
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Book Description
Using a unique database of daily transactions from Australian equity managers, we investigate the relation between institutional trading and share returns. The 34 institutional investors included in our sample exhibit a statistically and economically significant ability to predict large capitalization share returns for the ten days following their trades. Detailed analysis indicates that investment manager style is important in understanding the link between institutional trading and stock returns. The contemporaneous relation between institutional trading and returns depends on trade size, broker use, and investment style. We find growth-oriented managers are momentum traders, while style-neutral and value managers are contrarian.
Author: Merritt B. Fox
Publisher:
ISBN: 9781982966850
Category : Securities
Languages : en
Pages : 476
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Book Description
Author: Merritt B. Fox
Publisher: Columbia University Press
ISBN: 023154393X
Category : Business & Economics
Languages : en
Pages : 612
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Book Description
The U.S. stock market has been transformed over the last twenty-five years. Once a market in which human beings traded at human speeds, it is now an electronic market pervaded by algorithmic trading, conducted at speeds nearing that of light. High-frequency traders participate in a large portion of all transactions, and a significant minority of all trade occurs on alternative trading systems known as “dark pools.” These developments have been widely criticized, but there is no consensus on the best regulatory response to these dramatic changes. The New Stock Market offers a comprehensive new look at how these markets work, how they fail, and how they should be regulated. Merritt B. Fox, Lawrence R. Glosten, and Gabriel V. Rauterberg describe stock markets’ institutions and regulatory architecture. They draw on the informational paradigm of microstructure economics to highlight the crucial role of information asymmetries and adverse selection in explaining market behavior, while examining a wide variety of developments in market practices and participants. The result is a compelling account of the stock market’s regulatory framework, fundamental institutions, and economic dynamics, combined with an assessment of its various controversies. The New Stock Market covers a wide range of issues including the practices of high-frequency traders, insider trading, manipulation, short selling, broker-dealer practices, and trading venue fees and rebates. The book illuminates both the existing regulatory structure of our equity trading markets and how we can improve it.
Author: Kenneth Froot
Publisher:
ISBN:
Category :
Languages : en
Pages : 49
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Book Description
This paper explores institutional investor trades in stocks grouped by style and the relationship of these trades with equity market returns. It aggregates transactions drawn from a large universe of approximately $6 trillion of institutional funds. To analyze style behavior, we assign equities to deciles in each of five style dimensions: size, value/growth, cyclical/defensive, sector, and country. We find, first, strong evidence that investors organize and trade stocks across style-driven lines. This appears true for groupings both strongly and weakly related to fundamentals (e.g., industry or country groupings versus size or value/growth deciles). Second, the positive linkage between flows and returns emerges at daily frequencies, yet becomes even more important at lower frequencies. We show that quarterly decile flows and returns are even more strongly positively correlated than are daily flows and returns. However, as the horizon increases beyond a year, we find that the flow/return correlation declines. Third, style flows and returns are important components of individual stock expected returns. We find that nearby style inflows and returns positively forecast future returns while distant style inflows and returns forecast negatively. Fourth, we find strong correlations between style flows and temporary components of return. This suggests that behavioral theories may play a role in explaining the popularity and price impact of flow-related trading.
