Diariamente se generan grandes volúmenes de información, especialmente en las redes sociales. El uso de esta información como insumo para el estudio del comportamiento de los agentes en el mercado de ...valores ha venido cobrando fuerza, especialmente en el campo del aprendizaje de máquina. Es por ello que, en este artículo se presenta un estudio de la capacidad predictiva de la información que generan los agentes del mercado en la red social StockTwits sobre la variación de la dirección del precio de una activo transado en la Bolsa de Valores de Nueva York, valiéndose de herramientas de minería de datos y algoritmos de aprendizaje de máquina
High volume of data is generated daily, especially on social networks. The usage of this data as a source in the study of the agent’s behavior in the stock market
have been gaining interest, specifically in the machine learning field. Hence, in this article; a study about the predictive power of this kind of data over the future price variation direction of a stock is made, using the texts published in the StockTwits social network and machine learning techniques.
The 1964 Securities Acts Amendments extended disclosures mandated of NYSE firms to most firms trading in the Over-the-Counter (OTC) market. Although some prior evidence suggests substantial value ...increases for OTC firms due to the “value enhancing” mandated disclosures, we find no statistical difference in announcement returns for OTC firms moving to the NYSE before and after the legislation. One purported advantage to investors from the 1964 legislation was increased financial reporting. Yet, we document that the bulk of OTC firms analyzed in prior studies was already providing investors financial information before the legislation. Apparently, investors did not value the mandated disclosures. We do find evidence that the NYSE benefited from the legislation by increasing the number of OTC firms switching to their exchange around its passage.
► The 1964 Securities Acts Amendments extended disclosure mandates to OTC firms. ► Prior literature suggests that the market highly valued these disclosure mandates. ► We find the disclosure mandates had no impact on OTC firm value. ► This is because most OTC firms were already making financial disclosures. ► The NYSE appears to be the primary beneficiary of the 1964 legislation.
Corporate scandals brought the issue of corporate governance to the forefront of the agendas of lawmakers and regulators in the early 2000s. As a result, Congress, the New York Stock Exchange, and ...the NASDAQ enacted standards to improve the quality of corporate governance, thereby enhancing the quantity and quality of disclosures by listed companies. We investigate the relationship between corporate governance strength and the quality of disclosures in pre-and post-regulation time periods. If cross-sectional differences in corporate governance policies affect the quality of financial disclosures, the quality of information available to analysts varies with such policies. Specifically, higher quality disclosures, produced as a result of strong corporate governance, should lead to more accurate and less dispersed analysts' forecasts. Our analysis suggests that voluntary implementation of stronger corporate governance enhanced the quality of disclosures in the pre-regulation period; however, exceeding current corporate governance standards does not appear to result in higher quality disclosures post-regulation. These results suggest that SOX and the stronger regulations enacted by U.S. exchanges were effective in reducing variation in the quality of financial information available to investors.
This paper reexamines the dynamic relation between intraday trading volume and return volatility of large and small NYSE stocks in two partitioned samples, with and without identifiable public news. ...We argue that the sequential information arrival hypothesis (SIAH) can be tested only in periods containing public news. After partitioning the sample into periods with and without public news, we find bi-directional Granger-causality between volume and volatility in the presence of public information as hypothesized by the SIAH. Our analysis further suggests that return volatility is higher in the periods with public news, while trading volume is significantly higher in the no-news period; perhaps owing to the importance of private information for trading stocks. Using the sample without public news, we find evidence that volume Granger-causes volatility without feedback. These results are broadly consistent with behavioral models like the overconfidence and biased self-attribution model of Daniel, K., Hirshleifer, D., Subrahmanyam, A., 1998. Investor psychology and security market under- and over-reactions. Journal of Finance 53, 1839–1885. It appears that overconfident investors overrate the precision of their private news signals and therefore trade too aggressively in the absence of public news; when public news arrives, investors’ biased self-attribution triggers excessive return volatility.
We hypothesize and test an inverse relation between liquidity and price volatility derived from microstructure theory. Two important facets of liquidity trading are examined: volume and noisiness. As ...represented by the expected turnover rate (volume) and realized average commission cost per share (noisiness) of NYSE equity trading, both facets are found negatively associated with the
ex post
and
ex ante
return volatilities of the NYSE stock portfolios and the NYSE composite index futures. Furthermore, the inverse association between noisiness and volatility is amplified in times of market crisis. The negative noisiness–volatility relation is also supported by our analysis on the effects of trade size on price volatility. The overall results demonstrate that volatility increases as noise trading declines.
Organizations derive their social identity from membership in formal groups and strive to maintain a positive social identity. When their social identity is threatened and group boundaries are ...permeable, organizations defect to other groups. This paper suggests that organizations receive identity-discrepant cues when in-group members defect to an out-group, but how organizations respond to such cues hinges on their social affiliations to the in-group, out-group, and defectors. A study of organizations that migrated from the NASDAQ stock market to the New York Stock Exchange reveals that strong ties to in-group members (NASDAQ members) reduced the impact of identity-discrepant cues and diminished defections. Conversely, strong ties to out-group members (NYSE members) enhanced the impact of identity-discrepant cues and increased defection. Proximity to defectors increased cross-overs-organizations followed defectors to whom they had direct ties. Implications for the study of embeddedness are outlined.
We propose a mechanism that relates asset returns to the firm's optimal listing choice. We use a theoretical model to show that a stock will be more liquid when it is listed on a market where ...'similar' securities are traded. We empirically examine the implications of our model using New York Stock Exchange (NYSE) and Nasdaq securities. We find that the return patterns of stocks that switch markets become more similar to the return patterns of securities listed on the new market prior to the switch. Stocks that are eligible to switch but stay put are more similar to securities listed on their market than to securities listed on the other market. Our results suggest that managers make listing decisions that enhance the liquidity of their firms' stocks. Reprinted by permission of Oxford University Press
France is famous for promoting national champions, notably by preventing foreign takeovers, but in 2005-2006, the French government allowed the New York Stock Exchange to take control of Euronext, a ...French-led pan-European company that includes the Paris Bourse. By mapping the public discourse surrounding this striking case of non-intervention, we explain why opponents of the transatlantic merger failed in their appeals to 'economic patriotism'. Discursive strategies designed to justify discrimination against territorially defined outsiders ran into several hurdles, including weak patriotic sentiments for the company concerned; a lack of patriotic alternatives to the proposed merger; and the questionable patriotic credentials of those demanding intervention. Our findings advance research on demand side of 'economic patriotism', including its discursive dimension. Beyond that, they inform research on business-government relations, and on the political implications of corporate ownership structures.
We show that the consolidation of orders is important for producing efficient prices, especially during times of high liquidity demand. The NYSE's centralized opening call market performs better than ...Nasdaq's decentralized opening process on typical trading days. The NYSE is much better than Nasdaq on witching days when index arbitrage activity subjects S&P 500 stocks to large, predictable, and mostly informationlessorder flow around quarterly futures contract expirations. Nasdaq opening price efficiency improves to NYSE levels once Nasdaq initiates a consolidated opening call in November 2004, but prices on the decentralized Nasdaq remain less efficient at other times of day.
Frozen Charters Hirst, Scott
Yale journal on regulation,
01/2017, Letnik:
34, Številka:
1
Journal Article
In 2012, the New York Stock Exchange changed its policies to prevent brokers from voting shares on corporate governance proposals when they have not received instructions from beneficial owners. ...Although the change was intended to protect investors and improve corporate governance, it has had the opposite effect: a significant number of U.S. public companies are no longer able to amend important parts of their corporate charters, despite the support of their boards of directors and overwhelming majorities of shareholders. Their charters are frozen. This Article provides the first empirical and policy analysis of the broker voting change and its significant unintended consequences. 1 provide empirical evidence that the broker voting change has resulted in the failure of more than fifty charter amendments at U.S. public companies, despite board approval and overwhelming shareholder support, and that hundreds more companies have frozen charters as a result of the change. The rule change has also made it more difficult to amend corporate bylaws and given some insiders a de-facto veto in proxy voting contests. These costs substantially outweigh the negligible benefits of the broker voting change. I compare a number of solutions to address these problems and identify several that would be preferable to the current approach.
PDF
