In this paper, we study the impact of noise traders' limited attention on financial markets. Specifically, we exploit episodes of sensational news (exogenous to the market) that distract noise ...traders. We find that on "distraction days," trading activity, liquidity, and volatility decrease, and prices reverse less among stocks owned predominantly by noise traders. These outcomes contrast sharply with those due to the inattention of informed speculators and market makers, and are consistent with noise traders mitigating adverse selection risk. We discuss the evolution of these outcomes over time and the role of technological changes.
Sustainability is receiving increasing attention from issuers, invest-ors, and regulators. The desire to understand issuer sustainability practices and their relationship to economic performance has ...resulted in a proliferation of sustainability disclosure regimes and standards. The range of approaches to disclosure, however, limits the comparability and reliability of the information disclosed. The Securities and Exchange Commission (SEC)'s longstanding policy that sustainability is not properly part of financial disclosure has contributed to the cur-rent regime. Although the SEC has solicited comment on whether to reverse this policy and require expanded sustainability disclosures in issuers' periodic financial reporting, and investors have communicated broad-based support for such expanded disclosures, the SEC to date still has not required general sustainability disclosure., Sustainability is receiving increasing attention from issuers, invest-ors, and regulators. The desire to understand issuer sustainability practices and their relationship to economic performance has resulted in a proliferation of sustainability disclosure regimes and standards. The range of approaches to disclosure, however, limits the comparability and reliability of the information disclosed. The Securities and Exchange Commission (SEC)’s longstanding policy that sustainability is not properly part of financial disclosure has contributed to the cur-rent regime. Although the SEC has solicited comment on whether to reverse this policy and require expanded sustainability disclosures in issuers’ periodic financial reporting, and investors have communicated broad-based support for such expanded disclosures, the SEC to date still has not required general sustainability disclosure.
Market-wide attention-grabbing events — record levels for the Dow and front-page articles about the stock market — predict the trading behavior of investors and, in turn, market returns. Both ...aggregate and household-level data reveal that high market-wide attention events lead investors to sell their stock holdings dramatically when the level of the stock market is high. Such aggressive selling has a negative impact on market prices, reducing market returns by 19 basis points on days following attention-grabbing events.
The market for U.S. Treasury securities is a marvel of modern finance. In 2009 the Treasury auctioned $8.2 trillion of new securities, ranging from 4-day bills to 30-year bonds, in 283 offerings on ...171 different days. By contrast, in the decade before World War I, there was only about $1 billion of interest-bearing Treasury debt outstanding, spread out over just six issues. New offerings were rare, and the debt was narrowly held, most of it owned by national banks. In Birth of a Market, Kenneth Garbade traces the development of the Treasury market from a financial backwater in the years before World War I to a multibillion dollar market on the eve of World War II. Garbade focuses on Treasury debt management policies, describing the origins of several pillars of modern Treasury practice, including "regular and predictable" auction offerings and the integration of debt and cash management. He recounts the actions of Secretaries of the Treasury, from William McAdoo in the Wilson administration to Henry Morgenthau in the Roosevelt administration, and their responses to economic conditions. Garbade's account covers the Treasury market in the two decades before World War I, how the Treasury financed the Great War, how it managed the postwar refinancing and paydowns, and how it financed the chronic deficits of the Great Depression. He concludes with an examination of aspects of modern Treasury debt management that grew out of developments from 1917 to 1939.
Monetary policy operations in corporate security markets confront central banks with choices that are traditionally perceived to be the prerogative of governments. This article investigates how ...central bankers legitimise corporate security purchases through a comparative study of the European Central Bank (ECB) and the Swiss National Bank (SNB). As we show, central bankers downplay the novelty of corporate security purchases by relying on familiar pre-crisis justifications of Central Bank Independence. Citing an ideal of 'market neutrality', central banks present corporate security purchases as pursuing a narrow objective of price stability and obfuscate their distributive consequences. In this way, central bankers depoliticise corporate security purchases: they reduce the potential for choice, collective agency, and deliberation concerning both the pursuit of corporate security purchases and the choices made in implementing these policies. We also describe the undesirable democratic, social and environmental dimensions of these practices, which we propose to address through enhanced democratic accountability.
A nation usually overhauls its financial regulations after a stock market crash or the collapse of its banking system. In 1967, France did something rare. Out of pure political expediency, Gaullist ...leaders and senior civil servants seized the opportunity offered by an insider-trading case and established an independent commission to regulate the securities market: the Commission des Opérations de Bourse, or COB. Despite their staunch defense of national sovereignty, these reformers drew their inspiration from an American model, the Securities and Exchange Commission.
Highlighting the international sources for national reform, Yves-Marie Péréon’s Moralizing the Market explores the dynamics of policy transfer in securities regulation—a subject that has rarely been considered from a historical perspective. That regulation has been used to attract investors and foster market development challenges the view that the French government only attempted to develop the stock market as part of a global wave of deregulation in the 1980s. Indeed, the creation of the COB reveals a great deal about the exercise of power in modern democracies, the interaction between business and government, and the mechanisms of institutional innovation.
Moralizing the Market will appeal to professors and students of economic history, international relations, and political science, as well as business and finance historians, policy makers, and professionals.
Extrapolation and bubbles Barberis, Nicholas; Greenwood, Robin; Jin, Lawrence ...
Journal of financial economics,
08/2018, Letnik:
129, Številka:
2
Journal Article
Recenzirano
Odprti dostop
We present an extrapolative model of bubbles. In the model, many investors form their demand for a risky asset by weighing two signals—an average of the asset’s past price changes and the asset’s ...degree of overvaluation—and “waver” over time in the relative weight they put on them. The model predicts that good news about fundamentals can trigger large price bubbles, that bubbles will be accompanied by high trading volume, and that volume increases with past asset returns. We present empirical evidence that bears on some of the model’s distinctive predictions.
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