This paper investigates fractional share trading. We develop a latency-based method for identifying a large sample of fractional share trades. We find that high-priced stocks, meme stocks, IPOs, ...SPACs, and popular retail stocks exhibit considerable numbers of these tiny trades. We surmise that this reflects dollar-based order entry, with many tiny trades being fractional components of larger orders. We show that our fractional trade measure is predictive of future liquidity and volatility, suggesting a new metric to capture the information in retail trades. We identify how data and reporting protocols preclude knowing the extent of fractional share trading, inflate volume data, and provide censured samples of these off-exchange trades.
Share issuance and cash savings David McLean, R.
Journal of financial economics,
03/2011, Letnik:
99, Številka:
3
Journal Article
Recenzirano
Firms increasingly issue shares for the purpose of cash savings. During the 1970s, $1.00 of issuance resulted in $0.23 of cash savings; over the most recent decade, $1.00 of issuance resulted in ...$0.60 of cash savings. This increase is caused by increasing precautionary motives. Proxies for precautionary motives increase over the sample period, and firm-level increases in these proxies are associated with firm-level increases in share issuance–cash savings. Share issuance–cash savings are inversely related to issuance costs, suggesting that firms issue and save when costs are low, so as to avoid issuing when costs are high. This framework can also help explain patterns and trends in share issuance activity over time. Market timing does not explain these effects, as share issuance–cash savings are not related to post-issuance stock returns.
The impact of market share on financial firm performance is one of the most widely studied relationships in marketing strategy research. However, since the meta-analysis by Szymanski, Bharadwaj, and ...Varadarajan (1993), substantial environmental (e.g., digitization) and methodological (e.g., accounting for endogeneity) developments have occurred. The current work presents an updated and extended meta-analysis based on all available 863 elasticities drawn from 89 studies and provides the following new empirical generalizations: (1) The average raw market share-financial performance elasticity is . 132, which is substantially lower than the effectiveness of other intermediate marketing metrics. This result challenges a widely used strategy that solely focuses on increasing market share. (2) Elasticities differ significantly between contextual settings. For example, they are lower for business-to-business firms than for business-to-consumer firms, for service firms than for manufacturing firms, and for U.S. markets than for emerging and Western European markets. The authors also observe differences between countries with respect to a general time trend (e.g., lower elasticities in recent times for Western European markets) and recessionary periods (e.g., lower elasticities in the United States, higher elasticities in non-Western economies).
If trade barriers are managed by inefficient institutions, trade liberalization can lead to greater-than-expected gains. We examine Chinese textile and clothing exports before and after the ...elimination of externally imposed export quotas. Both the surge in export volume and the decline in export prices following quota removal are driven by net entry. This outcome is inconsistent with a model in which quotas are allocated based on firm productivity, implying misallocation of resources. Removing this misallocation accounts for a substantial share of the overall gain in productivity associated with quota removal.
While most firms do not grow, a small number of firms are able to maintain and accelerate their growth over time. Researchers, practitioners, and policymakers continue to question the factors which ...increase a firm's chances of growing rapidly and becoming a more powerful economic driver. Using a robust longitudinal data set from the United Kingdom (UK) during the period from 2000 to 2017, we investigate the propensity of firms to accelerate growth in sales, employment, market share, and productivity. We report varying effects of firm characteristics, industry competitive factors, and regional factors as drivers of accelerated growth. This study will help policymakers and firm managers understand the forces behind different types of acceleration, and it provides a foundation for future research on the speed of firm growth.
The article examines the use of discretionary production by key OPEC members to protect the long-term value of their reserves. Although interpretations vary on its behaviour and market power, the ...organisation sees its role as promoting the security of supply through stabilising markets while protecting market share and ensuring a fair return to capital. Given the new and perennial challenges facing its members, there are diverse views on how these policy objectives may be promoted. Using option theory, we argue that the market stabilisation policy of OPEC in effect, provides free risk management to the global market and conflicts fundamentally with its long-term objective of protecting market share through discouraging high-cost marginal producers. Abandoning this policy, the returns to marginal producers, adjusted for risk, would be reduced. As implications of our research, rather than creating a social good through mitigating price risk, OPEC should allow markets to be volatile and even consider using its discretionary buffer in a pro-cyclic manner, to protect the long-term value of its reserves.
The geopolitical risk (GPR) index and economic policy uncertainty (EPU) index are uncertainty measures, which are tightly linked with the oil markets. This paper attempts to compare and distinguish ...the macro effects of the two uncertainty indexes on the oil market. Using the data from January 1985 to September 2020, we identify the GPR and EPU shocks within a VAR framework using the max-share identification method. We find that the EPU shock is of greater importance to the oil market than the GPR shock quantitatively. The EPU shock has a more pronounced adverse impact on the oil market and accounts for a larger share of oil market variations. The two shocks are statistically correlated, but there is no difference between ‘truly’ EPU shock and the responses of the baseline scheme. The TVP-VAR analysis confirms our main findings and further show that both shocks have time-varying impacts on the oil market. Our conclusions remain valid under different identification schemes and indicators.
•We compare the macro effects of the GPR and EPU indexes on the oil market.•Max-share restrictions and orthogonal constraints are used to disentangle shocks.•The EPU shock has a larger adverse impact on the oil market than the GPR shock.•The effect of the EPU shock resembles that of a demand shock.•TVP-VAR analysis reveals that shocks have time-varying effects on the oil market.
We establish that the root cause of many goodwill write-offs is the buyers' overpriced shares at acquisition. Overpriced shares provide managers with strong incentives to exploit the overpricing by ...acquiring businesses, often paying more than the acquisition's synergies, setting the stage for subsequent goodwill write-offs. In particular, we document the following patterns: (1) Share overpricing is strongly and positively associated with the intensity of corporate acquisitions and the growth of accounting goodwill. (2) Share overpricing predicts goodwill write-offs and their magnitude. (3) Acquisitions by overpriced companies—a strategy often recommended by investment bankers and some academics—are often ill-advised (overpaid for and/or strategic misfit), exacerbating the post-acquisition negative returns of buyers beyond the reversal of the overpricing. Thus, managers' arguments notwithstanding, goodwill write-off is an important event highlighting a dysfunctional investment strategy.
This study examines how family ownership affects the performance and capital structure of 613 Canadian firms from 1998 to 2005. In particular, we distinguish the effect of family ownership from the ...use of control-enhancing mechanisms. We find that freestanding family owned firms with a single share class have similar market performance than other firms based on Tobin’s
q ratios, superior accounting performance based on ROA, and higher financial leverage based on debt-to-total assets. By contrast, family owned firms that use dual-class shares have valuations that are lower by 17% on average relative to widely held firms, despite having similar ROA and financial leverage.
This paper examines the cross-sectional relation between idiosyncratic volatility and expected stock returns. The results indicate that i) the data frequency used to estimate idiosyncratic ...volatility, ii) the weighting scheme used to compute average portfolio returns, iii) the breakpoints utilized to sort stocks into quintile portfolios, and iv) using a screen for size, price, and liquidity play critical roles in determining the existence and significance of a relation between idiosyncratic risk and the cross section of expected returns. Portfoliolevel analyses based on two different measures of idiosyncratic volatility (estimated using daily and monthly data), three weighting schemes (value-weighted, equal-weighted, inverse volatility-weighted), three breakpoints (CRSP, NYSE, equal market share), and two different samples (NYSE/AMEX/NASDAQ and NYSE) indicate that no robustly significant relation exists between idiosyncratic volatility and expected returns.
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