The paper extends the time-series financial news data set constructed by Garcia (2013) and uses it to examine whether financial news predicts returns of Islamic stocks differently compared to ...non-Islamic (conventional) stocks. We find that they do. First, while both positive and negative worded news predict most Islamic and conventional stock returns, positive words have a larger impact on both types of stock returns. Second, shock to returns from financial news reverses only in part for some stocks. Third, for a mean-variance investor, investing in Islamic stocks is relatively more profitable than investing in the corresponding conventional stocks. Fourth, we show that profits are robust to a range of time-series risk factors, namely, market risk, size-based risk, and momentum-induced risk.
•Financial news predicts most Islamic and conventional stock returns.•Positive worded news has is relatively more important for stock returns.•Shock to returns from financial news reverses only in part for some stocks.•A mean-variance investor investing in Islamic stocks makes more profits.•Profits are robust to a range of time-series risk factors.
•Carbon emissions trading inhibits green technology innovation in the short run.•Carbon emissions trading will reduce the carbon emissions and carbon intensity greatly at this stage.•Carbon emissions ...trading has a crowding-out effect on R&D investment and increases the carbon trading price, which inhibited green technology innovation.•It is necessary to control the scale of carbon emission quota and diversify the subjects of carbon trading.
Carbon emissions trading is an important measure to promote high-quality economic development. Based on the panel data of 30 provincial administrative regions in China from 2008 to 2017, this paper uses the difference-in-differences method to analyze the impact of carbon emissions trading on green technology innovation. The results show that: (1) Carbon emissions trading inhibits green technology innovation in the current stage, but greatly reduces carbon emissions and carbon intensity; (2) Carbon price and R&D investment are the mainly working channels, carbon emissions trading has a crowding-out effect on corporates’ R&D investment and increases the carbon trading price, which in turn inhibits green technology innovation; (3) Carbon emissions trading has a stronger inhibitory effect on green technology innovation in eastern regions and regions with low emission intensity. Local government competition positively moderates the green technology innovation effect of carbon emissions trading. However, the command-controlled environmental regulations and the scale of the carbon emission quota have opposite effects, with the compatibility of environmental regulation tools remaining to be resolved. Therefore, it is necessary to control the scale of carbon emission quota to diversify the subjects of carbon trading and strengthen the impact of market-incentive environmental regulation tools.
Do fire sales create externalities? Chernenko, Sergey; Sunderam, Adi
Journal of financial economics,
03/2020, Letnik:
135, Številka:
3
Journal Article
Recenzirano
We develop three novel measures of the incentives of equity mutual funds to internalize the price impact of their trading. We show that mutual funds with stronger incentives to internalize their ...price impact accommodate inflows and outflows by adjusting their cash buffers instead of trading in portfolio securities. As a result, stocks held by these funds have lower volatility, and flows out of these funds have smaller spillover effects on other funds holding the same securities. Our results provide evidence of meaningful fire sale externalities in the equity mutual fund industry.
Which past returns affect trading volume? Glaser, Markus; Weber, Martin
Journal of financial markets (Amsterdam, Netherlands),
02/2009, Letnik:
12, Številka:
1
Journal Article
Recenzirano
Odprti dostop
Anecdotal evidence suggests and recent theoretical models argue that past stock returns affect subsequent stock trading volume. We study 3,000 individual investors over a 51 month period to test this ...apparent link between past returns and volume using several different panel regression models (linear panel regressions, negative binomial panel regressions, Tobit panel regressions). We find that both past market returns as well as past portfolio returns affect trading activity of individual investors (as measured by stock portfolio turnover, the number of stock transactions, and the propensity to trade stocks in a given month). After high portfolio returns, investors buy high risk stocks and
reduce the number of stocks in their portfolio. High past market returns do not lead to higher risk taking or underdiversification. We argue that the only explanations for our findings are overconfidence theories based on biased self-attribution and differences of opinion explanations for high levels of trading activity.
The study aims to employ the difference-in-differences method and mediating effect model to assess panel data of 267 prefectural-level cities in Chinese 30 provinces from 2003 to 2016 and empirically ...examines whether the Emissions Trading System pilot has realized collaborative governance effects upon air pollution. This study verifies the rationality of the element design of China's Emissions Trading System pilot from the perspective of environmental effects. The results indicate that the China's Emissions Trading System pilot does have a significant ‘reduction effect’ on haze pollution concentration level, which is probably achieved by ‘boosting the application and transformation of green technologies among enterprises’ and ‘transferring heavily polluted industries’. Moreover, the total quota allocation, total number of incorporated enterprises and the entry of institutional and individual investors were not the significant influencing factors for reducing haze pollution, while the transaction volume of China Certified Emission Reduction and the total penalty amounts incurred play significant roles. The heterogeneity test shows that only Guangdong province's policy has a significantly negative effect on haze pollution concentration. This study provides a new way of thinking for the coordinated governance mode by combining environmental governance and carbon trading scheme. The experiential evidence strongly supports the establishment and improvement of China's Emissions Trading System pilots and the implementation of a unified national carbon market.
•The DID method and mediating effect model are employed.•The carbon trading pilot policy has two effects on haze pollution concentration.•The ‘haze reduction effect’ is probably achieved in two ways.•Three factors are not proved to be significant for reducing haze pollution.•Policy effects of 7 carbon dioxide emission pilot cities in China are investigated.
Many stock exchanges choose to reduce market transparency by allowing traders to hide some or all of their order size. We study the costs and benefits of order exposure and test hypotheses regarding ...hidden order usage using a sample of Euronext-Paris stocks, where hidden orders represent 44% of the sample order volume. Our results support the hypothesis that hidden orders are associated with a decreased probability of full execution and increased average time to completion, and fail to support the alternate hypothesis that order exposure causes defensive traders to withdraw from the market. However, exposing rather than hiding order size increases average execution costs. We assess the extent to which non-displayed size is truly hidden and document that the presence and magnitude of hidden orders can be predicted to a significant, but imperfect, degree based on observable order attributes, firm characteristics, and market conditions. Overall, the results indicate that the option to hide order size is valuable, in particular, to patient traders.
We examine the sociomaterial regulation of algorithmic trading against the background of the European Union's directives on Markets in Financial Instruments (MiFID/MiFIR). Tracing the purification ...and translation of regulatory practices within a French brokerage firm, we examine the impact of electronic trading on the nature of market access. Central to our analysis is the 'Blackbox', a tool designed to manage market access efficiently by collating trade flows and automatically pairing them with trading algorithms. Our findings show that, through a process of 'abstracting', purification and translation are kept strictly separate, allowing the broker to meet the regulatory requirements de jure whilst retaining de facto the unregulated advantages of high-speed materiality. We discuss the implications for both the policy and practice of high-speed financial trading.
I document a new stylized fact about how investors trade assets: individuals are more likely to sell the extreme winning and extreme losing positions in their portfolio ("the rank effect"). This ...effect is not driven by firm-specific information, holding period or the level of returns itself, but is associated with the salience of extreme portfolio positions. The rank effect is exhibited by both retail traders and mutual fund managers. The effect indicates that trades in a given stock depend on how the stock compares to other positions in an investor's portfolio.
We show that, after the revelation of corporate fraud in a state, household stock market participation in that state decreases. Households decrease holdings in fraudulent as well as nonfraudulent ...firms, even if they do not hold stocks in fraudulent firms. Within a state, households with more lifetime experience of corporate fraud hold less equity. Following the exogenous increase in fraud revelation due to Arthur Andersen's demise, states with more Arthur Andersen clients experience a larger decrease in stock market participation. We provide evidence that the documented effect is likely to reflect a loss of trust in the stock market.
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