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on Market Microstructure |
| By: | David Hirshleifer; Yushui Shi; Weili Wu |
| Abstract: | We examine how sell-side equity analysts strategically disclose information of differing quality to the public versus the buy-side mutual fund managers to whom they are connected. We consider cases in which analysts recommend that the public buys a stock, but some fund managers sell it. We measure favor trading using mutual fund managers’ votes for analysts in a Chinese “star analyst” competition. We find that managers are more likely to vote for analysts who exhibit more “say-buy/whisper-sell” behavior with these managers. This suggests that analysts introduce noise in their public recommendations, making the more-precise information provided to their private clients more valuable. Analysts’ say-buy/whisper-sell behavior results in information asymmetry: the positive-recommendation stocks bought by the managers who vote for the analysts outperform the stocks sold by these managers after the recommendation dates. Our findings help explain several puzzles regarding analysts’ public recommendations. |
| JEL: | G12 G14 G2 G23 G24 G3 M41 |
| Date: | 2022–05 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:30032&r= |
| By: | Scott R. Baker; Nicholas Bloom; Steven J. Davis; Marco Sammon |
| Abstract: | We examine next-day newspaper accounts of large daily jumps in 16 national stock markets to assess their proximate cause, clarity as to cause, and the geographic source of the market-moving news. Our sample of 6,200 market jumps yields several findings. First, policy news â€" mainly associated with monetary policy and government spending â€" triggers a greater share of upward than downward jumps in all countries. Second, the policy share of upward jumps is inversely related to stock market performance in the preceding three months. This pattern strengthens in the postwar period. Third, market volatility is much lower after jumps triggered by monetary policy news than after other jumps, unconditionally and conditional on past volatility and other controls. Fourth, greater clarity as to jump reason also foreshadows lower volatility. Clarity in this sense has trended upwards over the past century. Finally, and excluding U.S. jumps, leading newspapers attribute one-third of jumps in their own national stock markets to developments that originate in or relate to the United States. The U.S. role in this regard dwarfs that of Europe and China. |
| Keywords: | Stock markets, upward and downward jumps, newspapers |
| Date: | 2021–08–13 |
| URL: | http://d.repec.org/n?u=RePEc:cep:cepdps:dp1789&r= |
| By: | Kerssenfischer, Mark; Schmeling, Maik |
| Abstract: | What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events. We find that news account for about 50% of all bond and stock price movements in the United States and euro area since 2002, suggesting that a much larger share of return variation can be traced back to observable news than previously thought. Moreover, we provide stylized facts about the type of news that matter most for asset prices, the persistence of news effects, and spillover effects between the US and euro area. |
| Keywords: | Macro news,Asset prices,High-Frequency Identification,Event Database |
| JEL: | E43 E44 G12 G14 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdps:162022&r= |