| 1. |
- Asgharian, Hossein, et al.
(författare)
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Green links : corporate networks and environmental performance
- 2023
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Ingår i: Review of Finance. - 1572-3097 .- 1875-824X.
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Tidskriftsartikel (refereegranskat)abstract
- We investigate the propagation of environmental performance among competitors and in customer–supplier relationships. We find a significant causal effect among competitors, while the propagation from customers to suppliers and vice versa appears insignificant or does not survive identification tests. The effect is stronger among firms in highly concentrated competitor networks and toward firms with less market and bargaining power than their competitors. We also find significantly stronger propagation of environmental performance among competitors engaged in joint research and development activity. These results show that the propagation stems from both competitive pressure and technological spillover. Importantly, we find that propagation is strong when the competitor improves its environmental performance and when the firm’s own environmental performance is poor initially, alleviating concerns that improvements in performance are concentrated among firms, which are already green. Overall, network effects among competing firms are a significant force shaping environmental performance, and a force mostly for good.
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| 2. |
- Borowiecki, Karol Jan, et al.
(författare)
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The great margin call : The role of leverage in the 1929 Wall Street crash
- 2023
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Ingår i: Economic history review. - : Wiley. - 0013-0117 .- 1468-0289. ; 76:3, s. 807-826
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Tidskriftsartikel (refereegranskat)abstract
- The reasons for the 1929 Wall Street crash and why it occurred at the particular time that it did are still debated among economic historians. We contribute to this debate by building on a new model, which provides a measure of the financial system's potential for financial crises. The evidence suggests that a tightening of margin requirements in the first nine months of 1929 combined with price declines in September and early October caused enough investors to become constrained that the market was tipped into instability, triggering the sudden crash of October and November.
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| 3. |
- Dzieliński, Michał, et al.
(författare)
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Asymmetric attention and volatility asymmetry
- 2018
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Ingår i: Journal of Empirical Finance. - : Elsevier BV. - 0927-5398 .- 1879-1727. ; 45, s. 59-67
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Tidskriftsartikel (refereegranskat)abstract
- Analyzing a large sample of U.S. firms, we show that the asymmetry of stock return volatility is positively related to investor attention and differences of opinion. Using the number of analysts following a given firm to capture attention and the dispersion in analyst forecasts as a common proxy for differences of opinion, we show that the two effects are complementary. Furthermore, the effect of attention is strongest among stocks with low institutional ownership and high idiosyncratic volatility. Our results are robust to the traditional “leverage effect” explanation of volatility asymmetry. The findings relate to the previously documented relationship between attention and volatility and suggest that volatility asymmetry is driven by asymmetric attention.
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| 4. |
- Dzieliński, Michał, et al.
(författare)
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Climate Talk in Corporate Earnings Calls
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- Climate change is a major concern for many companies, but it has not historically featured much in earnings conference calls. We find a marked increase in climate talk on these calls in recent years. We also find that climate talk is negatively related to the change in CO2 emissions (especially Scope 2) in the year after the call, particularly in firms with high overall environmental and governance ratings. Conversely, investors react particularly negatively to climate talk when it comes from a firm with low levels of ESG performance or following poor earnings performance. Finally, a firm employs more climate talk when it is more material, when there is greater shareholder pressure or when it is better prepared for climate-related disclosure. Overall, these results suggest that investors and other stakeholders interested in corporate climate action should be paying attention to earnings conference calls as a source of useful information about companies’ broader stance on climate-related issues.
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| 5. |
- Dzieliński, Michał, et al.
(författare)
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Market Fragmentation, Liquidity, and Efficiency
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- This paper uses a unique quasi-natural experiment to study the market quality effects of market fragmentation across stock exchanges. In July 2019, following the breakdown of EU-Swiss equivalence rules, the Swiss stock markets transitioned from being fragmented to being centralized. As the event was non-gradual (fragmentation went from 31% to zero overnight), widely anticipated, and unrelated to technological developments, strong identification was possible. The main result is that greater market fragmentation leads to greater market tightness and depth without affecting market efficiency. The results confirm theoretical predictions that market fragmentation boosts liquidity through quote competition across exchanges.
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| 6. |
- Dzieliński, Michał, et al.
(författare)
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Perceptions about quarterly earnings: Rhetorical differences comparing Sweden and the USA.
- 2020
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Ingår i: Sweden through the crisis. - Stockholm : Stockholm School of Economics Institute for Research. - 9789186797386 ; , s. 157-163
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Bokkapitel (övrigt vetenskapligt/konstnärligt)abstract
- In this article, Michał Dzieliński and Florian Eugster compare earnings calls from Swedish and American companies from January 2019 to May 2020. Analyzing 3,677 transcripts, the authors find that COVID-19 clearly impacted companies’ financial communication regardless of country. However, comparing the countries, it is also shown that Swedish companies were more positive and less uncertain about the future. If these differences are caused by a better underlying performance or different rhetorical strategies in Sweden and the USA remains to be seen for future research.
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| 7. |
- Menkveld, Albert J., et al.
(författare)
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Nonstandard Errors
- 2024
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Ingår i: JOURNAL OF FINANCE. - : Wiley-Blackwell. - 0022-1082 .- 1540-6261. ; 79:3, s. 2339-2390
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Tidskriftsartikel (refereegranskat)abstract
- In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty-nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
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| 8. |
- Qu, Chengcheng, 1993-
(författare)
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Competition, Division and Unity : The Impact of Market Structures on Trading Quality
- 2024
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- The financial market operates as an ecosystem, involving diverse yet interconnected marketplaces and participants. Market design, intricately interacting with technology, regulation, and competition, shapes how participants adapt their trading behavior and therefore influences market performance. This dissertation investigates how market microstructure impacts the behavior of fast and slow traders, the incentive for liquidity provision and liquidity demand, and the competition between exchanges for gaining order flow.Article I examines a strategic solution to the concern that fast arbitrageurs make liquidity provision more costly by picking off quotes before market makers have time to revise them. The solution in question was to prohibit proprietary traders from engaging in liquidity taking, which prevents fast arbitrageurs from sniping market makers’ stale quotes. The results reveal that the trading ban mitigated adverse selection costs and narrowed the bid-ask spread. Market makers experienced higher profits and quoted higher volumes at better prices. The ban successfully eliminated over half of cross-exchange toxic arbitrage trades.Article II evaluates the market quality effects of market fragmentation. The study leverages a quasi-natural experiment, which occurred when the Swiss stock markets suddenly transitioned from fragmentation to centralization in July 2019, following the breakdown of EU-Switzerland equivalence rules. Because this event was unrelated to technological developments, and did not disrupt trading, it establishes a firm ground for identifying the effect of fragmentation. The key finding is that greater market fragmentation improves market liquidity, as captured by bid-ask spreads and depth, while it does not impact market efficiency. These results align with theoretical predictions stating that market fragmentation improves liquidity through quote competition across exchanges.Article III studies the role of restrictions on the minimum tick size and the minimum lot size for determining transaction costs at the futures market. The arrangement of minimum tick and lot sizes by regulators constrains trading at discrete prices and quantities. The study demonstrates, both theoretically and empirically, a trade-off between the restrictions of discrete price and discrete quantity. Given this tradeoff, a futures exchange can minimize futures transaction costs by choosing the optimal futures price. That is, when the futures price is high, it is also relatively more continuous, and the futures quantity is relatively more discrete, compared to the case when the futures price is low. In other words, when the futures price is high rather than low, the lot size restriction causes relatively more friction than the tick size restriction and vice versa. The empirical results strongly support the model.
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