Excess Turnover Research Articles

Capital Market Reaction to Additional Information: Market Feedback Versus Signaling Effect?

The association with information and capital market has long been thought as a potential research field for the Accounting and Finance, which are considered as one of the Puzzles-whether due to transfer the future performance effectively or market feedback by message itself? From this article about prospective financial information, market reaction to additional (explicit implicit) information had been verified using regression model. By virtue of excess turnover rates, it aims to analyze, test and interpret signaling effect. Additional information will be found to burst market reaction while I look at two competing hypotheses to explain this reaction. The first hypothesis is signaling hypothesis that assumes the insiders of information advantage to prevent market failure, and reduce information asymmetry; the second competing hypothesis assumes that the market transmits to users their valuation of the company. The main finding is to identify two conclusions: first, that cumulative abnormal return was significantly related with explicit additional information rather than implicit information. Second, as China market's unique system or institute, the two alternative hypotheses can not be fully compatible, but no absolute exclusion. Before the announcement market feedback effect is probably existed, but the signaling hypothesis has a comparative advantage, is superior to support market feedback hypothesis.

The Demographics of Fund Turnover

This article documents various demographic factors which influence mutual fund turnover including managerial experience, location, education, and gender. On average, funds in financial centers trade more but this excess turnover declines with experience. While most extra trading is concentrated among less experienced managers in financial centers, they do not outperform inexperienced managers located in smaller towns. Furthermore, managers in financial centers increase trading after good performance. This result is particularly strong for less experienced, more educated male fund managers investing in growth stocks and located in New York. Our results provide strong evidence that demographic factors influence fund manager trading behavior.

The economic and predictive value of trading volume growth: a tale of three moments

This work studies long-horizon return predictability of volume growth realizations. High-mean volume growth is argued to reduce estimation risk and high volatility and skewness are interpreted as factors which increase estimation risk. It is found that stocks with high-mean trading volume growth during the past 12 months experience strong positive excess returns that do not reverse themselves over the next 5-years. Stocks with high volatility and skewness of excess turnover growth have negative future risk-adjusted returns which are economically significant. The conclusion is that increases in trading volume growth are predictive of future returns.

Career-Hopping: Learning and Turnover in an Imperfect Labor Market

This paper studies a two-sector model of learning-by-doing that is partially transferable between sectors. There is a potential efficiency gain from intersectoral turnover when the sectors have different complementary production costs or learning curves of different steepness. If workers are liquidity constrained then there is a bias towards increased intersectoral turnover, resulting in socially inefficient career patterns. Excess turnover can even result in lower average productivity of workers in both sectors. If individual productivity is decreasing towards the end of the career, then a liquidity constraint on the young workers will also cause retirement to be delayed beyond the socially efficient retirement age.

International asset prices and portfolio choices under Bayesian learning

We calculate equilibrium asset prices and portfolio choices from a two-country OLG international asset pricing model under the assumption that investors are on a Bayesian learning path. Investors from both countries receive identical information flows, but domestic investors start off with less precise priors concerning foreign fundamentals. Learning is shown to produce first-order effects on the properties of asset prices, in the form of increased equity returns, volatility clustering, and time-varying correlations across national stock markets. Moreover, on a learning path, estimation risk generates portfolio biases similar to those observed empirically, i.e. a strong preference towards domestic securities and excessive turnover in foreign securities. These findings are robust to changes in prior beliefs, the calibration of initial information asymmetries, and the parameterization of the model. We use real GDP data for the US and Europe to calibrate the model and show that in the event of a financial liberalization during the 1970s, high excess returns, time-varying volatility, substantial home bias, and excess turnover should have been observed.

Home Bias and High Turnover in an Overlapping Generations Model with Learning

This paper develops a two-country OLG model under the assumption that investors are on a Bayesian learning path. While investors from both countries receive identical information flows, domestic investors start off with less precise prior beliefs concerning foreign fundamentals. On a learning path, differences in beliefs and estimation risk generate portfolio biases similar to those observed empirically: home bias in equity portfolios and trend-chasing in international flows. In addition, due to the higher volatility of the estimates of foreign state variables, our model produces excessive turnover in foreign securities as reported by Tesar and Werner (1995). We use real GDP data for the US and Europe to calibrate the model and produce simulations that show that under the assumption of a financial liberalization during the 1970s, substantial home bias and excess turnover should have been observed in the subsequent years.

A New Approach to the Duo-factor-model of Return and Volume

This paper introduces a recently developed consistent statistic by Bai and Ng (2002) to determine the number of factors in an approximate multifactor model. We use this new approach to study a recent work by Lo and Wang (2000), which shows that a multifactor asset-pricing model not only imposes factor restrictions on stock returns but on trading volume as well. We explicitly test their theoretical model restriction using individual stock and turnover data from NYSE and AMEX from 1962 to 1996. While we find that the duo-factor model captures a great deal of common variation of return and trading volume, the data rejects a model restriction that excess return and turnover have the same number of systematic factors. We decompose excess return and turnover into systematic and idiosyncratic components. We discover a significant increase in the variation of idiosyncratic turnover through time, analogous to the finding of a notable increase in firm-specific volatility by Campbell, Lettau, Malkiel and Xu (2001). We also find significant co-movements between volatility and turnover at the systematic levels. Our findings support the view that trading volume is not purely random but driven by trading activities associated with macroeconomic and firm news.

A Trading Volume Benchmark: Theory and Evidence

This paper provides a theoretical rebalancing benchmark for trading volume that delivers a connection between trading activity in individual stocks and market-wide volume. This model supports the empirical use of an adjustment for market-wide trading activity when filtering out normal trading volume. Data on a sample of large NYSE/AMEX firms support the usefulness of the benchmark. While 20% of the sample firms exhibit trading behavior that is consistent with the cross-sectional prediction of the rebalancing bench? mark, systematic deviations exist. An analysis of deviations from the benchmark allows a characterization of anomalous trading activity. I find that average excess turnover vs. the benchmark is positively related to option availability and institutional ownership and negatively related to firm size. The data do not yield a uniform conclusion on the effect of S&P 500 inclusion. S&P 500 inclusion does not significantly increase the trading of firms that are already trading above benchmark levels, but does result in additional trading for firms that undertrade the benchmark prior to inclusion. An investigation of individual firm market model regressions indicates that this is a useful methodology for filtering out the anomalous trading documented here.

Stereochemistry of cytochrome P-450 reactions.

AbstractGenerally, most enzymes have a high degree of substrate specificity. In contrast, one of the primary characteristics of the cytochrome P-450s is a lack of substrate specificity. Specific isozymes will not only oxidize a number of different substrates but will often transform a single substrate into a number of different products. Indeed, it appears that almost any organic molecule that can reach the active site of the enzyme will be oxidized. This high degree of chemical reactivity demands that there must be some structural feature that controls access to the active site in order to prevent excess turnover of endogenous substances critical to the normal functioning of the organism. The structural feature that serves this role is the lipoidal character of the enzyme complex which results from the fact that it is membrane bound. Thus, the known endogenous substrates for the cytochrome P-450s, the steroids, prostaglandins, and fat-soluble vitamins, are all highly lipophilic substances.