本期主要包括三篇来自国际顶级期刊Journal of Financial Economics的论文，具体如下：
1.Windfall gains and stock market participation
Journal of Financial Economics
Volume 139, Issue 1
January 2021, Pages 57-83
Joseph Briggs
Federal Reserve Board of Governors
David Cesarini
New York University
Erik Lindqvist
Stockholm University and IFN
Robert Östling
Stockholm School of Economics
Abstract
We exploit the randomized assignment of lottery prizes in a large administrative Swedish data set to estimate the causal effect of wealth on stock market participation. A $150,000 windfall gain increases the stock market participation probability by 12 percentage points among prelottery nonparticipants but has no discernible effect on prelottery stock owners. A structural life cycle model significantly overpredicts entry rates even for very high entry costs (up to $31,000). Additional analyses implicate pessimistic beliefs regarding equity returns as a major source of this overprediction and suggest that both recent and early-life return realizations affect beliefs.
https://www.sciencedirect.com/science/article/pii/S0304405X20302245
2.Are return seasonalities due to risk or mispricing?
Journal of Financial Economics
Volume 139, Issue 1
January 2021, Pages 138-161
MattiKelo harju
Aalto University School of Business
Juhani T. Linnainmaa
Tuck School of Business and National Bureau of Economic Research
Peter Nyberg
Aalto University School of Business
Abstract
Stocks tend to earn high or low returns relative to other stocks every year in the same month (Heston and Sadka, 2008). We show these seasonalities are balanced out by seasonal reversals: a stock that has a high expected return relative to other stocks in one month has a low expected return relative to other stocks in the other months. The seasonalities and seasonal reversals add up to zero over the calendar year, which is consistent with seasonalities being driven by temporary mispricing. Seasonal reversals are economically large and statistically highly significant, and they resemble, but are distinct from, long-term reversals.
https://www.sciencedirect.com/science/article/pii/S0304405X20301951#!
3.The difference a day makes: Timely disclosure and trading efficiency in the muni market
Journal of Financial Economics
Volume 139, Issue 1
January 2021, Pages 313-335
John Chalmers
University of Oregon
Yu (Steve) Liu
Missouri S&T
Z. Jay Wang
University of Oregon
Abstract
The Real-Time Transaction Reporting System (RTRS) reduced the delay in reporting municipal bond trades from one-day to 15 min. We find a significant reduction in secondary market trading costs after the introduction of the RTRS. Our estimates imply that retail investors benefited primarily from reduced dealer intermediation costs, while large trades benefited from reductions in bargaining costs. Bonds experienced increases in trading volume across the liquidity spectrum. We find higher dealer capital commitment, longer intermediation chains, and fewer pre-arranged trades, all suggesting increased market-making incentives for dealers. These results are largely consistent with predictions from search-based models.
https://www.sciencedirect.com/science/article/pii/S0304405X20302257
