Jan 12, 2013

4 selected articles from “The Journal of Finance” – February 2013

The last edition of The Journal of Finance [link] came with good articles, related to financial engineering and capital markets that I would appreciate to list.

The Journal of Finance, one of the most prestigious finance journals, was established on 1946. Is one of the most cited journals with distinguished articles like “Portfolio Selection” [link] – Henry Markowitz.

The selected articles are:

1 • Ex Ante Skewness and Expected Stock Returns [abstract]
JENNIFER CONRAD, ROBERT F. DITTMAR and ERIC GHYSELS

This articles argues that statistical properties of financial data such kurtosis and skewness infer on prices movements.
The author finds relation of skewness, kurtosis and returns. The finding are good evidence that this statistical information of financial data can predict prices movements and can provide good insights for trades.

2 • Analyst Forecast Consistency [abstract]
GILLES HILARY and CHARLES HSU

The authors evidence one kind of market participant that make pressure on market that is: forecasters analysts. The study looks at the consistency of forecast errors and present an analysts careers view.

3 • Short-Selling Bans Around the World: Evidence from the 2007–09 Crisis  [abstract]
ALESSANDRO BEBER and MARCO PAGANO

According to the authors, the reaction of most stock exchange regulators by imposing bans or regulatory constraints on short selling was detrimental for market liquidity. It also reduce price discovery, increase bid-ask and lead to overpricing. 

4 • Liquidity Cycles and Make/Take Fees in Electronic Markets [abstract]
THIERRY FOUCAULT, OHAD KADAN and EUGENE KANDEL

The authors aim to address market dynamics when participants have different speeds and the effect on liquidity. The lack of liquidity is one of the concern and a varying make and take fees on real time can attract liquidity suppliers when the market momentarily lacks liquidity. The model proposed offers a starting point to analyze how make and take fees could be used to this end.


Rodrigo Sucupira Rodrigo Sucupira
Rodrigo is a Automation and Control Engineer - Escola Politécnica / USP. Interested on Financial Engineering, writes articles about Finance and Technology.
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