EXPRESS: Measuring the real-time stock market impact of firm-generated content

Firms increasingly follow an ‘always on’ philosophy, producing multiple pieces of firm-generated content (FGC) throughout the day. Current methodologies used in marketing are unsuited to unbiasedly capturing the impact of FGC disseminated intermittently throughout the day in stock markets characterized by ultra-high frequency trading. They also neither distinguish between the permanent (i.e. long-term) and temporary (i.e. short-term) price impacts nor identify FGC attributes capable of generating these price impacts. In this study, the authors define price impact as the impact on the variance of stock price. Employing a market microstructure approach to exploit the variance of high frequency changes in stock price the authors estimate the permanent and temporary price impacts of the firm-generated Twitter content of S&P 500 IT firms. The authors find that firm-generated tweets induce both permanent and temporary price impacts, which are linked to tweet attributes; valence and subject matter. Tweets reflecting only valence or subject matter concerning consumer or competitor orientation result in temporary price impacts, while those embodying both attributes generate permanent price impact; negative valence tweets about competitors generate the largest permanent price impacts. Building on these findings, the authors offer suggestions to marketing managers on the design of intraday FGC.

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Solute transport dynamics in small, shallow groundwater-dominated agricultural catchments: insights from a high-frequency, multisolute 10 yr-long monitoring study

Hydrology and Earth System Sciences ◽

10.5194/hess-17-1379-2013 ◽

2013 ◽

Vol 17 (4) ◽

pp. 1379-1391 ◽

Cited By ~ 54

Author(s):

A. H. Aubert ◽

C. Gascuel-Odoux ◽

G. Gruau ◽

N. Akkal ◽

M. Faucheux ◽

...

Keyword(s):

High Frequency ◽

Inorganic Carbon ◽

Shallow Groundwater ◽

Data Series ◽

Wet Season ◽

Transport Dynamics ◽

Agricultural Catchments ◽

Organic And Inorganic Carbon ◽

The Impact

Abstract. High-frequency, long-term and multisolute measurements are required to assess the impact of human pressures on water quality due to (i) the high temporal and spatial variability of climate and human activity and (ii) the fact that chemical solutes combine short- and long-term dynamics. Such data series are scarce. This study, based on an original and unpublished time series from the Kervidy-Naizin headwater catchment (Brittany, France), aims to determine solute transfer processes and dynamics that characterise this strongly human-impacted catchment. The Kervidy-Naizin catchment is a temperate, intensive agricultural catchment, hydrologically controlled by shallow groundwater. Over 10 yr, five solutes (nitrate, sulphate, chloride, and dissolved organic and inorganic carbon) were monitored daily at the catchment outlet and roughly every four months in the shallow groundwater. The concentrations of all five solutes showed seasonal variations but the patterns of the variations differed from one solute to another. Nitrate and chloride exhibit rather smooth variations. In contrast, sulphate as well as organic and inorganic carbon is dominated by flood flushes. The observed nitrate and chloride patterns are typical of an intensive agricultural catchment hydrologically controlled by shallow groundwater. Nitrate and chloride originating mainly from organic fertilisers accumulated over several years in the shallow groundwater. They are seasonally exported when upland groundwater connects with the stream during the wet season. Conversely, sulphate as well as organic and inorganic carbon patterns are not specific to agricultural catchments. These solutes do not come from fertilisers and do not accumulate in soil or shallow groundwater; instead, they are biogeochemically produced in the catchment. The results allowed development of a generic classification system based on the specific temporal patterns and source locations of each solute. It also considers the stocking period and the dominant process that limits transport to the stream, i.e. the connectivity of the stocking compartment. This mechanistic classification can be applied to any chemical solute to help assess its origin, storage or production location and transfer mechanism in similar catchments.

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The chemical signature of a livestock farming catchment: synthesis from a high-frequency multi-element long term monitoring

Hydrology and Earth System Sciences Discussions ◽

10.5194/hessd-9-9715-2012 ◽

2012 ◽

Vol 9 (8) ◽

pp. 9715-9741 ◽

Cited By ~ 2

Author(s):

A. H. Aubert ◽

C. Gascuel-Odoux ◽

G. Gruau ◽

J. Molénat ◽

M. Faucheux ◽

...

Keyword(s):

High Frequency ◽

Inorganic Carbon ◽

Shallow Groundwater ◽

Wet Season ◽

Livestock Farming ◽

Agricultural Catchments ◽

Organic And Inorganic Carbon ◽

Five Elements ◽

The Impact

Abstract. Assessing the impact of human pressures on water quality is difficult. First, there is a high temporal and spatial variability of climate and human activity. Second, chemical elements have their own characteristics mixing short and long term dynamics. High frequency, long-term and multi-element measurements are required. But, such data series are scarce. This paper aims at determining what the hydro-chemical particularities of a livestock farming catchment are in a temperate climatic context. It is based on an original and never published time series, from Kervidy-Naizin headwater catchment. Stream chemistry was monitored daily and shallow groundwater roughly every four month, for 10 yr and five elements (nitrate, sulphate, chloride, and dissolved organic and inorganic carbon). The five elements present strong but different seasonal patterns. Nitrate and chloride present a seasonal flush, all along or at the beginning of the wet season, respectively. Sulphate, organic and inorganic carbon present storm flushes, with constant or decreasing peaks throughout the wet season. These depicted nitrate and chloride patterns are typical of a livestock farming catchment. There, nitrate and chloride coming from organic fertilisation have been accumulating over years in the shallow groundwater. They are seasonally flushed when the groundwater connects to the stream. Sulphate, organic and inorganic carbon patterns do not seem specific to agricultural catchments. These elements are produced each year and flushed by storms. Finally, a generic classification of temporal patterns and elements is established for agricultural catchments. It is based on the distance of the source component to the stream and the dominant controlling process (accumulation versus production). This classification could be applied to any chemical element and help assessing the level of water disturbances.

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The Impact of International Sanctions on Russian Financial Markets

Economies ◽

10.3390/economies8040107 ◽

2020 ◽

Vol 8 (4) ◽

pp. 107

Author(s):

Mirzosaid Sultonov

Keyword(s):

Exchange Rate ◽

Stock Price ◽

Price Index ◽

The United States ◽

The European Union ◽

Stock Price Index ◽

The Exchange Rate ◽

Long Term Impact ◽

The Impact

Russia’s international comportment and geostrategic moves, particularly the invasion of Ukraine and the annexation of Crimea in 2014, caused a substantial change in its international economic and political relations. In response to Russia’s invasion, the United States of America, the European Union, and their allies imposed a series of sanctions. In this study, by applying an exponential generalized autoregressive conditional heteroscedasticity model to daily logarithmic returns of the ruble exchange rate and the closing price index of the Russian Trading System, we analyze how the returns and volatility of the exchange rate and the stock price index responded to the sanctions and oil price changes. The estimation results show that the sanctions have a significant positive short-term impact on exchange rate returns. Economic sanctions have a significant negative long-term impact on the returns and variance of the exchange rate and a significant positive long-term impact on the returns of the stock price index. Financial sanctions have a positive/negative long-term impact on the returns of the exchange rate/stock price index and a positive long-term impact on the variance of the exchange rate and the stock price index. Corporate sanctions have a positive long-term impact on exchange rate returns.

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The Price Impact of Lending Relationships

German Economic Review ◽

10.1111/geer.12057 ◽

2015 ◽

Vol 16 (3) ◽

pp. 367-389 ◽

Cited By ~ 10

Author(s):

Ingrid Stein

Keyword(s):

Strong Relationship ◽

Price Impact ◽

Bank Debt ◽

Relationship Strength ◽

Borrowing Costs ◽

Lending Relationships ◽

Relationship Length ◽

The Impact ◽

Over Time

Abstract This study analyzes the impact of bank relationships on a firm’s borrowing costs. We find that a firm’s borrowing costs decrease with relationship strength, proxied by the share of bank debt provided by the lender. Borrowing costs, however, rise with relationship length. While the increase over time is weak on average, bank-dependent borrowers face a substantial premium after several relationship years. Switching the lender initially leads to only a small price discount on average. However, the discount is considerable for borrowers that switch and had a strong relationship with their previous lender. Our results suggest that close lending relationships lead to benefits for the firm, but may also imply hold-up costs in the long term.

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LONG-TERM ADJUSTMENT OF CAPITAL STRUCTURE: EVIDENCE FROM SINGAPORE, HONG KONG AND TAIWAN

The Singapore Economic Review ◽

10.1142/s0217590812500270 ◽

2012 ◽

Vol 57 (04) ◽

pp. 1250027

Author(s):

TERENCE TAI-LEUNG CHONG ◽

DANIEL TAK-YAN LAW ◽

LIN ZOU

Keyword(s):

Hong Kong ◽

Capital Structure ◽

Stock Price ◽

Pecking Order ◽

Price Performance ◽

Growth Opportunity ◽

Timing Effects ◽

The Impact ◽

Internal Fund

This paper examines the impact of profitability, stock price performance and growth opportunity on the capital structure of firms in Singapore, Taiwan and Hong Kong. In contrast to Kayhan and Titman (2007), it is found that firms in these three Chinese-dominated economies strongly prefer debt to equity or internal fund financing. They also take advantage of stock price appreciation by issuing more shares. An adjustment model for debt ratios is estimated. The results suggest that the leverage ratios of these firms slowly adjust toward their target levels. Deviations from the target due to the pecking order and market timing effects are found to be significant.

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Interactions among High-Frequency Traders

Journal of Financial and Quantitative Analysis ◽

10.1017/s0022109017000485 ◽

2017 ◽

Vol 52 (4) ◽

pp. 1375-1402 ◽

Cited By ~ 9

Author(s):

Evangelos Benos ◽

James Brugler ◽

Erik Hjalmarsson ◽

Filip Zikes

Keyword(s):

High Frequency ◽

Comparison Group ◽

Equity Market ◽

Price Impact ◽

Investment Banks ◽

Order Flow ◽

Trading Activity ◽

Price Efficiency ◽

Price Pressure ◽

The Impact

Using unique transactions data for individual high-frequency trading (HFT) firms in the U.K. equity market, we examine the extent to which the trading activity of individual HFT firms is correlated with each other and the impact on price efficiency. We find that HFT order flow, net positions, and total volume exhibit significantly higher commonality than those of a comparison group of investment banks. However, intraday HFT order flow commonality is associated with a permanent price impact, suggesting that commonality in HFT activity is information based and so does not generally contribute to undue price pressure and price dislocations.

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The Italian TREETALKER NETWORK (ITT-Net): continuous large scale monitoring of tree functional traits and vulnerabilities to climate change

10.5194/egusphere-egu2020-20591 ◽

2020 ◽

Author(s):

Simona Castaldi ◽

Serena Antonucci ◽

Shahla Asgharina ◽

Giovanna Battipaglia ◽

Luca Belelli Marchesini ◽

...

Keyword(s):

Climate Change ◽

Real Time ◽

High Frequency ◽

Large Scale ◽

Operation Mode ◽

Cloud Services ◽

Long Term Monitoring ◽

The Impact ◽

Term Monitoring

The &#160;Italian TREETALKER NETWORK (ITT-Net) aims to respond to one of the grand societal challenges: the impact of climate changes on forests ecosystem services and forest dieback. The comprehension of the link between these phenomena requires to complement the most classical approaches with a new monitoring paradigm based on large scale, single tree, high frequency and long-term monitoring tree physiology, which, at present, is limited by the still elevated costs of multi-sensor devices, their energy demand and maintenance not always suitable for monitoring in remote areas. The ITT-Net network will be a unique and unprecedented worldwide example of real time, large scale, high frequency and long-term monitoring of tree physiological parameters. By spring 2020, as part of a national funded project (PRIN) the network will have set 37 sites from the north-east Alps to Sicily where a new low cost, multisensor technology &#8220;the TreeTalker&#174;&#8221; equipped to measure tree radial growth, sap flow, transmitted light spectral components related to foliage dieback and physiology and plant stability (developed by Nature 4.0), will monitor over 600 individual trees. A radio LoRa protocol for data transmission and access to cloud services will allow to transmit in real time high frequency data on the WEB cloud with a unique IoT identifier to a common database where big data analysis will be performed to explore the causal dependency of climate events and environmental disturbances with tree functionality and resilience.With this new network, we aim to create a new knowledge, introducing a massive data observation and analysis, about the frequency, intensity and dynamical patterns of climate anomalies perturbation on plant physiological response dynamics in order to: 1) characterize the space of &#8220;normal or safe tree operation mode&#8221; during average climatic conditions; 2) identify the non-linear tree responses beyond the safe operation mode, induced by extreme events, and the tipping points; 3) test the possibility to use a high frequency continuous monitoring system to identify early warning signals of tree stress which might allow to follow tree dynamics under climate change in real time at a resolution and accuracy that cannot always be provided through forest inventories or remote sensing technologies.To have an overview of the ITT Network you can visit www.globaltreetalker.org&#160;

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Option Pricing under Double Heston Model with Approximative Fractional Stochastic Volatility

Mathematical Problems in Engineering ◽

10.1155/2021/6634779 ◽

2021 ◽

Vol 2021 ◽

pp. 1-12

Author(s):

Ying Chang ◽

Yiming Wang ◽

Sumei Zhang

Keyword(s):

Brownian Motion ◽

Stochastic Volatility ◽

Stock Price ◽

Heston Model ◽

Characteristic Functions ◽

Option Prices ◽

Approximation Factor ◽

Numerical Result ◽

The Impact

We establish double Heston model with approximative fractional stochastic volatility in this article. Since approximative fractional Brownian motion is a better choice compared with Brownian motion in financial studies, we introduce it to double Heston model by modeling the dynamics of the stock price and one factor of the variance with approximative fractional process and it is our contribution to the article. We use the technique of Radon–Nikodym derivative to obtain the semianalytical pricing formula for the call options and derive the characteristic functions. We do the calibration to estimate the parameters. The calibration demonstrates that the model provides the best performance among the three models. The numerical result demonstrates that the model has better performance than the double Heston model in fitting with the market implied volatilities for different maturities. The model has a better fit to the market implied volatilities for long-term options than for short-term options. We also examine the impact of the positive approximation factor and the long-memory parameter on the call option prices.

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INTEREST RATE ADJUSTMENT AND STOCK MARKET – THE CASE STUDY OF CHINA

10.31410/eman.s.p.2021.31 ◽

2021 ◽

Author(s):

Ning Zeng ◽

◽

Xixi Li ◽

Keyword(s):

Interest Rate ◽

Stock Market ◽

Stock Price ◽

Price Index ◽

Stock Index ◽

Rate Adjustment ◽

Stock Price Index ◽

The Interest Rate ◽

The Impact

This paper examines the impact of interest rate adjustment on the stock market in China. We collect the interest rate adjustment periods from April 21, 1991 to October 24, 2015 since the estab¬lishment of the stock market. Through an Error Correction model together with Granger causality, we investigate responses of the stock index to interest rate adjustment. Our findings suggest that there is existing a long-term reverse relationship between interest rate adjustment and stock index. The impact of interest rate adjustment on stock index returns could not be long-term disequilibria, which will be corrected in short-time. Also, the interest rate is the granger cause of the stock price index, while the stock price index is not the granger cause of interest rate.

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The Impact Of Performance-Based CEO And CFO Compensation On Internal Control Quality

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v29i3.7791 ◽

2013 ◽

Vol 29 (3) ◽

pp. 913 ◽

Cited By ~ 3

Author(s):

Kevin Kobelsky ◽

Jee-Hae Lim ◽

Ranjini Jha

Keyword(s):

Financial Reporting ◽

Internal Control ◽

Stock Price ◽

Font Size ◽

Control Quality ◽

Primary Responsibility ◽

Performance Based Compensation ◽

Cfo Compensation ◽

The Impact

We examine the effects of compensation on the quality of internal control and provide the first evidence relating the time horizon of ex ante performance-based compensation incentives and internal control quality over financial reporting in the SOX 404 era. Specifically, we find that for CEOs and CFOs, the sensitivity of the option portfolio to stock price changes and the proportion of compensation received from long-term incentive plans are related to the propensity to report internal control weaknesses during the period 2004-2006. These effects are negative for long-term incentives but positive or insignificant for short-term incentives for both CEOs and CFOs, who have the primary responsibility for the financial reporting process. Compensation sensitivity is also more strongly related to more severe company-level than account-specific control weaknesses. This company-level weakness relation is stronger for the CFO, who has the primary responsibility for the processes generating financial information and for the financial reporting by the firm. Our findings indicate that SOX disclosures harness the power of compensation schemes to improve internal control quality.

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