We empirically compare the reliability of the dividend (DIV) model, the residual income valuation (CT, GLS) model, and the abnormal earnings growth (OJ) model. We find that valuation estimates from the OJ model are generally more reliable than those from the other three models, because the...

We examine the impact of information asymmetry on a firm's capital structure decisions with a unique information rating scheme that draws from 114 measures over five dimensions of information disclosures on each firm from 2006 to 2012. We found that a firm with high (low) information rating is...

Based on the macro-financial risk framework of Gray et al. (2006) that links the balance sheets of the financial sector and public sector together through government guarantees, we propose an indicator, sovereign distance-to-default (SDD), for implementing the countercyclical capital buffer...

This study examines how heterogeneous institutional ownership affects stock price delay. Our result shows higher total institutional ownership and the number of institutions reduce price delay. We further classify institution types from stock's perspective (top 5 and year-long) and institution's...

We examine the relationship between portfolio risk and equity returns over different investment horizons of institutional investors. Compared to long-term institutions, portfolios held by short-term institutions exhibit higher factor loadings in market, size, and momentum. In particular, they...

This study examines the relationship between information disclosures and firm value under different levels of product market competition. Using a unique information rating scheme that draws from 114 measures over five dimensions of information disclosure from 2005 to 2013, we find that firms...