This study re-examines the return-volatility relationship and dynamics under a new VAR framework. By analyzing two model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we found an asymmetric volatility phenomenon in both...

This paper relates informed repurchases to firm information asymmetry. We propose a new measure of informed repurchases, which is based on causality tests relating repurchase information to firm returns. Our results indicate that informed repurchases show larger abnormal returns surrounding the...

We investigate the prediction of excess returns and fundamentals by financial ratios – dividend-price ratio, earnings-price ratio, and book-to-market ratio – by decomposing financial ratios into a cyclical component and a stochastic trend component. We find both components predict excess...

We examine the payout policy of U.S. firms over the period 1980-2008. Prior research indicates that firm characteristics, managerial preferences, and investor clienteles are all important factors in setting payout policy. We examine the roles of these factors and seek to determine which drives...

In this paper, we generalize Bernard and Thomas' (1990) "delayed response" hypothesis as an explanation of post-earnings-announcement drifts. By applying a modified version of Beveridge and Nelson's technique of decomposing a time-series process of earnings into permanent and temporary...

The dynamic effect of idiosyncratic risk on market returns has been debated recently. Previous studies examine the effect based on a regression of excess returns on one-lagged volatility. We claim this approach provides only a partial, limited picture of the dynamic effect of idiosyncratic risk...

Given the growth in the importance and popularity of share repurchases, we use an alternative time-series approach to test various hypotheses on share repurchases and dividends. Each hypothesis is formulated based on a Vector Autoregression (VAR) of relevant variables and characterized as...

In Asia, NASDAQ's success has helped prompt Singapore (SESDAQ), Japan (JASDAQ), Taiwan (TAISDAQ) and South Korea (KOSDAQ) to set up or formalize their own second board markets in the 1980s and early 1990s. In 1999, Malaysia (MESDAQ) and Hong Kong (GEM) also set up their second board markets....

In this study, we examine the patterns and determinants of share repurchases using firm-level data from seven major countries - Australia, Canada, France, Germany, Japan, the U.K., and the U.S.- over the period 1998-2006. We find that while non-U.S. firms do not repurchase shares as much as U.S....