This paper investigates the influence of information asymmetry on the cross-sectional variation of volume-return relation. We find that the dynamic volume-return relation within medium-size trades has the most significant response to the degree of information asymmetry. We also show that the...

This study investigates the influence of information asymmetry on the cross-sectional variation of volume-return relation in the context of Australian stock market. In particular, this paper extends current research by incorporating informed traders' trade-size preference as well as its impact...

This chapter investigates the influence of improved pre-trade transparency on the information content of the limit order book. Data from two natural experiments are examined: when the Sydney Futures Exchange increased the limit order book disclosure from the best bid and ask level to the best...

This paper investigates the patterns of directors' trades and returns around takeover announcements. We find that the pre-announcement net value (the difference between buy value and sell value) of directors' trading is positively related to acquirers' announcement period abnormal returns. This...

We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of trades is the most important variable driving...

We examine how year-over-year financial statement textual dissimilarity is related to the pricing of private debt contracts. Our findings support a higher loan spread for firms with high financial statement dissimilarity, independent from financial statement readability and comparability....

We examine the roles of dividends and leverage to mitigate agency problems within family firms in Indonesia. Using simultaneous equations, we find a significant negative association between family ownership and dividend payout and a two-way negative relation between dividend payout and leverage....

This study investigates the role of latency in market quality in the Australia Securities Exchange following the introduction of the Integrated Trading Platform (ITS) and ASXTrade. We find that the reduction in system latency from 70 miliseconds to 30 miliseconds (ITS) improved liquidity....

We examine the impact of bank loan announcements on stock liquidity. Using a comprehensive loan announcement sample over 14 years in Australia, we find that effective spreads and realized spreads of borrowers’ stocks fall after the announcements. The findings suggest these announcements send...