We investigate whether size and book-to-market values of equity (BM) are proxying for macroeconomic risk found in Chen, Roll, and Ross's (CRR) multifactor model or are measures of stocks' risk exposure to relative distress. We find that the role of size subsumes stocks' risk exposures associated...

This paper investigates whether different types of institutionshave discernible trading motives in response to portfoliodisclosures. Results show that banks, life insurance companies,mutual funds, and investment advisors who act as external managers generally have similar trading strategies....

This paper investigates whether different types of institutions have discernible trading motives in response to portfolio disclosures. Results show that banks, life insurance companies, mutual funds, and investment advisors who act as external managers generally have similar trading strategies....

The mortgage banking environment in Hong Kong is quite different from that in the U.S. For example, the secondary mortgage market and mortgage insurance only started after 1997. Using a large data set on mortgages, we examine empirically how mortgage rates in this market vary with various...

We study the 52-week high momentum strategy in international stock markets proposed by George and Hwang (2004). This strategy produces profits in 18 of the 20 markets studied, and the profits are significant in 10 markets. The 52-week high momentum profits still exist conditional on past...

We show that sorting reveals the time-varying market risk exposures of the firm-specific investment opportunity set. Sorting on the basis of firm characteristics uncovers information on firm-specific distress or growth, and this leads to more efficient estimation of conditional risk sensitivity....

This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multistep ahead characteristics of a non-parametric estimate of the...

This paper employs recently developed multivariate methods to study the predictability of international stock market returns. The authors find evidence of significant common predictable components within the Pacific, the European, and the North American stock markets using region-specific...