This paper analyzes the intraday interdependence of price movements and order flows for actively traded NYSE stocks and their CBOE-traded options. Stock net-buy volume (buyer-initiated volume minus seller-initiated volume)has strong predictive ability for subsequent stock and option returns, but...

We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks. We confirm previous findings that stocks have a U-shaped spread pattern; however, the options display a very different intraday pattern--one that declines sharply after...

We study the impact of exchange rate fluctuations and political risk on the risk premiums reflected in cross- sections of individual equity returns from Mexico, a country which has experienced significant monetary and political turbulence. Indicators from Mexico's currency and sovereign debt...

We study the impact of exchange rate fluctuations and political risk on the risk premiums reflected in cross- sections of individual equity returns from Mexico, a country which has experienced significant monetary and political turbulence. Indicators from Mexico's currency and sovereign debt...

Corporations in developing countries with foreign investment restrictions have begun to issue convertible bonds overseas. Given low covariance of emerging market equity returns with global economic risks, foreign investors should place a relatively high value on these bonds. We use price data...

This paper reexamines the predictability of stock returns with a nonparametric model. We first identify, through a set of diagnostic tests, five lagged predictive factors from a linear model. Using these factors, we predict one-month- ahead stock index returns with a nonparametric approach. We...

Unlike previous studies that examine how emerging market return volatility changes subsequent to stock market liberalization, this paper investigates the impact of investibility, or the degree to which a stock can be foreign-owned, on emerging market volatility. We find a positive relation...

This study celebrates the tenth anniversary of the Pacific-Basin Finance Journal with a retrospective evaluation. We review the mission of the Journal and survey the editorial and review policies of the Journal, including special issues as well as those associated with the annual conference of...

We examine the effect of information asymmetry on equity prices in the local A- and foreign B-share market in China. We construct measures of information asymmetry based on market microstructure models, and find that they explain a significant portion of cross-sectional variation in B-share...

This study analyzes the detailed equity holdings of over 20,000 mutual funds from 26 developed and developing countries. Of particular interest is that we examine how this huge number of funds allocates their money between domestic and foreign equity markets and what factors determine the...