We present empirical evidence that short sales contribute to market efficiency by increasing the speed of price adjustment to not only private/public firm-specific information but also market-wide information. Shortable stocks are characterized by weaker trade continuity and stronger quote...

Purpose – The purpose of this paper is to study the relationship between excess returns and short sale activities under unexpected informed and uninformed short sales. It is found that in general, the unexpected informed short sale is a bearish signal and has a negative effect on excess...

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...

In this study, we examine the relationship between investor demand for IPOs prior to offerings and aftermarket performance of IPO firms during the period from 1993 to 1997 in the Hong Kong stock market. The paper finds that IPOs with high investor demand have large positive initial returns but...

From January 2002 to August 2007, foreign institutions held almost 70% of the free-float value of the Indonesian equity market, or 41% of the total market capitalization. Over the same period, liquidity on the Jakarta Stock Exchange improved substantially with spread more than halved and depth...

Price limit advocates claim that price limits decrease stock price volatility, counter overreaction, and do not interfere with trading activity. Conversely, price limit critics claim that price limits cause higher volatility levels on subsequent days (volatility spillover hypothesis), prevent...

In this study, we examine the relation between investor demand for IPOs prior to offerings and aftermarket performance of IPO firms in the Hong Kong stock market. The paper finds that IPOs with high investor demand have large positive initial returns but negative long-run excess returns, while...

We propose a measure for extreme downside risk (EDR) to investigate whether bearing such a risk is rewarded by higher expected stock returns. Constructing an EDR proxy with the left tail index in the classical generalized extreme value distribution, we document a significantly positive premium...

We conduct comprehensive analyses of the return characteristics of stock portfolios sorted by idiosyncratic volatility. We show that the relationship between idiosyncratic volatility and expected stock returns depends on whether the portfolio is composed of stocks with extreme performance and...