This paper develops an expected utility model of a multinational firm facing exchange rate risk exposure to a foreign currency cash flow. Currency derivative markets do not exist between the domestic and foreign currencies. There are, however, currency futures and options markets between the...

This paper develops an expected utility model of a multinational firm facing exchange rate risk exposure to a foreign currency cash flow. Currency derivative markets do not exist between the domestic and foreign currencies. There are, however, currency futures and options markets between the...

We offer evidence at both portfolio level and firm level that variations in idiosyncratic volatility are related to both behavioral and fundamental factors. Using Japanese data from 1975 to 2003, we show that both institutional herding and firm earnings are positively related to idiosyncratic...

The unique short-sales restrictions present in the Hong Kong stock market, where a list of designated securities that can be sold short is revised from time to time, provide valuable data for examining the effects of short-sales constraints on market efficiency, especially efficiency in price...

The performance implications of the involvement of grassroots local party committees of the Chinese Communist Party (CCP) in the decision making of China's listed firms are investigated. First, we show that the decision-making power of local party committees relative to the power of the largest...

We examine the investment behavior of market participants within different international markets (i.e., U.S., Hong Kong, Japan, South Korea, and Taiwan), specifically with regard to their tendency to exhibit herd behavior. We find no evidence of herding on the part of market participants in the...

Five Asian stock markets (Hong Kong, Japan, South Korea, Taiwan, and Thailand) and the U.S. stock market are evaluated for evidence of cross-autocorrelation. We find evidence of Lo and MacKinlay's (1990a) cross-autocorrelation in each of the five Asian markets. Specifically, within each country,...

We examine the investment behavior of market participants within different international markets (i.e., U.S., Hong Kong, Japan, South Korea, and Taiwan), specifically with regard to their tendency to exhibit herd behavior. We find no evidence of herding on the part of market participants in the...

We study the dynamic relation between aggregate mutual fund flow and market-wide volatility. Using daily flow data and a VAR approach, we find that market volatility is negatively related to concurrent and lagged flow. A structural VAR impulse response analysis suggests that shock in flow has a...

China launched a pilot scheme in March 2010 to lift the ban on short-selling and margin-trading for stocks on a designated list. We find that stocks experience negative returns when added to the list. After the ban is lifted, price efficiency increases while stock return volatility decreases....