Stock returns in China exhibit significant co-movement with provincial return indices after controlling for the industry effect, consistent with local co-movement findings in the United States. The magnitude of such co-movement increases with participation in trading by local investors. Trading...

Using the adverse selection component of the spread as a measure of asymmetric information,we investigate how asymmetric information evolves after firms go public. We find that the level of asymmetric information is lower immediately after the initial public offering (IPO) compared with its...

Due to the share segmentation system, tender offers in the Chinese stock markets are very rare. We investigate the performance and characteristics of acquiring firms on 1148 Mamp;A on the two Chinese stock markets from 1998 to 2003, where a listed company acquires stocks or assets from another...

We investigate the performance and characteristics of acquiring firms on 1148 Mamp;A on the two Chinese stock markets from 1998 to 2003. Using the market model, the CAPM model and the buy-and-hold methods, we find significantly positive abnormal returns before (6 months) and upon Mamp;A...

We consider whether popular technical trading rules are profitable on a subset of U.S. stocks with certain size, liquidity, and industry characteristics. We find these rules are rarely profitable during the 1990 to 2004 period, however there is some evidence they are more profitable for smaller,...

We provide a closer look at the trading dynamics which may give rise to the positive relationship between market trading volume and its lagged returns. Chinese market turnover increases sharply with past day returns. A comprehensive dataset which facilitates the tracing of trading activities...

We examine the execution quality of electronic stock traders who are geographically dispersed throughout the U.S. Traders who are located further away from market central computers in the New York City area experience slower order execution and higher trading costs. The negative relation between...

We examine whether or not professional traders recognize transaction costs when making trade decisions. In both single and multi-period settings, professional traders are far more reluctant to realize a gross loss rather than an actual loss (net of transaction costs). The tendency to ignore...