Using small-sized buyer-initiated trades as the proxy for retail demand, we study how retail sentiment affects the returns of IPOs completed on the U.S. markets between 1994 and 2004. While we find that retail sentiment is positively related with the return volatility of IPOs on the first...

We investigate what stock return synchronicity reflects in terms of price informativeness by examining its effect on the pricing of seasoned equity offerings (SEOs). Based on 5,087 SEOs from 1984 to 2007, we find a significantly negative relation between stock return synchronicity (estimated as...

This paper evaluates the ability of US-based Asian mutual fund managers in coping with the 1997 Asian financial crisis. We find that the actively managed mutual funds under-perform with respect to the market portfolio by 1.71 percent in average monthly return. Such poor performance is caused by...

This paper investigates public-trader order-placement strategies by examining the relations between the state of the limit-order book and previous price movements. There is support for an information effect, as traders become more aggressive in buying and more patient in selling after previous...

The August 1998 Hong Kong government intervention in the stock market offers a natural experiment for studying the relation between a free float and market liquidity, where a free float is the portion of listed share capital that is freely traded on the market. Our findings show that, relative...