We examine stock return comovement within business groups in Korea. Based on all publicly traded stocks from 1980 to 2009, we document that stocks of companies belonging to the same business group co-move with each other more than do stocks in the same industry. The within-group correlation in...

This paper examines how individual investors' participation in short sale affects the efficiency of stock pricing using a unique regulatory change in Korea. The change enables individual investors to sell short some -- but not all -- domestic stocks, without affecting the short-selling ability...

Recent literature documents that the issuance of analyst recommendations tends to coincide with important corporate events, but offers mixed evidence on whether such recommendations have added value. In this paper, we use large discontinuous stock price changes, known as jumps, to proxy for...

Recent literature documents that analyst recommendations tend to coincide with important corporate events, but offers mixed evidence on whether such recommendations have added value. In this paper, we use jump in stock price as a proxy for generic corporate “information event” and examine...

Although previous research has suggested that the level of disclosure is positively related to stock market efficiency, it remains unclear whether an increase in the level of disclosure can facilitate price discovery regardless of the quality of information provided in the disclosure. We examine...