We uncover interesting opposite effects of jumps in stock prices on three kind of stock returns: close-to-close expected return, and its two components, namely overnight and intraday return, when heterogeneous investors are confronted with different types of news during trading hours and...

In this paper, we extend the model in Diamond and Verrecchia (1987) by incorporating the effect of price limit and argue that the removal of short-sale constraints could synergize with price limit relaxation to speed up the price discovery. We show that the exogenous relaxation of price limit...

In this paper, we extend the model in Diamond and Verrecchia (1987) by incorporating the effect of price limit and argue that the removal of short-sale constraints could synergize with price limit relaxation to speed up the price discovery. We show that the exogenous relaxation of price limit...