Motivated by Bali et al. (2016) who find U.S. economic policy uncertainty (EPU) is priced in the cross-section of U.S. stock returns, we use weekly data from March 2006 to April 2016 to study whether shocks in U.S. EPU also influence prices of China's A-shares from market, industry, and...

We investigate how characteristics of the board of directors and top management affect a firm's stock price delay in China. Using A-shares listed on both Shanghai and Shenzhen stock exchanges from May 2003 to April 2014, we find firms with stocks in the highest price delay decile portfolio have...

Using the information rating consisting of disclosure items from five dimensions – regulatory compliance, timeliness, financial forecast, annual report, and corporate website, we examine how a firm's disclosure quality influences its stock's price efficiency and expected return in Taiwan stock...

This study examines how heterogeneous institutional ownership affects stock price delay. Our result shows higher total institutional ownership and the number of institutions reduce price delay. We further classify institution types from stock's perspective (top 5 and year-long) and institution's...

Hou and Moskowitz (2005) use the stock price delay in reflecting market-wide information to measure market frictions each individual firm faces. In this study, to better understand how the price formation process is affected by the business cycle, we examine the relation between changes in the...