We examine the role of investors' beliefs in determining the post earnings announcement drift (PEAD). Specifically, we propose a technique to estimate the belief parameters of the informed and uninformed investors, based on which we define the uninformed investors' information acceptance ratio...

We empirically tests whether stock liquidity and investor sentiment have interactive effects on seasoned equity offers (SEOs) price discounts in Australia. Our results show that, in periods of deteriorating investor sentiment, the increase in SEO price discounts for firms with illiquid stocks is...

We study the relation between institutional shareholdings, private information in stock prices and the cost of capital. Using the probability of informed trading as a proxy for private information, we find that institutional ownership reduces private information in stock prices, and firms with...