We investigate the impact of short-sale and margin-purchase on stock price crash risk in the Chinese markets. China lifted bans on short-sale and margin-purchase for stocks on an expanding designated list since March 2010. Results of difference in different tests reveal that the removal of bans...

We hypothesize that earnings downside risk, capturing the expectation for future downward operating performance, contains distinct information about firm risk and varies with cost of capital in the cross section of firms. Consistent with the validity of the earnings downside risk measure, we...

We show that three proxies for stock price informativeness, adjusted probability of information based trading (AdjPIN), price non-synchronicity and probability of information-based trading (PIN), decrease significantly due to an enlarged investor base after stock splits. The results are...

We develop a new methodology to estimate abnormal performance and risk exposure of non-traded assets from cashflows. Our methodology extends the standard internal rate of return approach to a dynamic setting. The small-sample properties are validated using a simulation study. We apply the method...