Using a large sample of firms listed on the Korea Stock Exchange over the 1992-2002 period, this paper investigates a hitherto unexplored question of whether and how trading by foreign and domestic institutional investors improves the extent to which firm-specific information is incorporated...

This study documents the characteristics and information value of corporate disclosures of forward-looking information in different equity markets. It focuses on the extent to which national differences in legal and regulatory environments, and systems of corporate governance and finance...

Existing research indicates that it is possible to forecast potential long-term returns in the S&P 500 for periods of more than 10 years using the cyclically adjusted price-to-earnings ratio (CAPE). This paper concludes that this relationship has also existed internationally in 17 MSCI Country...

In this paper, we examine whether the creation or redemption ETF shares has a measurable and significant effect on the underlying stocks' returns in the closing auction. Our findings show that ETF flow-related stock transactions significantly affect stock prices. We provide empirical evidence...

We study the spillover effect from equity offerings over dual-class shares. Whereas, evidence has been found that a seasoned equity offering improves stock liquidity, the effect over the liquidity of different type shares of the same firm has not been explored. We use equity offer- ings of five...

Because implied volatility is essential for pricing options, analyzing derivative strategies and measuring risk in investment portfolios containing derivatives, understanding variations in implied volatility also becomes vital. Aside from a secular trend, volatility clustering and calendar...

Common explanations of the low volatility anomaly involve biases or frictions that cause investors to overpay for high volatility assets, giving them a negative alpha within the CAPM model, yet currently all such mechanisms are either heuristic or partial equilibrium. This paper shows that...

We investigate cross-sectional patterns related to dividends in the CEE stock market. We investigate a broad sample of 1153 companies from 11 countries in years 2002-2014. We use sorting and tests based on cross-sectional regression, and apply tests of monotonic relation. The principal findings...

We model 73.62 million London Stock Exchange (LSE) trades and show that the LSE's high rate of failure to open at the opening auction only relates to low volume stocks. Low volume stock traders avoid trading until the open; this seems connected to their evading the informed trading-dominated...

At the global level, the mispricing theory of mergers by Shleifer and Vishny (2003) may imply that a significant number of targets acquired in a given country is a sign of market-wide undervaluation whereas intense acquisition activity indicates overvaluation. The present study develops a...