Measuring the information environment of firms using analyst (price) forecast bias and forecast dispersion before listing, we empirically examine the interactive influence of the information environment and market-wide sentiment on the initial returns of initial public offerings (IPOs). We find...

Using high-frequency data, this study investigates intraday price discovery and volatility transmission between the Chinese stock index and the newly established stock index futures markets in China. Although the Chinese stock index started a drastic falling immediately after the stock index...

We document that the fundamental strength (FSCORE) of a firm exerts a significant influence on the performance of short-term reversal strategies. Past losers with strong fundamentals significantly outperform past winners with weak fundamentals. Our FSCORE approach is complementary to Da et al....