The first purpose of this paper is to assess the short-run forecasting capabilities of two competing financial duration models. The forecast performance of the Autoregressive Conditional Multinomial–Autoregressive Conditional Duration (ACM-ACD) model is better than the Asymmetric...

Previous literature finds that anomalies are at least as prevalent in developed markets as in emerging markets; namely, the global anomaly puzzle. We show that while market development and information diffusion are linearly related, information diffusion has a nonlinear impact on anomalies. This...

Extending Shleifer and Vishny (1997), we show that arbitrageurs will strategically limit their initial investment in an arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders' misperceptions. Such ‘noise momentum' is an important determinant of the...

Why do firms manage their stock price levels? Building on the catering hypothesis and institutional investor preference literature, we propose a generalized catering hypothesis that managers cater their share price level to different types of investor (individual vs institutional) in order to...