This study examines intraday patterns of short sales, margin purchases, adverse selection, and bid-ask spreads in the order-drivenmarket of the Taiwan Stock Exchange (TWSE). We find that both short sales and margin purchases exhibit a U-shaped intraday pattern in the TWSE. We further show that...

This article studies the relationship between initial market response to earnings surprise and subsequent stock price movement. We first develop a new measure – the earnings response elasticity (ERE) – to capture initial market response. It is defined as the absolute value of earnings...

This article studies the relationship between initial market response to earnings surprise and subsequent stock price movement.We first develop a new measure – the earnings response elasticity (ERE) – to capture initial market response. It is defined as the absolute value of earnings...