We examine the portfolio rebalancing, measured by the equity churn rate, of mutual funds from 29 countries based on annual stockholdings over the 1999–2006 period. We find that funds more often trade the stocks of companies located in countries with higher degree of information asymmetry and...

This paper provides an analysis of the determinants of the closed-end fund discount in Mainland China. We focus on the diversification level of closed-end funds as the investor clienteles for closed-end funds in Mainland China are different from other markets. Our empirical evidence shows that...

This article analyzes the intraday interdependence of order flows and price movements for actively traded NYSE stocks and their Chicago Board Options Exchange (CBOE)-traded options. Stock net trade volume (buyer-initiated volume minus seller-initiated volume) has strong predictive ability for...

We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks. We confirm previous findings that stocks have a U-shaped spread pattern; however, the options display a very different intraday pattern—one that declines sharply...

Can technical analysis be used to forecast price changes in fianncial markets Until 1992, that question was answered with a resounding "no." This paper presents additional empirical evidence that simple technical rules do possess statistically different forecast power. However, the returns do...

We examine the effect of information asymmetry on equity prices in the local A- and foreign B-share market in China. We construct measures of information asymmetry based on market microstructure models, and find that they explain a significant portion of cross-sectional variation in B-share...