Bid-ask spread is a direct measure of information asymmetry. As such, it can be used to evaluate information efficiency. In this paper, we show that both the quoted and effective spreads on the Shanghai Stock Exchange are extremely high at the open, decrease over the trading day, and experience...

This paper implements a comprehensive study on the long run post-issue operating performance of more than 700 initially public offerings (IPOs) in the Japanese over-the-counter market (JASDAQ) from 1991 to 2001. Empirical results document dramatic and continuing operating underperformance that...

We analyze the performance of Japanese opentype stock mutual funds for the 1981-1992 period. The results show that, regardless of the performance measures and benchmarks employed, most of the Japanese mutual funds underperform the benchmarks by between 3.6% and 10.8% per annum. These funds tend...

This paper considers a dependent risk model with diffusion for the surplus of an insurer, in which a current premium rate will be adjusted after a claim occurs and the adjusted rate is determined by the amount of the claim. At the same time, the diffusion is changed correspondingly. Using...

The microstructure literature offers contradicting predictions on the impact of inter-trade time on price change. In this paper, a vector autoregressive (VAR) model [Dufour, A. and Engle, R.F., 2000, Time and the price impact of a trade, Journal of Finance 55, 2467-2498.] is adopted to...

The yen provided foreign exchange market participants with 'once-in-a-generation' volatility movements in 1998. For instance, after many months of uneven yen depreciation a remarkable period of yen appreciation was experienced where, in one two-day period, the U.S. dollar dropped in value by 20...

In this paper, we discuss the distributional properties of random sums. We first derive conditions under which the distribution of a binomial sum is PF2 and then show under the same conditions the distribution of a Poisson sum is PF2 by approximating a Poisson sum by a sequence of binomial sums....