This study investigates whether a lead–lag relationship exists between the spot market and the futures market in Thailand during the period 2006 through 2012. In a rational, efficient market, returns on derivative securities and their underlying assets should be perfectly contemporaneously...

We examine the presence and performance of volatility arbitrage opportunities around earnings announcements using daily ELW (equity linked warrant) trade data in the Korean market. We find that volatilities drift in a predictable and monotonic fashion, which is different from findings in prior...

Unlike the U.S. and most developed countries, Taiwan stock market has been widely documented to have no value premium. Prior studies on the value premium typically adopt a conventional approach proposed by Fama and French (1992), which suggests a buy-and-hold strategy with annual rebalancing. We...

This paper provides an analysis of the equity-market effects of a substantial increase in individual shareholder participation in the market for a firm. The data are based on reductions in lot sizes or Minimum Trade Units (MTUs) on the Tokyo Stock Exchange (TSE). There is a shift in order flow...

Existing research does not find significant momentum profits in many emerging markets including China. We propose an alternative momentum strategy which groups stocks into return intervals rather than percentiles. We apply the method to the China A-share market and find economically significant...

This paper examines how individual investors' participation in short sale affects the efficiency of stock pricing using a unique regulatory change in Korea. The change enables individual investors to sell short some – but not all – domestic stocks, without affecting the short-selling ability...

It has long been accepted that risk plays an important role in determining valuation where risk reflects that investors are unsure of future returns but are able to express their prior expectations by a probability distribution of these returns. Knight (1921) introduced the concept of...

Using a unique data set, we find that large individual investors are successful at picking stocks. Large individual investors' correlated trades can not only move synchronous stock prices but also positively predict future returns. More importantly, they tend to trade before major earnings...

Empirically we test the Merton-type model (1974) of credit risk in an emerging market such as the Korean corporate bond market. For that purpose, we assume two alternative firm value processes: diffusion process for the Merton (1974) model and jump-diffusion process for our extended model in a...

Recent studies suggest an increasing trend in return idiosyncratic volatility and a ‘puzzling’ negative relationship between idiosyncratic and total volatility and stock returns. We investigate in an emerging market, the time-series behaviour of total and idiosyncratic volatility and their...