We find that liquidity volatility negatively predicts stock returns in global markets. This relationship holds for different liquidity measures and cannot be explained by the idiosyncratic volatility effect. This puzzle can be explained by the asymmetric impact of liquidity increase and decrease...

Part I: The International Environment for Service Firms -- Chapter 1: Introduction: Services in International Business -- Chapter 2: International Service Business and Globalization -- Chapter 3: Development of International Trade and Investment in Services -- Chapter 4: National Differences in...

Obtaining a unique limit order dataset provided by NYSE, we find there exits significant commonality in the liquidity provided by the NYSE limit order book. We also examine how the commonality documented above can explain the commonality in bid-ask spread, and how this commonality in limit order...

We find liquidity volatility negatively predicts stock returns in global markets. This relationship holds for different liquidity measures and cannot be explained by the idiosyncratic volatility effect. We solve this empirical puzzle by emphasizing the asymmetrical impact of liquidity decrease...

Firms with similar credit ratings, especially junk-rated ones, tend to comove strongly with each other in stock returns. Following a firm’s downgrade to junk grade, it tends to comove more strongly with other junk-rated firms and less with investment-rated ones, which cannot be fully explained...

This paper studies large price declines of individual stocks in 22 emerging markets. Using analyst reports as a proxy for information arrivals, we find that majority of crashes in emerging markets are not accompanied by information events, and these crashes are followed by price reversals....

This study shows that to obtain a precise measure of the liquidity premium in the stock market, it is important to recognize the influence of information uncertainty on the pricing of liquidity. Information uncertainty, which is positively correlated with stock illiquidity but negatively priced...

With the rapid growth of information technology (IT), intangible capital accumulated through investment in Research and Development and other expensed investment becomes an increasingly important component of productive assets. However, under the current U.S. accounting standards, most of the...