This paper describes the background, the process, and the market reaction of Chinese crucial privatization program, namely the Non-tradable Share Issue Reform. We document the following findings: (1) The privatization program causes economically moderate and statistically significant cumulative...

We use a natural experiment occurred on Hong Kong stock market to examine the effects of removing short sales constraints on several trading characteristics of underlying stocks. We find that the trading of underlying stocks become less active after the lift of short sales constraints; meanwhile...

We examine a sample of 254 related party and arms' length acquisitions and sales of assets in Hong Kong during 1998-2000. Our analysis shows that publicly listed firms enter deals with related parties at unfavorable prices compared to similar arms' length deals. Firms acquire assets from related...

In this paper, we find a novel proxy to directly measure investor patience: the waiting time before they make the first purchase of an IPO stock in the secondary market, using which we prove the street lore that patience is an investing virtue (even in the very short run) by showing that more...

This paper considers informed traders' trading strategy in a bear market. Known as stealth trading, one strategy of informed traders' is to use medium-size trades, thus medium-size trades tend to contain more information than small- and large-size trades and to have stronger impact on stock...

We examine wealth management products (WMP) issued by Chinese commercial banks, which are an important part of China's fast growing shadow banking sector. We document that the WMPs' maturity dates cluster toward the end of a month and then decrease significantly at the beginning of the following...

We study the stock market impact of one physiological factor, sleeplessness due to watching World Cup games overnight, and two psychological factors, distraction from games during trading hours and mood changes due to wins and losses of the games. We uncover significantly negative effects of...

We test the Chen and Singal (2003) hypothesis that speculative short sellers add to the selling pressure on Mondays, and hence add to the weekend effect, by examining evidence from 60 market indices. We find strong evidence that, until about a decade ago, the actions of short sellers could...

We use the consumption-based asset pricing model with habit formation to study the predictability and cross-section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices...