This study establishes a link between corporate investment and short-term return reversal by addressing the role of corporate investment in shaping stock liquidity. We find that short-term return reversal is less pronounced for stocks with high corporate investment. Moreover, the analysis shows...

Based on the notion that private information necessarily accompanies trade and leads to return variation, this paper explores the positive relationship between informed trade and firm-specific return variation. Using the PIN as a measure of informed trade, we find that the PIN is positively...

We suggest that price interaction among stocks is an important determinant of idiosyncratic volatility. We demonstrate that as more (less) stocks are listed in the markets, price interaction among stocks increases (decreases), and hence stocks, on average, become more (less) volatile. Our...

The authors have developed an easy-to-use approach, derived from financial portfolio theory, for determining which product(s) to eliminate. This approach takes into account the effect the product deletion will have on the overall rate of return and the overall risk of the product portfolio