The well-documented negative association between idiosyncratic volatility (IV) and stock returns is puzzling if investors are risk-averse. We show that this anomaly is also prominent in the Chinese stock market. We attempt to explain the IV anomaly by using the key theories suggested by the...

Owners of firms in trouble are more exposed to moral hazard problems than owners of successful firms. Foreign owners who face higher costs to monitor the firm should be more vulnerable to these problems than domestic ones. Consequently, a downward revision in a firm's expected future earnings...

We evaluate the impact of stock market transparency and opacity design features on global trading activity, including the share of traded value for cross-listed stocks. Our methodology relies on a system of simultaneous structural equations estimated for the world's major exchanges. We find that...

The home bias in international portfolios has been explained by foreign investors' exposure to more severe moral hazard problems than domestic investors. A drop in expected returns will increase the likelihood of these hazards, causing foreign investors to react more strongly to profit warnings...

Crossed and internalised upstairs trades are analysed in a data set in which institutional investors can be identified. Earlier findings that upstairs trading is uninformed, tap into unexpressed liquidity and do not affect market quality are revisited. The permanent price effect of crossings and...

This study re-examines the dual issue of international investor trading patterns and the performance that is subsequently generated. An information disadvantage amongst foreign investors could explain the home bias puzzle. Domestic investors follow contrarian patterns and foreign investors...

We extend upon the previous studies of the 52 week high and explain how household disposition effect and anchoring behavior is responsible for both the volume spikes at the 52 week high and return continuation following it. Our data set allows recognition of household and institutional stock...

We study the impact of post-trade disclosure of broker IDs on market efficiency, trading volume and bid-ask spreads in a unique South Korean experiment. We find that simply revealing the ex-post order flow of the major brokers to the entire market improves market efficiency to the level of a...

How are trading activity and performance impacted by material events during individual investors' lifetimes? Using a unique dataset, we identify transfers of common stock initiated by the major event of divorce and analyze trading patterns and performance of divorced traders. In aggregate,...

Using a proprietary dataset of daily mutual fund trades, we document strong evidence of manager skills in the Finnish market for both buys and sells. We find that manager's risk-adjusted outperformance lasts up to five days. Additionally, we find that the capital-weighted average of trade...