This study analyzes the effects of six different credit rating announcements on systematic and idiosyncratic risks in Spanish stocks from 1988 to 2010. We used an extension of the event study dummy approach that includes direct effects on beta risk and volatility. We identified effects on both...

It has been proven by Ljungqvist and Wilhelm (2002) that constraints on underwriters' allocation discretion reduce price revisions. The dual-tranche bookbuilding in Taiwan and Hong Kong imposes more regulations limiting underwriters than U.S. bookbuilding does, but price revisions of Taiwan and...

Unsolicited credit ratings are issued solely at the discretion of rating agencies based on public information. This paper analyzes firms' incentives to solicit credit ratings to signal their quality and rating agencies' incentives to issue unsolicited ratings. Conditions for two types of...

Shadow banking, an informal, largely unregulated, financial market, has become increasingly important in China because the fact that it is largely unregulated can threaten the viability of the financial system. This study discusses various issues involved in Chinese shadow banking, including the...

We explore how general economic conditions impact defaults and major credit rating changes by fitting reduced-form Cox intensity models with a broad range of macroeconomic and firm-specific ratings-related variables. For all corporate issuers in the period 1981–2002 we find both types of...

We examine cross-border acquisitions of private and public targets by U.S. firms by employing self selection models. We are particularly interested in the roles of country-level liquidity and transparency in cross-border acquisitions. Our results show that a typical acquisition deal of a private...

This study tries to investigate the performance of specific stylized mutual funds focusing on the matched professional abilities of fund managers, based upon their relative educational backgrounds. Using a 2001–2011 dataset on 1164 fund managers investing in the Taiwan Stock Exchange...

This paper investigates the trading activities of two distinct classes of shareholders, namely, the Chinese domestic investors and the foreign investors in the segmented Chinese A-share and B-share markets, respectively. Based on the results of our event study, we document prominent volatility...

The recent theoretical research on the informational effect of insider trading in the spirit of Kyle (1985) and Jain and Mirman (1999) was mainly interested in the interaction between the financial and real decisions of the insider, taking into consideration different market structures in both...

This paper examines the effect of order imbalance on realized volatility in the Australian stock market for the period between August 2007 and May 2016. To analyse this asymmetric relationship, we decompose order imbalance into buyer- and seller-initiated trades and capture good and bad...