This paper examines the effects of interaction between stringent insider trading laws, institutional quality and equity portfolio allocation on the cost of capital. Using a dataset drawn from 44 countries over the period from 2001-2015, we find that stringent insider trading laws interact with...

This study examines the impact of investor attention and analyst coverage on the diffusion of information. Using trading turnover as a proxy for investor attention, the results show that attention is crucial to the information diffusion from financial analysts. The effect of analyst coverage on...

This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to those of non-index stocks, after the introduction of the...

This study examines whether the “Sell in May and Go Away” (or Halloween) trading strategy still offers an opportunity to earn abnormal returns. In contrast to prior studies, we consider sample periods during which adequate investment instruments were available for an effective implementation...

This study examines the valuation effects that Australian initial public offerings (IPOs) have on industry competitors and to what extent this can be explained by the IPO firm's corporate governance profile and the intended use of their offer proceeds. Using a sample of 106 IPOs between 1999 and...

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative...

This paper examines “causality” effects between mutual fund flows and stock index prices in Japan. In particular, both the short and long run dynamics between stock prices and fund units are investigated. The novelty of our paper is the use of the hidden cointegration technique which...

Using high frequency intraday data, this paper investigates the herding behavior of institutional and individual investors in the Taiwan stock market. The study finds evidence of herding by both investors but a stronger herding tendency among institutional than among individual investors....

This study analyzes the effects of institutional and strategic investor equity transactions on the behavior of stock prices on the Copenhagen Stock Exchange (XCSE). Unlike the positive relationship between managerial ownership and security performance, we find that the relationship between...

This paper investigates the effects produced by the unbundling of analyst research costs required by MiFID II on market quality, as measured by stock liquidity and price efficiency. We find that the payment of an explicit price for research is associated with a reduction in analyst coverage in...