Unlike the U.S. and most developed countries, Taiwan stock market has been widely documented to have no value premium. Prior studies on the value premium typically adopt a conventional approach proposed by Fama and French (1992), which suggests a buy-and-hold strategy with annual rebalancing. We...

‘Cornerstone’ investor agreements, in which high net-worth entities receive a guaranteed block of IPO shares, constitute an important potential signal of IPO value. Their recent emergence in the Hong Kong market setting, in tandem with detailed prospectus disclosures on such items, opens-up...

Using a unique data set, we find that large individual investors are successful at picking stocks. Large individual investors' correlated trades can not only move synchronous stock prices but also positively predict future returns. More importantly, they tend to trade before major earnings...

Existing research does not find significant momentum profits in many emerging markets including China. We propose an alternative momentum strategy which groups stocks into return intervals rather than percentiles. We apply the method to the China A-share market and find economically significant...

This paper examines how individual investors' participation in short sale affects the efficiency of stock pricing using a unique regulatory change in Korea. The change enables individual investors to sell short some – but not all – domestic stocks, without affecting the short-selling ability...

It has long been accepted that risk plays an important role in determining valuation where risk reflects that investors are unsure of future returns but are able to express their prior expectations by a probability distribution of these returns. Knight (1921) introduced the concept of...

This paper provides an analysis of the equity-market effects of a substantial increase in individual shareholder participation in the market for a firm. The data are based on reductions in lot sizes or Minimum Trade Units (MTUs) on the Tokyo Stock Exchange (TSE). There is a shift in order flow...

We examine the size and price-to-book effects in Chinese markets. We find strong evidence for the size effect but little evidence for the price-to-book effect. We further examine these effects in the context of the monetary policy of the People's Bank of China. We find that the size effect is...

We investigate the daily short-selling by foreign investors and their impact on stock price, liquidity, and volatility in the Korean stock market. From January 1, 2006, to May 31, 2010, we find that the majority of short-selling is performed by foreign, rather than by domestic, investors and...

This paper evaluates the impact of industry herding on return momentum. While the findings support that winner industries outperform loser industries in subsequent months, we find that the profitability of industry momentum strategies depends on the level of herding in an industry. Loser...