In this paper, we assess the equity value relevance of disclosure-derived financial statement adjustments. In price levels and returns tests, we find that reported financial numbers have relatively superior explanatory power over adjusted numbers. Only when adjustments are included along with...

We examine the performance of technical trading rules in Chinese domestic A-share and foreign B-share markets. After controlling for non-synchronous trading and transaction costs, we find evidence to support the predictability and profitability of some of the most popular technical trading rules...

Standard asset pricing models ignore idiosyncratic risk. In this study, we examine if idiosyncratic or unique risk affects returns for New Zealand stocks using the factor portfolio mimicking approach of Fama and French (1993, 1996). We find evidence of a negative relationship between firm size...

In this paper, we develop a consumption-based asset pricing model motivated by prospect theory, where habit formation determines the endogenous reference point. This exploits the similarity between habit formation and prospect theory. Both emphasize that the investor does not care about the...

This study investigates whether the extent of earnings management has any impact on offer price in initial public offering (IPO). Using a sample of 581 JASDAQ IPO firms, we find that offer price reflects earnings management to some extent. Firms with conservative earnings management tend to have...

This paper investigates the degree of volatility and asymmetric behavior of real exchange rates in East Asian. Exponential generalized autoregressive heteroskedasticity (EGARCH) is deployed to estimate the volatility of the exchange rate returns before and after the 1997 Asian financial crisis....

The Box–Cox transformation indicates that the log-linear form for M2 demand cannot be rejected while the Fair (1987) specification and the linear form can be rejected at the 5% level in favor of general functional form. M2 demand is positively influenced by real GDP, the deposit rate, and the...

We use financial data on poorly performing firms in Hong Kong to examine the motives behind paying out cash dividends when they suffer an earnings decline. We test three hypotheses behind the cash dividend policy: the maturity hypothesis, the free cash flow hypothesis, and the self-interest...

This paper investigates whether the introduction of trading by qualified foreign institutional investors (QFIIs) has impacted the lead and volatility behavior of the futures market when the macroeconomic effects and some major economic events are controlled. First, we detect that some market...

In this survey article, after delineating its historical origin of the Efficient Market Hypothesis (EMH), the authors summarize from the methodological perspective the empirical findings from 1960s through 1990s bearing on the EMH under the headings "supporting empirical findings as documented...