Employing comprehensive limit-order data which identify investor types, this paper examines the clustering pattern of limit-order prices. First, limit orders, particularly those submitted by individual investors (IIs), tend to cluster at integer and even prices. Second, nonmarketable limit-order...

This paper highlights a concern for a link possibly missing in the traditional justification of the signaling hypothesis of open-market repurchases (OMRs). To recover the missing link, we employ the order-level data for the Taiwan stock market to contrast the order submission behaviors among...

This paper is motivated by the hypothesis by Hall (1992) who claims that firms prefer to use debt to finance physical investment but not R&D, due to the risky nature of R&D. Employing a dynamic simultaneous approach and R&D Master File, the relationship between debt, R&D and physical investment...

In this paper, we find evidence of the intra- and inter-period beta instability of firms in the Taiwan stock market during its financial development from 1982 to 1998. Particularly noteworthy is the result that the proportions of firms exhibiting beta instability, in the full sample and two...

Prior studies document that the book-to-market (BM) effect is absent in the Taiwan stock market. Using Taiwanese data covering from 1991 to 2006, we show that, after controlling for the size effect and the Fama and French's (1993) risk factors, the BM effect only exists for those firms with low...

The usefulness of technical analyses has never reached a consensus. Unlike most literature studying stock price behaviors surrounding the presence of technical trading signals, this paper examines the heterogeneity in order submission behaviors of investors in the Taiwan Stock Exchange. Our...