This study proposes and validates ldquo;other informationrdquo; in analysts' forecasts as a legitimate proxy for future cash flows, and examines its incremental role in explaining stock return volatility. We suggest that ldquo;other informationrdquo; contains information about fundamentals...

Trading is the mechanism of the economist's 'invisible hand;' the means by which price discovery occurs. We use daily shareholdings data from the Australian equities clearinghouse to investigate the impact of the trading imbalances of investor categories on stock returns. Our evidence does not...

We examine the pricing and performance of advisers in Mamp;A transactions. We determine adviser quality on the basis of a contemporaneous market share measure and show that high quality advisers receive higher Mamp;A advisory fees. High quality advisers also complete deals faster, but their...

This paper examines the magnitude and determinants of trading costs for small-cap funds in Australia. The total price impact for these funds is 0.67 (-0.62) percent for purchases (sales). This is significantly larger than costs reported in prior research. No significant asymmetries in the...

Using a representative sample of monthly portfolio holdings and daily trades, this study presents unique evidence of significant stock selection skill amongst institutional small-cap equity managers on a risk-adjusted basis. Of particular importance is the magnitude of the performance generated...

We examine detailed daily Australian Stock Exchange share registry data for investors in IPO and index stocks between 1995 and 2000 and find that the quot;disposition effectquot;, investors' reluctance to crystallise losses and relative eagerness to realise gains, is pervasive across investor...

Purpose – This paper aims to examine the stability of dividend policy using a unique data set. Design/methodology/approach – The paper is based on the Lintner model that is used to test the dividend smoothing behavior. The specific econometric method used for panel data is Tobit regression....

Due to its distinctive institutional background, Oman offers a valuable opportunity to examine stock price reactions to dividend announcements. In Oman, (1) there are no taxes on dividends and capital gains, (2) there is a high concentration of share ownership, (3) there is low corporate...

We investigate capital structure dynamics in a unique financing environment where (1) we avoid the complex tax environments faced by previous studies and where (2) firms rely primarily on bank loans rather than the public debt market. Consistent with recent empirical evidence, we find that stock...