This paper examines the relation between short selling and returns and the impact of arbitrage costs on short sellers' behavior. Using daily UK short selling data, we find that stocks with low short interest levels experience significant positive returns on both an equal- and value-weighted...

In this paper we examine the relation between equity mispricing and arbitrage risk, and find that stocks with high arbitrage risk have higher estimated mispricing than stocks with low arbitrage risk. These results are not limited to high book-to-market or small capitalization stocks, and they...

This paper presents an integrated microstructure model of risk-averse uninformed and informed traders for the evolution of liquidity. Under an actively monitoring market, limit order book as a medium for information and order strategies of traders, thereby market order arrival of informed...

This paper examines the perceptions, preferences and various investment strategies in Indian stock market on the basis of a survey among 93 investment analysts, fund managers and active equity investors based at Delhi and Mumbai during May-October 2007. Survey findings reveal that investors use...

We investigate rights issues on the Athens Stock Exchange. Across 129 issues during 1992-99, we find a significant announcement effect of 2%. Further examination shows that firms were more likely to issue stock after large price run-ups, after recent earnings announcements, to lower uncertainty...

This paper investigates the long-term stock price performance of initial public offering (IPO) firms in the United Kingdom that were previously owned by leveraged buyout (LBO) funds. A sample of 128 LBO-backed IPOs and 1,121 non-LBO-backed IPOs between 1990 and 2006 is analysed for the long-term...

The positive price effect of index inclusion has been well-documented in the literature. The underlying cause still remains in dispute, since this finding is consistent with a number of hypotheses. In this paper, I revisit this debate by examining the price effects in the emerging markets...

This paper explores the dynamics between the returns process of an index exchange traded fund (ETF) in a market subject to price movement or price limit constraints. Using the SSE 50ETF, which is comprised of the 50 largest companies by market capitalization listed on the Shanghai Stock Exchange...

We analyze the effects that real-time domestic and foreign news about fundamentals have on the co-movement between stock returns of a small, open economy, Portugal, and a large economy, the United States. Studying co-movement between the US and a small, open economy helps overcome significant...

Morck, Yeung and Yu (MYY, 2000) show that R2 and other measures of stock market synchronicity are higher in countries with less developed financial systems and poorer corporate governance. MYY and Campbell, Lettau, Malkiel and Xu (2001) also find a secular decline in R2 in the United States over...