We study trading and prices of Chinese (mainland)/Hong Kong dual-listed shares. Relative prices can diverge by a factor of two and exhibit significant variation over time. Order imbalances explain contemporaneous changes in relative prices at daily and weekly frequencies.

In this paper, we study the relationship between default probability and stock returns. Using the market-based measure of Expected Default Frequency* (EDF) constructed by Moody's KVM, we first demonstrate that higher default probabilities are not necessarily associated with higher expected stock...

This paper examines the relationship between default probability and stock returns. Using the Expected Default Frequency (EDF) of Moody's KMV, we document that higher default probabilities are not associated with higher expected stock returns. Within a model of bargaining between equity-holders...

This paper examines the relationship between default probability and stock returns. Using the Expected Default Frequency (EDF) of Moody's KMV, we document that higher default probabilities are not associated with higher expected stock returns. Within a model of bargaining between equity holders...

From 1997 to March 2000, as technology stocks rose more than five-fold, institutions bought more new technology supply than individuals. Among institutions, hedge funds were the most aggressive investors, but independent investment advisors and mutual funds (net of flows) actively invested the...

Institutions often have access to corporate inside information through their connections, but relatively little is known about the extent to which they exploit their informational advantage through short-term trading. We employ broker-level trading data to systematically examine possible cases...

This paper investigates the impact of institutional trading volume on stock market anomalies. I construct a measure that evaluates the percentage of total trading volume of a stock accounted for by institutional trades. Using a large sample of firms from 1980ndash;2005, I find strong evidence...

This paper investigates the impact of positive-feedback trading by institutions on stock return momentum and market efficiency. Using an ex-ante measure of positive-feedback trading by institutions, I find that return momentum is stronger in stocks that attract more positive-feedback trading by...

We study the effects of local religious beliefs on mutual fund risk-taking behaviors. Funds located in <i>low</i>-Protestant or <i>high</i>-Catholic areas exhibit significantly higher fund return volatilities. Similar differences persist when we use the religiosity ratios at fund managers' college locations....