We examine the effects of short-sale constraints in Hong Kong where stocks can be shorted only if they are included on an official short-sale list. Using revisions to the list, we test two hypotheses — 1) that short-sale constraints lead to overvaluation and 2) that they lead to lower costs of...

We document a set of instruments that explain a large fraction of the time series variation in turnover between 1966 and 2003. We use these relations in latent variable tests that examine the number of predictable factors that drive conditional expected time-varying turnover. After refining the...

We examine the investment behavior of market participants within different international markets (i.e., U.S., Hong Kong, Japan, South Korea, and Taiwan), specifically with regard to their tendency to exhibit herd behavior. We find no evidence of herding on the part of market participants in the...

We examine the investment behavior of market participants within different international markets (i.e., U.S., Hong Kong, Japan, South Korea, and Taiwan), specifically with regard to their tendency to exhibit herd behavior. We find no evidence of herding on the part of market participants in the...