Using the split-share structure reform in China as a quasi-natural experiment, we examine the effect of stock liquidity on investment efficiency. Consistent with feedback and incentive theories, investment efficiency increases after the reform but only for under-investing firms. Higher stock...

Thirteen percent of own-company trades by directors do not meet the ASX requirement of reporting within 5 business days, while seven percent are not reported within 14 business days as required by the Corporations Act. Such breaches of reporting regulations are particularly important given that...

This paper examines the equity market reaction to consumer sentiment in the context of the sentiment index issued by the Melbourne Institute of Applied Economics and Social Research. Unlike the Michigan index in the US, which is announced in phases, this index is announced once per month, which...

Pervasive herding may cause homogenous trading patterns, both within and across stocks and thus may impact upon an important aspect of the market microstructure – liquidity. Potentially, herding could simultaneously affect the liquidity of both individual stocks and that of the market. For...

We investigate the effects of S&P's sovereign re-ratings on the higher moments of equity market returns over recent financial crises. Using a set of intraday stock market index prices and sovereign credit ratings for a sample of 36 countries which experienced sovereign rating changes over the...

We examine the announcement effects of consumer sentiment on US stock and stock futures markets. First, we find that the consumer sentiment announcement has valuable information content. Second, an asymmetric response is observed for “good” versus “bad” sentiment news. Specifically, when...