The launch of financial reforms in Central and Eastern Europe (CEE) at the beginning of the 1990s stimulated increased interest of investors and academics in the newly-born stock markets of this region. Most of the existing studies, however, consider a group of the CEE markets, stressing their...

This paper provides new insight into the relationship between short sales and stock market returns using a sample of stocks sold short in Canada. Short interest is defined in relation to trading volume. The results strongly support the assertion that short sales and excess returns are...

Interpreting accruals as working capital investment, we hypothesize that firms optimally adjusttheir capital investment in response to discount rate changes. Consistent with the discount-ratehypothesis, we document that (i) the predictive power of accruals for future returns increaseswith the...

The first public share issue in the PRC took place in 1994. By the early 21st century, in the space of less than two decades, the Chinese stock market has become the largest one in Asia, with the exception of Japan. Along with this rapid enlargement of the market, the Chinese stock trading...

Believed to be a robust alternative to Anglo-American market capitalism, the virtues of the German model are increasingly disputed as doubts are raised about its long-term prospects. At the core of the German model is a system of corporate governance that is characterized by concentrated...

This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically, the paper shows how the often used Kim et al. [1998. Stochastic volatility: likelihood inference and comparison with ARCH models. Review of Economic Studies 65, 361–393] method...

ENGLISH ABSTRACT: This research report examines stock market reactions to sudden changes in investor mood. The motivation for the study is the large volume of psychology and finance research showing that investor mood is affected by various non-economic or economically-neutral phenomena....

he role of selling (or marketing) period uncertainty in understanding risk associated with property investment is examined in this paper. Using an approach developed by Lin (2004), and Lin and Vandell (2001, 2005), combined with a statistical model of UK commercial property transactions, we show...

This study examines whether short-sellers and financial analysts develop complementary information about future earnings and returns and assesses whether investors can improve predictions made by each of these intermediaries using information provided by the other. The first main result is that...

We propose an asset pricing model in a production economy where cash flows are determined by firms' optimal dividend and investment decisions. Extensive and intensive decision margins in dividend payout are modeled with cash holding and investment adjustment costs. The model implies that delays...