Employing comprehensive limit-order data which identify investor types, this paper examines the clustering pattern of limit-order prices. First, limit orders, particularly those submitted by individual investors (IIs), tend to cluster at integer and even prices. Second, nonmarketable limit-order...

This paper is motivated by the hypothesis by Hall (1992) who claims that firms prefer to use debt to finance physical investment but not R&D, due to the risky nature of R&D. Employing a dynamic simultaneous approach and R&D Master File, the relationship between debt, R&D and physical investment...

In this paper, we find evidence of the intra- and inter-period beta instability of firms in the Taiwan stock market during its financial development from 1982 to 1998. Particularly noteworthy is the result that the proportions of firms exhibiting beta instability, in the full sample and two...

Prior studies document that the book-to-market (BM) effect is absent in the Taiwan stock market. Using Taiwanese data covering from 1991 to 2006, we show that, after controlling for the size effect and the Fama and French's (1993) risk factors, the BM effect only exists for those firms with low...

The usefulness of technical analyses has never reached a consensus. Unlike most literature studying stock price behaviors surrounding the presence of technical trading signals, this paper examines the heterogeneity in order submission behaviors of investors in the Taiwan Stock Exchange. Our...

In this paper, we propose a model-selection approach to testing the expectations theory of the term structure of interest rates. Our method is based on the posterior information criterion (PIC) developed and analyzed by Phillips and Ploberger (1994, 1996) and extended to provide order estimation...

This paper documents prevailing mispricing of research and development (R&D) investments in the Taiwan stock market, a rapidly emerging and electronics-dominated market. Applying stock return data from July 1988 to June 2005, we observe that R&D-intensive stocks tend to outperform stocks with...

Studying the informativeness of institutional trades, this paper examines informational differences among institutional investors in the Taiwan stock market. Evidence shows that the net trades of (domestic) mutual funds impound information superior to the net trades of foreign investors and...