This study develops a multiple-period, competitive rational expectations model for examining how competitive informed traders time their informed trading and how information is incorporated into prices. It is found that informed traders may choose either to trade early or late on their...

Under fairly basic rationales, this paper provides a more general microstructure model of price quotation in an order driven market. Specifically, as an extension of Handa and Schwartz (1996), we decompose the equilibrium of the bid-ask spread, which is derived as a function of the weighted...

This article provides a model of order-submission strategy and price formation by analysing the optimal behaviour of risk-averse uninformed traders. According to our inference, the market dynamically adjusts the bid/ask at any moment to generate enough price improvement return in order to cover...

This paper presents a formal methodology, using a market-based risk neutral approach, to gauge the credit risk of guarantee issues in a Taiwanese bills finance company. In particular, the probability of default is endogenously determined. Evidence shows that the recovery rate plays an important...

Though the Financial Holding Company Act in Taiwan permits banks, securities firms and insurance companies to affiliate, identifying the influence on Taiwan's financial holding companies hasn't been discussed rigorously yet. This paper presents a formal methodology, using two-state Markov regime...

This paper studies the sensitivity of cash flows generated by Taiwanese firms to changes in a trade-weighted index, as well as against the currencies of Taiwan's major trading partners. A traditional methodology, the capital market approach, typically found low or negligible levels of exposure...

We analyze the announcement price behavior of independent director appointments stemming from monitoring, signaling, advising effects and moderating effects of controlling shareholders. Based upon appointments samples made by firms listed on the Taiwan Stock Exchange, we find that the cumulative...

This study examines how the investment horizon of the institutional shareholders of a firm affects the stock performance of private equity placements. The results show that firms with long-term institutional investors receive significantly positive abnormal returns around the offering...

We examine the value relevance of voluntary versus mandatory independent director appointments based on market reaction. Our analytical model proposes that the market expects voluntary appointments to bring more positive value than mandatory appointments since voluntary appointments signal the...