Momentum strategies usually do not produce significant profits in emerging stock markets. Chui, Titman, and Wei [Chui, A. C. W., Titman, S., & Wei, K. C. J. (2000). Momentum, legal systems and ownership structure: An analysis of Asian stock markets. Working paper, Hong Kong Polytechnic...

Using short sale data of the Taiwan Stock Exchange from January 1991 to September 2004, we examine the informational role played by short interest in stock price formation. Consistent with previous findings based on the US and Australian stock markets, our results show that heavily shorted...

In this paper, we revisit the day-of-the-week effect by examining the Taiwan stock market. Based on the daily data from 1991 to 2008, our results show that the Taiwan stock market exhibits a strong day-of-the-week effect. In particular, the return on Tuesday is negative and significant from 1991...

This study empirically examines the effectiveness of Fed intervention on the USD/DM exchange market using an event study approach. The event window is defined as 4 (8) days prior/post an intervention. Based on the empirical analysis, the results show that when the Fed follows an "against the...

Corporate sponsors of defined benefit pension plans generally assume low investment risk when they have low funding ratios and high default risk, consistent with the risk management hypothesis. However, for financially distressed sponsors and sponsors that freeze, terminate, or convert defined...

<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>We examine high-volume premiums based on weekly risk-adjusted returns. Significant average weekly abnormal high-volume premiums up to 0.50% per week are documented for 1962-2005. Most premiums are generated in the first two weeks and monotonically decline as holding periods are extended....

In this paper, we explore an alternative explanation of the exposure puzzle, the missing variable bias in previous studies. We propose to correct the bias with the quantile regression technique invented by Koenker and Bassett (Econometrica 46:33–51, <CitationRef CitationID="CR30">1978</CitationRef>). Empirically, as soon as we take into...</citationref>