This study examines intraday patterns of short sales, margin purchases, adverse selection, and bid–ask spreads in the order-driven market of the Taiwan Stock Exchange (TWSE). We find that both short sales and margin purchases exhibit a U-shaped intraday pattern in the TWSE. We further show...

We design modified value investing strategies in emerging equity markets by comparing a country's value weight with its market capitalization weight among a group of emerging countries. These strategies can be easily tested and implemented by using various country index funds. Our proposed...

This article investigates how the investment horizon of a firm's institutional shareholders affects the outcome of stock repurchase. Our results show that repurchasing firms with long-term institutional investors experience significantly positive abnormal returns around the repurchasing...

Private equity placement data allow us to determine whether sophisticated investors can uncover the true value of firms. This can be done by defining sophisticated investors as those who meet the stringent participation requirements of the private equity market. Our results show private equity...

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...

Results of research on whether changes in earnings can predict future stock returns are inconclusive. We add to this debate by using long-term data from 1871 to 2004 to examine the predictive power of changes in earnings in periods of intrinsic bubbles and in periods absent intrinsic bubbles....

We investigate the relationship between CEO performance pay incentives and firm productivity. In general, we find an inverse U-shaped relationship between productivity and the sensitivity of CEO wealth to share value (delta) and a positive relationship between productivity and the sensitivity of...

We identify firms according to two life cycle stages, namely growth and maturity, and test the pecking order theory of financing. We find a strong maturity effect, i.e., the pecking order theory describes the financing behavior of mature firms better than growth firms. Our findings show that...

In the past decade, the Chinese government was increasingly relying on revenues from land sales to finance the public spending. This paper examines the impacts of land financing on business cycle fluctuations in China in an estimated DSGE model. The simulation results indicate that the overall...