This study first establishes a causal relation between insider trading and the likelihood of stock price crash occurrence, and then investigates potential channels through which the former influences the latter. Exploiting the initial enforcement of insider trading laws in a country as a natural...

This paper examines the cross-sectional determinants of post-IPO long-term stock returns in China. We document that the aftermarket P/E ratio has the most robust negative association with post-IPO stock returns. The negative relation indicates that the market corrects the aftermarket...

Dividend reinvestment plans (DRIPs) with discount offer shareholders the choice between receiving cash dividends or additional shares at a discount. We provide evidence on DRIP arbitrage where DRIP arbitrageurs extract the DRIP discount through short-term equity borrowing. We show the relation...

We propose a new joint model of intraday returns and durations to study the dynamics of several Chinese stocks. We include IBM from the U.S. market for comparison purposes. Flexible innovation distributions are used for durations and returns, and the total variance of returns is decomposed into...