This article empirically examines the influence of the SEC's Rule 105, Regulation M, on informed trading and the information content of stock prices surrounding the offer day of a seasoned equity offering (SEO). The results of this study show that the constraints on short sales imposed by the...

The paper analyses asymmetry in return reversals and in time-varying volatilities and their interactions using daily returns on the Shanghai Stock Exchange and Shenzhen Stock Exchange. It is concluded that asymmetry in volatilities arises from unconfirmed asymmetry in return reversals, or...

We present an alternative expectation formation mechanism that helps rationalize well known asset pricing anomalies, such as the predictability of excess returns, excess volatility, and the equity-premium puzzle. As with rational expectations (RE), the expectation formation mechanism we consider...