Upon the announcement of the Shanghai-Hong Kong Stock Connect program, connected stocks in the Shanghai Stock Exchange experience significant value appreciation of 1.8% over a seven-day announcement window and significant increases in turnover and volatility compared with unconnected stocks with...

Traditional tests of conditional asset pricing models are performed under the assumption of rational expectations and presume that the use of realized returns as a proxy for expected returns is acceptable. This paper turns the tables and asks what realized returns we would observe, given the...

This study investigates the role of liquidity in pricing stock returns in the Hong Kong stock market. Our results show that liquidity is an important factor for pricing returns in Hong Kong after taking well-documented asset pricing factors into consideration. The results are robust to adding...

We comprehensively investigate what drives stock returns in Hong Kong stock market which has been consistently ranked as one of the most important markets for IPOs. We find that Hong Kong inflation rate is a systematic pricing factor across stocks after controlling for Fama-French three-factor....

This paper investigates the circulation of information on secondary stock markets, using the case study of HSBC shares traded on the exchanges in New York, London, and Hong Kong. The distribution of price discovery is analysed across the three markets, within a 24-hour cycle of trading, and in...

There has been extensive literature on effects of short-sale constraints. A most widely study is Miller (1997) who argues that given the short-sale constraints, investors with bearish information cannot trade in the market unless they already hold the stocks. As a consequence, stock prices...

According to Fama and French's (2012) price-to-book sorts, there is no global value premium among large stocks. Two simple departures from their methodology restore such premium: sorting stocks based on price-to-earnings rather than price-to-book ratios, and using global rather than regional...

This paper develops an international asset-pricing model with defaultable firms and governments that demonstrates how sovereign credit risk in Europe affects US equity market prices. The risk of a sovereign debt crisis is a threat to economic growth that reduces the value of international...