Showing 1 - 10 of 26
Employing a novel approach of integrating regime analysis with event analysis, we examine the overall valuation pattern of stocks that traverse the short-sale-ban and the no-ban regime, employing data from the Hong Kong market. Switching from the ban to the no-ban regime, stocks initially...
Persistent link: https://www.econbiz.de/10012994075
This paper studies large price declines of individual stocks in 22 emerging markets. Using analyst reports as a proxy for information arrivals, we find that majority of crashes in emerging markets are not accompanied by information events, and these crashes are followed by price reversals....
Persistent link: https://www.econbiz.de/10014352385
Emerging markets share many distinct features that separate them from more developed markets, including low liquidity and high commonality in liquidity. This study on 18 emerging markets finds that individual stock liquidity is more affected by systematic volatility than by idiosyncratic...
Persistent link: https://www.econbiz.de/10013010919
This study examines how short sales constraints affect the stock price adjustment to the release of public information in the Hong Kong Stock Exchange. Using a unique feature of this market that allows us to directly investigate the impact of short sales restriction, we find the following....
Persistent link: https://www.econbiz.de/10013010948
This study investigates the impact of short-sales constraints on liquidity for individual stocks in Hong Kong, as the Hong Kong Stock Market has a special feature such that, at each point of time, only a subset of stocks are allowed to be sold short, with the list of these stocks changing over...
Persistent link: https://www.econbiz.de/10013022796
Persistent link: https://www.econbiz.de/10012104714
This study empirically examines the applicability of the Grinblatt and Han (2005) model for analyzing the relationship between the disposition effect and momentum in the Chinese stock market by testing the three hypotheses implied by their model. Our results show that unrealized capital gains...
Persistent link: https://www.econbiz.de/10013022760
Does waste disclosure really work? This study investigates the effect of waste disclosure on corporate governance. The results highlight a significant and positive relationship among board gender, independent board directors, sustainability committee, and verification of waste disclosure....
Persistent link: https://www.econbiz.de/10013492138
This study examines how rookie independent directors (RIDs) affect corporate fraud. Using a large sample of Chinese listed firms, we find that firms with greater RID representation are more likely to commit fraud. Our result remains robust after controlling for numerous firm and board...
Persistent link: https://www.econbiz.de/10014244636
Individual stocks co-vary with each other in their liquidity, which induces a systematic, undiversifiable liquidity risk for investors. Despite the pervasive evidence on the commonality in individual liquidity within stock markets, few researches have looked at the source of commonality in...
Persistent link: https://www.econbiz.de/10014202479