We document a directional asymmetry in the small stock concurrent and lagged response to large stock movements. When returns on large stocks are negative, the concurrent beta for small stocks is high, but the lagged beta is insignificant. When returns on large stocks are positive, small stocks...

Following prior studies that suggest that option volume contains information about underlying stock prices, we examine option activity prior to earnings announcements. Results in this study show that put (call) volume relative to total option volume is higher prior to unfavorable (favorable)...

We show that initial cross-listings are consistent with legal bonding for only a small fraction of Depositary Receipt issues between 1990 and 2000. We argue that subsequent equity issue patterns cannot be consistent with legal bonding for a greater fraction of the sample. However, using a...

Much of traditional asset pricing theory rests on the assumption of normality in the distribution of stock returns. A growing body of research suggests that skewness in the return distributions can affect asset prices. This paper attempts to empirically identify factors that influence return...

We examine the profitability of insider trading in Hong Kong between 1993 and 1997. On average, firms in Hong Kong have very concentrated ownership and insiders trade more actively and account for larger fractions of total turnover of their firms' shares than do US insiders. Inside sellers in...

We examine the relative prices of quot;siblingquot; American Depositary Receipts (ADRs). These ADRs are issued by the same foreign firms against shares with different voting rights. Though superior and inferior voting siblings begin their US trading experience at nearly equal values, relative...