Five Asian stock markets (Hong Kong, Japan, South Korea, Taiwan, and Thailand) and the U.S. stock market are evaluated for evidence of cross-autocorrelation. We find evidence of Lo and MacKinlay's (1990a) cross-autocorrelation in each of the five Asian markets. Specifically, within each country,...

We document a set of instruments that explain a large fraction of the time series variation in turnover between 1966 and 2003. We use these relations in latent variable tests that examine the number of predictable factors that drive conditional expected time-varying turnover. After refining the...

Contrary to the hypothesis that informed short sellers increase their positions prior to earnings announcements, we find that short activity declines in the pre-announcement period compared with activity in non-announcement time. This statistically significant, but economically modest, decline...