This study establishes a link between corporate investment and short-term return reversal by addressing the role of corporate investment in shaping stock liquidity. We find that short-term return reversal is less pronounced for stocks with high corporate investment. Moreover, the analysis shows...

This paper examines how government ownership and government involvement in a country's banking system affect bank performance from 1989 through 2004. Our study uncovers an interesting pattern of changing performance difference between state-owned and privately-owned banks around the Asian...

We suggest that price interaction among stocks is an important determinant of idiosyncratic volatility. We demonstrate that as more (less) stocks are listed in the markets, price interaction among stocks increases (decreases), and hence stocks, on average, become more (less) volatile. Our...

This paper employs cash flow and accounting based measures to examine performance differences between privately-owned and state-owned banks in sixteen Far East countries from 1989 through 2004, a period including the 1997 Asian financial crisis. We find that state-owned banks operated less...

Increasing popularity of investments in mortgage-backed securities has led to closer integration of the mortgage market into traditional capital markets. Using monthly returns during 1982-1988 for common stocks, Treasury bonds and GNMA and FHLMC mortgage-backed securities, the interbattery...

This paper examines how government ownership and government involvement in a country's banking system affect bank performance from 1989 through 2004. Our study uncovers an interesting pattern of changing performance differences between state-owned and privately-owned banks around the Asian...

This study uses risk-adjusted returns based on the Sharpe Performance Measure to evaluate the presence of three anomalies in two stock index futures, the futures of a smaller firm synthetic index, and their respective underlying spot indexes. The three anomalies are the day-of-the-week, the...