This paper examines the effects of market liberalization on exchange-rate exposure of exporting firms and its possible time-varying nature. Using Taiwanese exporting firms as a test case, particularly, we consider the effects of the timing of the three liberalization events through which the...

A methodology is proposed to test the lead-lag relation between portfolio returns under price-limit restriction. The price-limit restriction is an important microstructure of the Taiwan stock market. Prior research on US stock return found that the lagged return of large-cap portfolios are...

This study is motivated by the one-way-inducement hypothesis that R&D induces (Granger-causes) physical investment, but physical investment does not induce R&D, raised by Lach and Schankerman (1989) and Lach and Rob (1996). It is demonstrated that their results do not hold, after extending the...

In this paper, we propose a model-selection approach to testing the expectations theory of the term structure of interest rates. Our method is based on the posterior information criterion (PIC) developed and analyzed by Phillips and Ploberger (1994, 1996) and extended to provide order estimation...

Chiao and Lin (2004) argue that the strategies following the investment pace of security investment trust companies (SITCs) are more profitable than the market and those following foreign investors (FIs) and security dealers (SDs) in the Taiwan stock market. We reexamine their results under...

In this paper we observe that firm size (SZ) and book-to-market (BM) cannot fully explain stock returns on prior-return- (PR-) based portfolios in the Japanese stock market. The overreaction effect after controlling for the SZ and BM effects is significant and persistent, and accounts for a...