This paper investigates the efficiency consequences of firm disclosure. Using accounting and financial data in the Chinese market, the largest emerging market dominated by noise traders, we find that disclosure attracts noise trading and reduces the amount of information learned by firms from...

We study the price impact of daily institutional herding induced by information events. Using analyst recommendation changes as a proxy, we find that institutional herding on recommendation changes is short–lived. Daily institutional herding, on average, destabilizes price. However, herding...

We revisit China's overinvestment problem by examining capital return from two perspectives. First, we re-estimate capital returns. The two existing estimation methods generate different results. After adjusting for statistical coverage and assumptions, the two methods achieve largely consistent...

Making use of the excessively speculative Chinese stock market, we test the effect of speculative trading on stock returns. We find a significantly negative relationship between abnormal turnover and future returns. In contrast, past average turnover does not predict returns. The effect of...

Using daily trade and quote data, we test whether institutional trading patterns are consistent with Avery and Zemsky's (1998) theoretical model of information cascades. Consistent with theory, we find variables proxying for information asymmetry to positively predict increased levels of...