This paper models a stock split as a mechanism for inducing uninformed investors to pay brokers' analysts (through trading commissions) and informed investors (through trading losses) to monitor managers and make stock price more informative, which in turn creates a better investment environment...

We examine the effects of China’s new policy target of doubling the number of invention patents per 10,000 people in the 12th Five-Year Plan (2011-2015). Although this per-capita target policy is more challenging for local governments of less innovative provinces, we find an increase in patent...

This paper uses a simple approach to capture time-varying risks surrounding seasoned equity offerings to shed further light on SEO timing and post-issue underperformance. We find that a steady decline in issuing firms' cost of equity capital to its lowest point prompts them to file SEOs. The...

This paper develops a general equilibrium model and provides empirical support that the market volatility-of-volatility (VOV) predicts market returns and drives the time-varying volatility risk. In asset pricing tests with the market, volatility, and VOV as factors, the risk premium on VOV is...

We analyze Taiwan's IPO auctions to shed light on the diminishing role of auctions in IPO markets. In contrast to Ljungqvist and Wilhelm's (2002) results for bookbuilding IPOs, we find that underpricing increases with institutional allocation in auctions. This implies that issuing firms in...

Recent empirical studies on asset pricing have generally concluded that the CAPM cannot explain the cross-sectional returns on common stocks. If stock markets are not in equilibrium, what percentage of common stocks are mispriced? Answers to this question have broad implications for market...

This paper identifies measurement error when using high-frequency transaction price data in the estimation of error correction models and cointegration analysis. Within the framework of price discovery analysis, we show that high-frequency transaction price variables are not relevant to the...

Using an intraday transaction dataset with trader identity, we study foreign and domestic investors' trading activities and investment performance ahead of open-ending events of Taiwanese closed-end funds. Simply buying the funds at a discount and holding until open ending generates large...

The relation between theorized components of the bid-ask spread and trade size for a sample of NYSE firms is examined. We find that the adverse selection component increases uniformly with trade size. Conversely, order processing costs decrease with increases in trade size for all but the...