This paper investigates whether and how futures market sentiment and stock market returns heterogeneously affect the trading activities of institutional investors in the spot market in Taiwan. Our empirical results suggest that foreign investors are net sellers whenever futures market sentiment...

The main purpose of this paper is to examine whether "newly raised funds" (NRFs) can actually achieve the performance targets. The targets are usually provided to investors by the fund companies at the time when such new funds are introduced. Our results show that the performance of the new...

This paper examines firm-level valuations by financial analysts and by the market, using a traditional vector error-correction model (VECM) or threshold vector error-correction model (TVECM) to obtain the information shares of the two parties. While investors' valuations lead financial analysts'...

Previous studies show that the price transmission between foreign stocks and their American Depositary Receipts (ADRs) relies not only on current but also on past information such as individual stock returns, market returns and changes in exchange rates. In addition to these factors, this study...