Analyzing the stock return reaction for issuing and non-issuing US banks, we explore the systemic effects of seasoned equity offerings (SEOs) by systemically risky banks. We find that SEOs do not generate value benefits for systemically risky issuers. In contrast, non-issuers' stock returns...

In this research we advance a theory to explain the distributive politics under an institutionalized single-party regime. We argue that the need of support from below, and therefore the need of support-buying, varies with the degree of power concentration among the authoritarian leadership....

We examine the trading behavior of particularly intensive traders, those who contribute the most to daily trading volume, and provide new evidence that is consistent with the presence of informational advantages. Using a unique Chinese data set of the most active daily market participants for...

Motivated by the stylized fact that intraday returns can provide additional information on the tail behaviour of daily returns, we propose a functional autoregressive value-at-risk approach which can directly incorporate such informational advantage into the daily value-at-risk forecast. Our...

Governments are important financiers of private sector innovation. While these public funds can ease capital constraints and information asymmetries, they can also introduce political distortions. We empirically explore these issues for China, where a quarter of firms' R&D expenditures come from...

Governments are important financiers of private sector innovation. While these public funds can ease capital constraints and information asymmetries, they can also introduce political distortions. We empirically explore these issues for China, where a quarter of firms' R&D expenditures come from...

We study time-varying price leadership between international stock markets using a Markov switching causality model. We demonstrate variations in the causality pattern over time, with the US being the dominant country in causing other markets. We examine the factors which determine a country's...

This paper studies the effect of capital account liberalization policies on the price discovery of cross-listings in Chinese stocks. We construct a non-linear causality framework that decomposes short- and long-run dimensions of price leadership. Our analysis shows that capital account...

Previous literature finds that anomalies are at least as prevalent in developed markets as in emerging markets; namely, the global anomaly puzzle. We show that while market development and information diffusion are linearly related, information diffusion has a nonlinear impact on anomalies. This...

We use brokerage account records to study trading during the Chinese put warrants bubble and find evidence consistent with extrapolative theories of speculative asset price bubbles. We identify the event that started the bubble and show that investors engaged in a form of feedback trading based...