This paper investigates high-frequency (HF) trading in the U.S. Treasury market around macroeconomic news announcements. After identifying HF market and limit orders based on the speed of their placement alteration and cancellation deemed beyond manual ability, we use the introduction of the...

There has been a steady increase in institutional ownership of penny stocks over the past decades. Nevertheless, we show that penny stocks bought by institutional investors significantly underperform other penny stocks in subsequent four quarters. This poor performance is mainly driven by...

The literature documents that the short-selling ban during the financial crisis led to a significant deterioration of options market quality. We examine the impact of single-stock futures (SSFs) trading on options market quality during the short-selling ban period. We show that there is a...

Using jumps in stock prices as a proxy for large information shocks, we provide evidence consistent with short-term underreaction in the US equity market. Strategies long (short) stocks with positive (negative) lagged jump returns earn significantly positive returns over the next one to...

In this paper, we provide evidence that the information uncertainty risk associated with the fiscal-year-end (FYE) quarter earnings is unique in nature. Based on a long sample period from 1984 to 2015, we show that there is a significantly lower earnings response coefficient (ERC) for FYE...

This paper investigates the impacts of CEOs’ research experiences on corporate innovation, and shows that the firms managed by researcher CEOs have significantly higher investments in innovative activities, generate better innovation output as measured by the number of patents and citations,...