Guided by the evidence that insiders and institutional investors are better informed, I comprehensively investigate the trading behavior and ownership of insiders and institutional investors in Taiwan in an attempt to differentiate between the two types of investors. Insiders gain profits from...

Existing studies on the informational content of at-the-money implied volatility (ATMIV) and past realized volatility (PRV) and the relation between the two have mainly focused on a single short forecast horizon and conclude that ATMIV outperforms PRV. We examine the relation between implied and...

We compare the market quality of the newly established, second board of the China stock market, the Growth Enterprise Market (GEM) with the Main Board, and examine its impact on the Main Board from the market microstructure perspective. Using the newly available transaction level data, several...

This paper attempts to characterize the production technology of venture capital (VC) firms in Taiwan, whilst taking into account the simultaneity problem that arises from the correlation between inputs and unobserved productivity. The estimates of scale economies from OLS are found to be much...

This paper constructs the float adjusted measure of home bias and explores the determinants of bond home bias by employing the International Monetary Fund's high quality dataset (2001 to 2009) on cross-border bond investment. The paper finds that Australian investors' prefer investing in...

The objective of this paper is to offer a methodology for sizing credit-sensitive Asset Backed Securities (ABS) used in the prime mortgage lending sector in the U.S. and then to evaluate their relative performance. Using a multi-factor Monte Carlo simulation framework, we perform a four-step...

The main purpose of this paper is to investigate how investors perceive and respond to a firm's R&D announcement. We propose that board structure and intra-industry competition jointly dictate the announcement return. In addition, we assume that investors prefer carefully scrutinized R&D...

This paper empirically considers economies of scale that firms must reach to be considered viable ongoing entities. These are estimated from the selling prices of actual firms in two broad industries — service and manufacturing. For service firms, the minimum size is $10 million in annual...

It is demonstrated that carry trade can be made more profitable by taking into account the drift factor in the random walk behavior of the underlying exchange rate if it is significant. By using four currency combinations we find the drift factor to be significant at horizons longer than one...

This paper explores how the fearful market-based sentiment indicators affect investor trading behavior and market liquidity. Our results show that a high degree of fearful market-based sentiment induces more sell orders along with a reduction in market liquidity, and vice versa. In addition,...