The main purpose of this study is to investigate the relative advantages and disadvantages of first-mover hypotheses by examining the role of entry timing in the announcement effects of corporate capital investment. Our empirical results suggest that those firms first announcing their capital...

The main purpose of this paper is to study the empirical determinants of the underpricing of H-share initial public offerings (IPOs) during the 1993–2003 period. A special characteristic of H-shares is that they are shares of companies incorporated in China, but are also listed abroad. Our...

While a number of commissions and organizations around Washington have produced plans for reducing the projected deficit in the decades ahead, most have not included a financial speculation tax (FST) in the mix. This seems peculiar since an FST has several features that could make it attractive...

Most Initial Public Offerings (IPOs) feature share lockup agreements, which prohibit insiders and other pre-IPO shareholders from selling their shares for a specified period of time following IPO. We explore possible reasons why some IPO firms voluntarily agree to have a much longer lockup...

This paper tests the relationship between takeovers and poor management performance, known as the market discipline hypothesis. We create a proprietary new Australian dataset for this study by individually researching company reports for executive retention data. We assess takeover targets for...

This research separates out the incentive and entrenchment effects of executive pay and uses it to test if the agency cost is that of underinvestment or overinvestment. I find that investments increase with dollar value of stock and options owned by the CEO but decrease with percentage of shares...

This paper tests for nonlinearities in the behavior of volatility expectations based on model-free implied volatility indices. Using Markov regime-switching models, the empirical evidence from the German, Japanese and U.S. markets suggests that there are indeed regime-specific levels of...

Since Value-at-Risk (VaR) disregards tail losses beyond the VaR boundary, the expected shortfall (ES), which measures the average loss when a VaR is exceeded, and the tail-risk-of-VaR (TR), which sums the sizes of tail losses, are used to investigate risks at the tails of distributions for major...

In this paper, we show that aggregate illiquidity is a priced risk factor on the Shanghai Stock Exchange (SHSE). We develop the relationship between the illiquidity factor, asymmetric information, and market decline. Our empirical results show that while the illiquidity factor is a source of...

In this paper, we investigated (i) the possible nonlinear effects in the determinants of capital structures and (ii) the nonlinear adjustment behavior of cross-sectional debt ratios in Australian firms. Our analysis utilized the quantile regression methodology and examined the existence of...