Using the uniqueness of Hong Kong regulations on short selling, I find that the CAPM, the Fama-French Three-Factor and the Four-Factor model fare significantly better in capturing the cross-section of expected returns on the stocks which are shortable than the stocks which are not. The results...

This paper examines the differences in the price effects of stock characteristics between two alternative short-sale regimes - one under which stocks are shortable and the other where they are not. Using the uniqueness of Hong Kong regulations on short sales to distinguish between the two...

This study empirically examines the applicability of the Grinblatt and Han (2005) model for analyzing the relationship between the disposition effect and momentum in the Chinese stock market by testing the three hypotheses implied by their model. Our results show that unrealized capital gains...

We explore the impact of equity liquidity, leverage deviation and target instability on a firm’s dynamic leverage adjustments in the UK market by using a large sample of daily data over the period from 1996 to 2016. Our analyses document that the firm’s equity liquidity has a positive impact...

Does waste disclosure really work? This study investigates the effect of waste disclosure on corporate governance. The results highlight a significant and positive relationship among board gender, independent board directors, sustainability committee, and verification of waste disclosure....

This study examines how rookie independent directors (RIDs) affect corporate fraud. Using a large sample of Chinese listed firms, we find that firms with greater RID representation are more likely to commit fraud. Our result remains robust after controlling for numerous firm and board...

Purpose – The purpose of this paper is to examine whether the framework of Prospect Theory and Mental Accounting proposed by Grinblatt and Han (2005) can be applied to analyzing the relationship between the disposition effect and momentum in the Chinese stock market....