This paper studies large price declines of individual stocks in 22 emerging markets. Using analyst reports as a proxy for information arrivals, we find that majority of crashes in emerging markets are not accompanied by information events, and these crashes are followed by price reversals....

This study investigates the impact of short-sales constraints on liquidity for individual stocks in Hong Kong, as the Hong Kong Stock Market has a special feature such that, at each point of time, only a subset of stocks are allowed to be sold short, with the list of these stocks changing over...

This study investigates the impact of foreign investors on stock price efficiency and return predictability in emerging markets. It finds that stocks fully investible for foreign investors exhibit stronger price momentum than non-investible stocks. The difference in momentum effects between...

Financial derivatives have been increasingly used by firms to hedge against financial risks. However, it is still not clear what factors at the firm level lead to firms' derivative use and whether derivative use can generate performance improvement, especially in the context of firms operating...

In a true out of sample test we find no evidence that several well-known technical trading strategies predict stock markets over the period of 1987 to 2011. Our test is free of the sample selection bias, data mining, hindsight bias, or any of the other usual biases that may affect results in our...

Current evidence on the predictability of technical analysis largely concentrates on price-based technical indicators such as moving averages rules and trading range breakout rules. In contrast, the predictability of widely used technical market indicators such as advance/decline lines,...

Many so-called return predictability anomalies disappear over time. One theoretical explanation is that investors arbitrage profits away through their trading. But investors have used technical analysis strategies for ages, so this argument may not necessarily hold for seemingly profitable...

This paper investigates the impact of state ownership on exposure of Chinese firms to economic policy uncertainty (EPU). We present strong and robust evidence that firm-level economic policy uncertainty exposure is positively related to proportion of state ownership. Furthermore, we identify...

In a true out-of-sample test based on fresh data we find no evidence that several well-known technical trading strategies predict stock markets over the period of 1987 to 2011. Our test safeguards against sample selection bias, data mining, hindsight bias, and other usual biases that may affect...