This reports evidences a lead-lag relationship between securities which experience high levels of short-selling and those that do not. This is based on evidence that short-selling increases the speed with which information, especially negative information, is absorbed into prices. Previous...

We examine the process of stock prices adjusting to information conveyed by the trading process. Using the price impact of a trade to measure its information content, our analysis shows that the weekly price impact of market transactions has significant cross-sectional predictive power for...

This paper examines whether foreign investor heterogeneity plays a role in stock liquidity on a sample of 27,976 firms from 39 countries. Results show that foreign direct ownership is negatively, while foreign portfolio ownership is positively, associated with various measures of stock...

Stock returns in China exhibit significant co-movement with provincial return indices after controlling for the industry effect, consistent with local co-movement findings in the United States. The magnitude of such co-movement increases with participation in trading by local investors. Trading...

This study examines for evidence of peer effects, via word-of-mouth communication, in investor trading decisions. It exploits a unique setting in Mainland China in that groups of individual investors are in the same trading room at the time they place their stock orders. We find strong...

This study offers new evidence on the preferences of individual investors for certain stock characteristics. Based on 64.2 million trades executed by about 6.8 million Chinese investors, results show that stock preferences of individual investors vary with wealth levels. Wealthier individuals...

This paper employs a unique data set to analyze the trading behavior of 4.74 million individual and institutional investors across Mainland China. Results show that groups of individual investors with varying trade values (as proxies for wealth levels) engage in different trading strategies....