Using financial ETFs from various financial industries, we set out in this study to explore the relationship between funding liquidity and equity liquidity. We measure funding liquidity from the interbank as well as the collateral markets and examine how funding liquidity affects bid-ask spread,...

The literature frequently views foreign institution investors in emerging markets as informed traders with an information advantage that likely increases market efficiency. Using a unique data set from the Taiwan Futures Exchange (TAIFEX), we directly investigate the informational role played by...

We examine whether investors can improve their investment opportunity sets by adding an IPO portfolio to a set of benchmark portfolios sorted by firm size and book-to-market ratio. Using U.S. IPOs from 1980-2002, we find that adding a value-weighted IPO portfolio does lead to a statistically and...