This paper explores the implications of a dividend yield model for predicting aggregate Japanese stock returns using long time-series data from 1949 to 2009. In addition to one-period return tests, we conduct statistical tests based on dividend growth forecasts and long-horizon return forecasts...

This paper examines block transactions in the Chinese equity market. We find that most of the block transactions are traded at prices at or below the closing price of the regular continuous auction market, and more than half are traded at or below the lowest price of the day. Consistent with the...

We further explore a new volatility explanation for the permanent price effect of index additions, using a sample of changes in the Nikkei 225. Additions to the index elicit significant price hikes, which tend to be permanent despite temporary price reversals. Meanwhile, investor awareness and...

Financial markets have become increasingly global in recent decades, yet the pricing of internationally traded assets continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with standard frameworks. Equity returns depend upon both...

Purpose – The purpose of this paper is to study the effects of short-sale constraints and differences of opinions on the price premium of dual listed Chinese A-H shares. Design/methodology/approach – The analysis mainly follows the Miller's model, which indicates that the relaxation of...

This paper examines capital market effects of changes in securities regulation. We analyze two key directives in the European Union (EU) that tightened market abuse and transparency regulation and its enforcement. All EU member states were required to adopt these two directives, but did so at...

This paper examines the effects of option introductions on the price and risk of the underlying assets. The data, covering 58 introductions during the period 1985-1997, have been collected from the Nordic markets (Denmark, Finland, Norway, and Sweden). A persistent increase of stock returns is...

This paper provides an overview of the knowledge available to date on market fragmentation and its consequences, with a specific focus on the European experience. Since the implementation of MiFID1 on 1 November 2007, market fragmentation has considerably increased in European stock markets...

This paper presents direct evidence for relational contracts in sovereign bank lending. Unlike the existing empirical literature, its instrumental variables method allows for distinguishing a direct influence of past repayment problems on current spreads (a "punishment" effect in prices) from an...

This study examines the relation between the sentiment of noise traders and stock prices in ten Post-Communist East European stock markets: Bulgaria, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, Slovak Republic and Slovenia over the period April 2004 to March 2014. The...