By considering a financial market of fundamentalists and trend followers in which the price trend of the trend followers is formed as a weighted average of historical prices, we establish a continuous-time financial market model with time delay and examines the impact of time delay on market...

One striking feature of international portfolio investment is the extent to which equity portfolios are concentrated in the domestic equity market of the investor—the home bias puzzle. I examine the role of investors' perception of foreign investment risk on their portfolio choices. The...

This paper presents both the time-series and cross-country evidence on the growth of global equity markets and attempts to shed some light on the sources of equity market growth. Using data on 33 countries, I find that development of financial intermediaries and openness to trade are positively...

We study the way in which information about corporate decisions is reflected in stock prices. In the corporate finance literature a typical assumption is that managers have superior information that is revealed to the market by their corporate decisions and personal equity trades. In contrast,...

We explore how compensation policies following mergers affect a CEO's incentives to pursue a merger. We find that even in mergers where bidding shareholders are worse off, bidding CEOs are better off three quarters of the time. Following a merger, a CEO's pay and overall wealth become...

Using proprietary audit trail transaction data compiled by the Commodity Futures Trading Commission, we investigate, at the individual trader level, (1) the timing and (2) the determinants of dual traders’ personal trades. Our analysis reveals an absence of any trade timing by dual traders in...

Purpose – This study seeks to examine the role of firm characteristics and insider private information in affecting Canadian firms’ repurchase decision and the associated announcement period stock return. Design/methodology/approach - Past studies of announcement returns employ a standard...

We provide one of the first large sample comparisons of cash policies in public and private U.S. firms. We first show that despite higher financing frictions, private firms hold, on average, about half as much cash as public firms do. By examining the drivers of cash policies for each group, we...