By using a unique dataset of daily short covering volumes obtained from the Taiwan Stock Exchange, we first examine, in general, what drives daily short covering activity in the cross-section and its return predictability; we then investigate, in specific, the relation between short covering and...

Theoretical models on herd behavior predict that under different assumptions, herding can bring prices away (or towards) fundamentals and reduce (or enhance) market efficiency. In this article, we study the joint effect of herding and momentum at the industry level. We find that the momentum...

This article studies the relationship between initial market response to earnings surprise and subsequent stock price movement. We first develop a new measure – the earnings response elasticity (ERE) – to capture initial market response. It is defined as the absolute value of earnings...

Firm life-cycle concept has been used in a variety of disciplines, including economics, finance and accounting, and also in the real-world investment. This paper develops a new methodology of measuring firm life-cycle stages. By comparing a firm's status at each point of its development with its...

This paper investigates investor inattention as a plausible explanation for market reaction to repurchase announcements. We use prior turnover as the proxy for investor attention to examine the difference in stock price performance between low-attention stocks and high-attention stocks. We find...

Theoretical models on herd behavior predict that under different assumptions, herding can bring prices away (or towards) fundamentals and reduce (or enhance) market efficiency. In this article, we study the joint effect of herding and momentum at the industry level. We find that the momentum...

We design modified value investing strategies in emerging equity markets by comparing a country's value weight with its market capitalization weight among a group of emerging countries. These strategies can be easily tested and implemented by using various country index funds. Our proposed...

In this study, we take advantage of the unique features of the Taiwan stock market, where short selling is forbidden within the first six months following an IPO. We examine the effects of short selling on IPO price efficiency and the relation between short selling activities and the fundamental...

We empirically assess a variety of portfolio construction strategies using MSCI country indices from 1998 to 2010. These strategies range from the classic mean-variance optimization strategy to simple allocation strategies, such as equally weighted and dividend-yield-weighted portfolios. We find...

This article studies the relationship between initial market response to earnings surprise and subsequent stock price movement.We first develop a new measure – the earnings response elasticity (ERE) – to capture initial market response. It is defined as the absolute value of earnings...