This paper takes a new approach to examine whether investors extrapolate from past returns to form expectations about future stock returns. Unlike prior research that relies on experiments or surveys to derive investors' expectations, we estimate expected returns directly from stock prices, the...

Habib (2008) shows that financial transparency, but not governance transparency, is related to efficiency in capital allocation. I argue that governance transparency is more likely to facilitate capital allocation in declining industries where agency problems intensify. Empirical evidence from a...

This study investigates the impact of foreign investors on the informational efficiency of stock prices in local markets. Using a large sample of Japanese firms over the period 1975 to 2008, we find that prices deviate less from a random walk for stocks with a large change in foreign ownership....

This study investigates whether product market competition reduces agency problems between controlling shareholders and minority shareholders in Japan. In particular, we examine firms' dividend policies in competitive versus concentrated industries. In a large sample of Japanese firms we find...

We examine, in a controlled experimental setting, whether changes in investor mood cause changes in the determinants of stock prices. Our results show that a deterioration in mood, reflected in the negative dimensions of mood state, increases the level of risk aversion in male, but not female,...

We examine the effect of hierarchy on analyst teams' performance using a large sample of financial analysts from China. Hierarchy, defined as the disparity in power or status within a group, which we operationalise as the difference in experience between the senior and junior analyst in a team,...

Consistent with the industry practice of linking analyst compensation to their reputation, we find that large traders primarily follow the advice of star analysts and ignore the recommendations of non-star analysts. They buy (sell) stocks for which star analysts revise their recommendations...

We test the proposition in Johnstone (2016) that new information may lead to higher, rather than lower, uncertainty about firms' future payoffs. Based on the Bayesian rule, we hypothesize earnings news that is inconsistent with investors' prior belief will lead to higher market uncertainty....

We empirically examine whether adopting a uniform set of accounting standards mitigates information frictions in financial markets and facilitates market integration. Using a difference-in-difference design, we find that after the mandatory adoption of International Financial Reporting Standards...

This paper examines whether dividend policy is associated with earnings management and whether the relationship varies across countries with wide-ranging degrees of institutional strength and transparency. Based on a sample of 23,429 corporations from 29 countries, we show that dividend payers...