This reports evidences a lead-lag relationship between securities which experience high levels of short-selling and those that do not. This is based on evidence that short-selling increases the speed with which information, especially negative information, is absorbed into prices. Previous...

If investors perceive dividend changes as providing signals about specific firms' future prospects, it can be argued that the magnitude of stock price reactions to dividend change announcements will vary with the relative importance of the firms' specific information in their return dynamics. We...

We evidence a non-linear relationship between firm value and corporate social responsibility, adding to the mixed evidence on this relationship. We show that corporate social responsibility exhibits a dynamic process, which is largely dependent on a firm's industry, relative standing amongst...

We analyse interactions of simultaneous shifts in comprehensive balance sheet items annually and identify common (latent) factors, which are consistent across years. Five factors are interpreted to reflect five major decisions in businesses: Financial Flexibility, Short-term Credit, Long-term...

Stock returns in China exhibit significant co-movement with provincial return indices after controlling for the industry effect, consistent with local co-movement findings in the United States. The magnitude of such co-movement increases with participation in trading by local investors. Trading...

Can trading volume help unravel the long-term overreaction puzzle? With portfolios of non-Samp;P 500 NYSE stocks, we show that (a) both the high- and low-volume (abnormal volume) contrarian portfolios earn a much higher market-adjusted excess return than the normal-volume contrarian ortfolio,...

Using the adverse selection component of the spread as a measure of asymmetric information,we investigate how asymmetric information evolves after firms go public. We find that the level of asymmetric information is lower immediately after the initial public offering (IPO) compared with its...

Exchange Traded Funds (ETFs) are one of the fastest growing areas of investing and have significantly changed investor behavior, yet there is limited academic research on ETFs, with minimal on commodity based ETFs. This paper is the first to examine whether abnormal returns are available for...

We provide a closer look at the trading dynamics which may give rise to the positive relationship between market trading volume and its lagged returns. Chinese market turnover increases sharply with past day returns. A comprehensive dataset which facilitates the tracing of trading activities...

We show that conventional aggregation of corporate social responsibility (CSR) raw scores and its interpreted impact on firm value is less than reliable. Instead, the value impact of CSR activities relies heavily on the industry-specific relative position of the firm. Firms that distinguish...