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Article
Why do investors discount earnings announced late?
Holding earnings surprises constant, investors react negatively to delayed earnings announcements. One standard deviation of delay (5 days) corresponds to about 21 bps negative abnormal returns over a two-day ...
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Article
Open AccessThe Volatility Effect in China
This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A-share market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama–French style VOL ...
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Article
Mean-variance optimization using forward-looking return estimates
Despite its theoretical appeal, Markowitz mean-variance portfolio optimization is plagued by practical issues. It is especially difficult to obtain reliable estimates of a stock’s expected return. Recent resea...
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Article
Credit scores and the performance of newly-listed stocks: an exploration of the Chinese A-share market
This study assesses the power of S&P Global Market Intelligence’s CreditModel (CM) scores in explaining the short- and long-run performance of newly-listed Chinese firms. A unique feature of the data arises fr...
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Article
IPO valuation and offering size
Using a sample of 4441 IPOs from the US, we find that IPO firms with larger proportional offering size have lower valuation. The sizes of both primary share offering and secondary share offering are negatively...
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Article
How firms manage their cash flows: an examination of diversification’s effect
We extend recently documented evidence that diversified firms hold significantly less cash than specialized firms to consider differences in how diversified and specialized firms adjust their cash flows to ach...
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Article
Operational restructurings: where’s the beef?
This study provides new evidence on the performance consequences of operational restructurings. Although managers claim that restructurings increase the efficiency and profitability of companies, prior studies...
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Article
The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy
This paper re-examines the profitability of the post-earnings-announcement-drift (PEAD) trading strategy using a practical simulation approach that aligns with a fund manager’s investment perspective. It allow...
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Article
Corporate governance and market segmentation: evidence from the price difference between Chinese A and H shares
This paper empirically examines whether the price difference between Chinese A shares, which are traded in the domestic market, and their matching H shares, which are traded in the Hong Kong market, can be exp...
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Article
Advertising intensity, investor recognition, and implied cost of capital
The main purpose of this paper is to test Merton’s (J Finance 42(3):483–510, 1987) hypothesis that better investor recognition is correlated with lower expected returns. We measure investor recognition with the f...
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Chapter
Case Study of Risks in Cailing Chemical Corporation
As a Large-scale State-owned Corporation, Cailing Chemical Corporation is located in Hubei province, China, and owes 34.5 million Yuan as working fund and 6,000 staff and workers including 1,210 technicians, i...
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Article
Modelling return and conditional volatility exposures in global stock markets
This article empirically investigates the exposure of country-level conditional stock return volatilities to conditional global stock return volatility. It provides evidence that conditional stock market retur...
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Article
Pursuing Value Through Liquidity in IPOs: Underpricing, Share Retention, Lockup, and Trading Volume Relationships
We argue that in an initial public offering (IPO), pre-IPO owners make decisions regarding underpricing, share retention, and share lockup simultaneously and optimally to maximize aftermarket liquidity. We predic...
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Article
Market Efficiency and Returns to Simple Technical Trading Rules: Further Evidence from U.S., U.K., Asian and Chinese Stock Markets
Tian, Wan and Guo (2002) explored the predictability and profitability of technical trading rules in markets with different efficiency levels; namely, the U.S. and China. In the case of the U.S. they found rul...
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Article
Bid-Ask Spreads, Information Asymmetry, and Abnormal Investor Sentiment: Evidence from Closed-End Funds
Using a sample of closed-end equity funds listed on the NYSE from 1994 to 1999, we investigate differences in spreads and adverse selection costs between the closed-end funds and a matched sample of common sto...
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Article
Are Indexed Bonds Really Inflation Proof? A Model of Real and Nominal Term Structures when Money has Real Effects
This paper studies the general behavior of the nominal and real term structures of interest rates in a general equilibrium framework. A central bank is introduced in the model as an agent facing a tradeoff bet...
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Chapter
Modeling Liquidity Risk, with Implications for Traditional Market Risk Measurement and Management
Market risk management has traditionally focussed on the distribution of portfolio value changes produced by changes in the midpoint of bid and ask prices. Hence market risk is traditionally assessed under the...
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Chapter
Value Creation and Process Management: Evidence from Retail Banking
The design and implementation of service delivery processes plays a key role in the overall competitiveness of modem organizations. For example,Roth and Jackson (1995) provide clear evidence that process capabili...
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Chapter
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management
Recent literature has trumpeted the claim that extreme value theory (EVT) holds promise for accurate estimation of extreme quantiles and tail probabilities of financial asset returns, and hence holds promise f...
