This research project aimed to discover what happens to stocks when they're being admitted to the NASDAQ Regulation SHO threshold list. Does appearance on the list scare off potential buyers, driving prices lower and ushering a new bearish trend? Or, does it attract buyers, causing stocks to...

We obtain a unique dataset to examine the effect of the Shanghai-Hong Kong Stock Connect program, which allows foreign investors from Hong Kong to buy stocks listed in Shanghai (northbound) and domestic investors from mainland China to buy stocks listed in Hong Kong (southbound). There is a...

The purpose of this research is to identify how dividend payments affect the U.S. equity market at the sectoral level. A conventional stock valuation model predicts a positive response of equity price to higher dividend payment. Higher dividends convey confidence about the firm's future to the...

This study examines listing day performance of IPOs, book-built and fixed-price IPOs, post-listing aftermarket performance of IPOs, book-built and fixed-price IPOs in the Indian stock market. We examine pricing as well as long run performance of 464 (365 book-built IPOs and 99 fixed-price IPOs)...

We apply machine learning techniques and use stock characteristics to predict the cross-section of stock returns in 33 international markets. We conduct a stringent out-of-sample test to examine concerns about overfitting: the models are trained with past U.S. data and used to predict...

This paper presents steps to lower the overall volatility in the stock market; as a large portion is unrewarded and unjustified and driven by overreaction accompanies with herd behavior. We first map the key factors that cause volatility, such as: earnings surprise, CEO turnovers, merge and...

According to the financial press, firms with low leverage have lower distress risk due to their reduced exposure to the credit market, especially during credit crises. Compared to their conventional and socially responsible (SRI) counterparts, sharia compliant (SC) stocks are low-leverage...

The market value of the Chinese stock market is considerably large given its short history. However, unlike stock market in other countries, we notice a unique phenomenon in China that investors usually chase after hot topics wherever aroused by policies, technologies or many other issues. The...

Because dividends are taxed at a higher rate than capital gains, as stock with a higher yields should have a higher expected return than a stock whose return is expected to result mostly from price appreciation. Adding yield to the traditional Security Market Line results in a "market plane"...

We study the persistence over time of nine well-known equity market anomalies in the cross-section of U.K. stocks. We find strong evidence of diminished statistical significance for most of these anomalies including the return reversal and momentum effects. Two anomalies -- firm profitability...