subject area of

• A Cognitive Theory of Corporate Disclosures  Academic Article
• A Protocol for Factor Identification  Working Paper
• A Theory of Trading in Stock Index Futures  Academic Article
• A bootstrap test for predictability of asset returns  Academic Article
• A case study on Incitec Pivot's acquisition strategy of dyno nobel  Academic Article
• A closed-form solution to American options under general diffusion processes  Academic Article
• A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests  Academic Article
• A survey of Islamic banking and finance literature: Issues, challenges and future directions  Academic Article
• A test of the Samuelson Hypothesis using realized range  Academic Article
• Accounting quality in the pre-/post-IFRS adoption periods and the impact on audit committee effectiveness - evidence from Australia  Academic Article
• Adverse selection and the market for consumer credit  Academic Article
• Agency costs, ownership structure and corporate governance compliance: A private contracting perspective  Academic Article
• Algorithmic and high frequency trading in Asia-Pacific, now and the future  Academic Article
• Algorithmic trading in turbulent markets  Academic Article
• Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1  Academic Article
• An Efficient Algorithm for Solving Large-Scale Portfolio Problems  Academic Article
• An Empirical Analysis of Stock and Bond Market Liquidity  Academic Article
• An Exploratory Econometric Model of Financial Markets  Academic Article
• An analysis of asymmetry in foreign currency exposure of the Australian equities market  Academic Article
• An international market model and exchange rate risk: Australian evidence  Academic Article
• Analysis of price reactions to interim dividend reductions — a note  Academic Article
• Annals of Finance  Journal
• Announcements of bonus share options: Signalling of the quality of firms  Academic Article
• Anonymity and order submissions  Academic Article
• Anonymity and the Information Content of the Limit Order Book  Academic Article
• Applied Economics Letters  Journal
• Applied Financial Economics  Journal
• Are Asian stock markets efficient? Evidence from new multiple variance ratio tests  Academic Article
• Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation  Working Paper
• Are Islamic stock returns predictable? A global perspective  Academic Article
• Are price limits really bad for equity markets?  Academic Article
• Asia-Pacific Financial Markets  Journal
• Asset price bubbles and economic welfare  Academic Article
• Asymmetric Information and News Disclosure Rules  Academic Article
• Automatic variance ratio test under conditional heteroskedasticity  Academic Article
• Bank governance and crisis-period efficiency: a multinational study on Islamic and conventional banks  Academic Article
• Bank modelling methodologies: A comparative non-parametric analysis of efficiency in the Japanese banking sector  Academic Article
• Bank performance and risk-taking - does directors' busyness matter?  Academic Article
• Behavioural Finance: A Review and Synthesis  Academic Article
• Board independence, investment opportunity set and performance of South African firms  Academic Article
• Board quality and the cost of debt capital: the case of bank loans  Academic Article
• Brand perceptions and the market for common stock  Academic Article
• CORPORATE FINANCIAL STRATEGIES AND MARKET MEASURES OF RISK AND RETURN  Academic Article
• COVID-19 lockdowns, stimulus packages, travel bans, and stock returns  Academic Article
• Can economic policy uncertainty predict stock returns? Global evidence  Academic Article
• Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market  Working Paper
• Capital Market Efficiency and Arbitrage Efficacy  Academic Article
• Capital structure effects on the prices of equity call options  Academic Article
• Circuit Breakers and Market Volatility: A Theoretical Perspective  Academic Article
• Classroom Simulation as a Pedagogical Device in Teaching Money and Banking  Academic Article
• Co-Movements in Bid-Ask Spreads and Market Depth  Academic Article
• Cognitive dissonance, sentiment, and momentum  Academic Article
• Common liquidity shocks and market collapse: Lessons from the market for perps  Academic Article
• Commonality in liquidity  Academic Article
• Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam  Academic Article
• Corporate Governance Structure and the Valuation of Australian Firms: Is There Value in Ticking the Boxes?  Academic Article
• Corporate boards and performance pricing in private debt contracts  Academic Article
• Corporate governance and liquidity creation nexus in Islamic banks—Is managerial ability a channel?  Academic Article
• Corporate governance and ownership structure of target companies and the outcome of takeovers  Academic Article
• Corporate governance reform and family firms: Evidence from an emerging economy  Academic Article
• Corporate governance, firm value and risk: Past, present, and future  Academic Article
• Coskewness risk decomposition, covariation risk, and intertemporal asset pricing  Academic Article
• Credit quality implied momentum profits for Islamic stocks  Academic Article
• Cross-country determinants of ownership choices in cross-border acquisitions: Evidence from emerging markets  Academic Article
• Currency option pricing: Mean reversion and multi-scale stochastic volatility  Academic Article
• Directors’ Recommendations in Takeovers: An Agency and Governance Analysis  Academic Article
• Divergence of US and Local Returns in the After-market for Equity Issuing ADRs  Academic Article
• Diversification evidence from international equity markets using extreme values and stochastic copulas  Academic Article
• Dividend reductions, the timing of dividend payments and information content  Academic Article
• Do constraints on financial and operating leverage affect the performance of Islamic equity portfolios?  Academic Article
• Do different types of political connections affect corporate investments? Evidence from Malaysia  Academic Article
• Do financial technology firms influence bank performance?  Academic Article
• Do wealthy investors have an informational advantage? Evidence based on account classifications of individual investors  Working Paper
• Does Carbon Risk Matter in Firm Dividend Policy? Evidence from a Quasi-Natural Experiment in an Imputation Environment  Academic Article
• Does Islamic stock sensitivity to oil prices have economic significance?  Academic Article
• Does average skewness matter? Evidence from the Taiwanese stock market  Academic Article
• Does exposure to foreign competition affect stock liquidity? Evidence from industry-level import data  Academic Article
• Does program trading contribute to excess comovement of stock returns?  Academic Article
• Does takeover activity affect stock price crash risk? Evidence from international M&A laws  Academic Article
• Dual-class premium, corporate governance, and the mandatory bid rule: Evidence from the Brazilian stock market  Academic Article
• Economic Notes  Journal
• Economic Significance of Predictable Variations in Stock Index Returns  Academic Article
• Economies of scale and scope in UK building societies: an application of the translog multiproduct cost function  Academic Article
• Economies of scale in UK building societies: A re-appraisal using an entry/exit model  Academic Article
• Effective Governance, Financial Markets, Financial Institutions & Crises  Academic Article
• Efficiency and productivity change in UK banking  Academic Article
• Efficiency in Japanese banking: An empirical analysis  Academic Article
• Emerging Markets Review  Journal
• Empirical tests on the liquidity-adjusted capital asset pricing model  Academic Article
• Employee treatment and bank default risk during the credit crisis  Academic Article
• Equity market momentum: A synthesis of the literature and suggestions for future work  Academic Article
• Ethical investing and capital structure  Academic Article
• European Financial Management  Journal
• Evidence on the speed of convergence to market efficiency  Academic Article
• Exchange rate effects of US government shutdowns: Evidence from both developed and emerging markets  Academic Article
• Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates  Academic Article
• Factor reversal in the euro zone stock returns: Evidence from the crisis period  Academic Article
• Feedback and the success of irrational investors☆  Academic Article
• Feedback from Stock Prices to Cash Flows  Academic Article
• Finance Research Letters  Journal
• Financial Analysts Journal  Journal
• Financial Management  Journal
• Financial crisis and stock market efficiency: Empirical evidence from Asian countries  Academic Article
• Financial deregulation and economies of scale and scope: Evidence from the major Australian banks  Academic Article
• Financial market shocks and the macroeconomy  Academic Article
• Flexible price limits: The case of Tokyo Stock Exchange  Academic Article
• Foreign versus local investors: Who knows more? Who makes more?  Academic Article
• Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration  Academic Article
• Further evidence on the announcement effect of bonus shares in an imputation tax setting  Academic Article
• Global Finance Journal  Journal
• High-Frequency Measures of Informed Trading and Corporate Announcements  Working Paper
• Homogeneous Risk Measures and the Construction of Composite Assets  Academic Article
• Impact of Oil Price on Australian Stock Market Returns  Academic Article
• Improving mental health inequality? Some initial evidence from Australia  Academic Article
• Information and the intermediary: Are market intermediaries informed traders in electronic markets?  Academic Article
• Information or noise: What does algorithmic trading incorporate into the stock prices?  Academic Article
• Information, Expected Utility, and Portfolio Choice  Academic Article
• Information-based trading and information propagation: Evidence from the exchange traded fund market  Academic Article
• Informed Speculation and Hedging in a Noncompetitive Securities Market  Academic Article
• Informed trading around earnings announcements in Australia  Academic Article
• Insider ownership and dividend policy in an imputation tax environment  Academic Article
• Institutional trading before dividend reduction announcements  Academic Article
• Integrated Reporting and Earnings Quality: The Moderating Effect of Agency Costs  Academic Article
• Integration and interdependence of stock and foreign exchange markets: an Australian perspective  Academic Article
• Interim dividend cuts and omissions in the UK  Academic Article
• International Review of Financial Analysis  Journal
• International cross-listings by Australian firms: A stochastic dominance analysis of equity returns  Academic Article
• International stock return predictability: Evidence from new statistical tests  Academic Article
• Intraday volatility interaction between the crude oil and equity markets  Academic Article
• Intraweek and intraday trade patterns and dynamics  Academic Article
• Introduction  Chapter
• Investment Opportunity Set and Voluntary Disclosure of Prospective Information: A Simultaneous Equations Approach  Academic Article
• Investment analysis and price formation in securities markets  Academic Article
• Investor Psychology and Security Market Under- and Overreactions  Academic Article
• Investor sentiment, executive compensation, and corporate investment  Academic Article
• Is the profitability of Indian stocks compensation for risks?  Academic Article
• Is there a financial news risk premium in Islamic stocks?  Academic Article
• Islamic banking, costly religiosity, and competition  Academic Article
• Islamic spot and index futures markets: Where is the price discovery?  Academic Article
• Journal of Banking and Finance  Journal
• Journal of Business Finance and Accounting  Journal
• Journal of Corporate Finance  Journal
• Journal of Economics and Business  Journal
• Journal of Empirical Finance  Journal
• Journal of Financial Economics  Journal
• Journal of Financial Intermediation  Journal
• Journal of Financial Markets  Journal
• Journal of Financial Research  Journal
• Journal of Financial Services Research  Journal
• Journal of Financial and Quantitative Analysis  Journal
• Journal of Futures Markets  Journal
• Journal of International Financial Markets, Institutions and Money  Journal
• Journal of International Money and Finance: theoretical and empirical research in international economics and finance  Journal
• Journal of Multinational Financial Management  Journal
• Jumps, news, and subsequent return dynamics: an intraday study  Academic Article
• Lagged order flows and returns: A longer-term perspective  Academic Article
• Learning from experience and trading volume  Academic Article
• Liquidity Dynamics Across Small and Large Firms  Book
• Liquidity Dynamics Across Small and Large Firms  Academic Article
• Liquidity Dynamics and Cross-Autocorrelations  Academic Article
• Liquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stocks  Academic Article
• Liquidity and market efficiency☆  Academic Article
• Liquidity and the Law of One Price: The Case of the Futures-Cash Basis  Academic Article
• Liquidity provision and informed trading by individual investors  Academic Article
• Liquidity skewness  Academic Article
• Liquidity, Return and Order-Flow Linkages Between REITs and the Stock Market  Academic Article
• Local culture and tax avoidance: evidence from gambling preference behavior  Academic Article
• Long-Lived Private Information and Imperfect Competition  Academic Article
• Long-term reversals in the corporate bond market  Working Paper
• Market Liquidity and Trading Activity  Academic Article
• Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence  Academic Article
• Market microstructure and asset pricing: On the compensation for illiquidity in stock returns  Academic Article
• Market volatility, liquidity shocks, and stock returns: Worldwide evidence  Academic Article
• Momentum strategies for Islamic stocks  Academic Article
• Moving average distance as a predictor of equity returns  Academic Article
• Multi-market trading and the informativeness of stock trades: An empirical intraday analysis  Academic Article
• New evidence on the impact of fees on mutual fund performance of two types of funds  Academic Article
• News Events, Information Acquisition, and Serial Correlation  Academic Article
• Nonsecular Regularities in Returns and Volume  Academic Article
• O/S: The relative trading activity in options and stock  Academic Article
• Oil price and stock returns of consumers and producers of crude oil  Academic Article
• On Intraday Risk Premia  Academic Article
• On Sharia'a-compliance, positive assortative matching, and return to investment banking  Academic Article
• On rules versus discretion in procedures to halt trade  Academic Article
• On the Stability of the Cross-Section of Expected Stock Returns in the Cross-Section: Understanding the Curious Role of Share Turnover  Academic Article
• Optimal financial education  Academic Article
• Options trading activity and firm valuation  Academic Article
• Order aggressiveness of institutional and individual investors  Academic Article
• Order imbalance and individual stock returns: Theory and evidence  Academic Article
• Order imbalance, liquidity, and market returns  Academic Article
• Order imbalances and market efficiency: Evidence from the Taiwan Stock Exchange  Academic Article
• Overconfidence, Arbitrage, and Equilibrium Asset Pricing  Academic Article
• Overconfident institutions and their self-attribution bias: evidence from earnings announcements  Academic Article
• Ownership and control in a double decision framework for raising capital  Academic Article
• Ownership structure and tax-friendly dividends  Academic Article
• PORTFOLIO DISTRIBUTIONS AND TESTS OF SECURITY SELECTION MODELS*  Academic Article
• Pacific-Basin Finance Journal  Journal
• Partial-control versus full-control acquisitions: Does target corporate governance matter? Evidence from eight East and Southeast Asian countries  Academic Article
• Pension deficits and the design of private debt contracts  Academic Article
• Perspectives: Nonsecular Regularities in Returns and Volume  Academic Article
• Political connections, political cycles and stock returns: evidence from Iran  Academic Article
• Powerful CEOs and stock price crash risk  Academic Article
• Predicting exchange rate returns  Academic Article
• Predictive regression: An improved augmented regression method  Academic Article
• Price discovery and asset pricing  Academic Article
• Price dynamics of individual stocks: Jumps and information  Academic Article
• Price limits and volatility  Academic Article
• Public disclosure in acquisitions  Academic Article
• Public information arrival and volatility of intraday stock returns  Academic Article
• Quantile forecasts of daily exchange rate returns from forecasts of realized volatility  Academic Article
• Quantitative Finance  Journal
• Quarterly Review of Economics and Finance  Journal
• Real Estate Economics  Journal
• Real earnings management in family firms: Evidence from an emerging economy  Academic Article
• Recent trends in trading activity and market quality  Academic Article
• Related party transactions, value relevance and informativeness of earnings: Evidence from four economies in East Asia  Academic Article
• Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news  Academic Article
• Research in International Business and Finance  Journal
• Review of Financial Economics  Journal
• Review of Pacific Basin Financial Markets and Policies  Journal
• Review of Quantitative Finance and Accounting  Journal
• Rights Offerings, Subscription Period, Shareholder Takeup, and Liquidity  Academic Article
• Rights offerings, takeup, renounceability, and underwriting status  Academic Article
• Risk Aversion, Liquidity, and Endogenous Short Horizons  Academic Article
• Risk Aversion, Market Liquidity, and Price Efficiency  Academic Article
• Risk in Islamic banking and corporate governance  Academic Article
• Risk perceptions and international stock market liquidity  Academic Article
• Risk-adjusted efficiency and corporate governance: Evidence from Islamic and conventional banks  Academic Article
• Sample-Dependent Results Using Accounting and Market Data: Some Evidence  Academic Article
• Security Analysis and Trading Patterns When Some Investors Receive Information Before Others  Academic Article
• Sell-order liquidity and the cross-section of expected stock returns  Academic Article
• Short-Term Reversals: The Effects of Past Returns and Institutional Exits  Academic Article
• Short-term contrarian investing—is it profitable? … Yes and No  Academic Article
• Significance testing in empirical finance: a critical review and assessment  Academic Article
• Skill or Effort? Institutional Ownership and Managerial Efficiency  Academic Article
• Smart money, dumb money, and capital market anomalies  Academic Article
• Social Networks and Corporate Governance  Academic Article
• Some evidence on the countercyclicality of the trade balance  Academic Article
• Stock market liquidity and trading activity: Is China different?  Academic Article
• Stock return forecasting: Some new evidence  Academic Article
• Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data  Academic Article
• Stock returns and investors' mood: Good day sunshine or spurious correlation?  Academic Article
• Stock salience and the asymmetric market effect of consumer sentiment news  Academic Article
• Substitution between monetary assets and consumer goods: New evidence on the monetary transmission mechanism  Academic Article
• Systematic liquidity in the long run  Academic Article
• Target CEO age, ownership decisions, and takeover outcomes  Academic Article
• Target corporate governance, acquirers' location choices, and partial acquisitions  Academic Article
• Taxes and dividend clientele: Evidence from trading and ownership structure  Academic Article
• Technical and scale efficiency in UK building societies  Academic Article
• Technical efficiency of Islamic and conventional banks with undesirable output: evidence from a stochastic meta-frontier directional distance function  Academic Article
• Technology-investing countries and stock return predictability  Academic Article
• Terrorist attacks and oil prices: Hypothesis and empirical evidence  Academic Article
• The Cross Section of Analyst Recommendations  Book
• The Cross Section of Analyst Recommendations  Academic Article
• The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research?  Academic Article
• The Cross-Section of Expected Trading Activity  Academic Article
• The Determinants of Average Trade Size  Academic Article
• The Dynamics of Market Efficiency  Working Paper
• The European Journal of Finance  Journal
• The Going-Public Decision and the Development of Financial Markets  Academic Article
• The Journal of Business (Chicago)  Journal
• The Journal of Finance  Journal
• The Macroeconomic Uncertainty Premium in the Corporate Bond Market  Working Paper
• The Review of Financial Studies  Journal
• The Samuelson hypothesis in futures markets: An analysis using intraday data  Academic Article
• The affect heuristic and stock ownership: A theoretical perspective  Working Paper
• The cross section of expected stock returns in the Chinese A-share market  Academic Article
• The cross-section of expected stock returns: What have we learnt from the past twenty-five years of research?  Academic Article
• The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market  Academic Article
• The determinants of foreign direct investment : an extreme bounds analysis.  Academic Article
• The determinants of foreign direct investment: An extreme bounds analysis  Academic Article
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• The determinants of household risky asset holdings: Australian evidence on background risk and other factors  Academic Article
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• The ex ante effects of trade halting rules on informed trading strategies and market liquidity  Academic Article
• The ex-date impact of special dividend announcements: A note  Academic Article
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• Theory-Based Illiquidity and Asset Pricing  Academic Article
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• Trading activity in the equity market and its contingent claims: An empirical investigation  Academic Article
• Trading volume, realized volatility and jumps in the Australian stock market  Academic Article
• Transaction Taxes and Financial Market Equilibrium  Academic Article
• UK interim and final dividend reductions: a note on price reaction  Academic Article
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