Faculty Research

Search Publications

Recent Journal Publications by COB Faculty

Search Publications

[clear]
Publication Type Publication Type
Discipline Discipline
Author Author
Year Published Year Published
Filter & Sort Results: 135

Sort by

Apply
Cancel
Showing results for: ""
Results:
Academic Journal
Finance

“Reconsidering Price Limit Effectiveness”

Most stock exchanges around the world impose daily price limits on stock prices. However, China is the only market that has experienced trading with and without price limits. We study China’s experience with price limits by comparing a subperiod with price limits to a subperiod without price limits. We provide three major sets of findings. First, we find price limits moderate transitory volatility and mitigates abnormal trading activity. Second, for poor performing stocks, a tighter price limit also appears helpful in moderating volatility and not hurtful. Finally, we find some evidence that price limits can facilitate market recovery following crashes. Many prior studies criticize price limits. Our study shows benefits of price limits.
Details

493-518 pages 2013 Kenneth Kim Haixiao Liu Jimmy Yang View on: Google Scholar

Academic Journal
Finance

“Relative Performance of Trading Halts and Price Limits: Evidence from the Spanish Stock Exchange”

We study the relative performance of trading halts and price limits using data from the Spanish Stock Exchange where both mechanisms have coexisted. According to our evidence, trading activity increases after either mechanism is triggered. Volatility stays the same after trading halts but increases after price limit hits. Our evidence also shows that the bid–ask spread is narrower after trading halts but wider after price limit hits. Information is efficiently reflected in stock prices once trading resumes after trading halts, but there is evidence of market overreaction for upper price limits. Our overall result may have important policy implications for financial markets in the world.
Details

197-215 pages 2008 Yong Kim José Yagüe Jimmy Yang View on: Google Scholar

Academic Journal
Finance

“Risk Attitudes, Wealth and Sources of Entrepreneurial Start-up Capital”

This paper empirically examines the role of risk attitudes and wealth on financing choices for successful US entrepreneurs. Our approach uses both survey data and data from economics based field experiments, which enables us control for the risk attitudes of entrepreneurs. Empirical findings suggest that lower levels of wealth increase the probability of using a Small Business Innovation Research (SBIR) grant, but lower levels of wealth also reduce the probability of using loan financing. In addition results show that higher levels of risk aversion, but not wealth, increase the probability of financing firm start-ups with earnings from a second job. Overall, findings suggest that both wealth and risk attitudes may play an important role in the financing choice of entrepreneurs.
Details

82-89 pages 2010 Julie Ann Elston View on: Google Scholar

Academic Journal
Finance

“Sentiment Bubbles”

We examine cumulative changes in investor sentiment and find that these changes relate to extended periods of increasing overvaluation, followed by price corrections. The relation between sentiment and returns is path dependent—short-term increases in sentiment precede strong positive returns, while prolonged periods of increasing sentiment precede negative returns. Positive short-run returns are consistent with bubble dynamics and mitigate the backwards induction conundrum described by Abreu and Brunnermeier (2003). Our results hold for the market portfolio, and are especially strong for opaque portfolios with high levels of uncertainty, as well as portfolios with greater market frictions that limit arbitrage.
Details

59-74 pages 2015 David Berger Harry Turtle Unknown

Academic Journal
Finance

“Share Pledging, Payout Policy, and the Value of Cash Holdings”

Share pledging for insiders’ personal bank loans is associated with the agency problems of insider risk aversion and stock price crash risk. We examine the relation between insider share pledging and the value of cash holdings using the pledging data of listed firms in Taiwan. We find that the value of cash holdings is lower for pledging firms, especially for those that are relatively more risk averse. Pledging firms that repurchase shares have a higher marginal value of cash than those with other payout methods, likely due to the role of repurchases in reducing the stock price crash risk. Our results show how insiders’ personal financing incentives arising from share pledging would affect the value of cash holdings from the perspective of agency problems and payout policy.
Details

18-33 pages 2021 Robin Chou Yu-Chun Wang Jimmy Yang View on: Google Scholar

Academic Journal
Finance

“Shareholder Rights in Mergers and Acquisitions: Are Appraisal Rights Being Abused?”

Appraisal rights grant dissenting shareholders in an acquisition the right to petition the court to determine the value of their shares. These rights can protect shareholders from acquisitions below fundamental value or can be abused by opportunistic investors. We examine the use of appraisal rights and find the evidence is most consistent with appraisal rights functioning as recourse when the target firm is sold below fundamental value.
Details

2017 Finance Research Letters Jonathan Kalodimos Clark Lundberg View on: Google Scholar