This paper analyzes the e¤ects of public information in a perfect competition trading model populated by asymmetriclly informed short-horizon investors who have di¤ering private information precisions. We …rst show that information asymmetry reduces price informativess and can lead to multiple linear equilibria, where price informativeness refers to the amount of private information revealed by...

Investigating various corporate announcements and abnormal return days, I observe that around 2% of daily trading volume decreases only before scheduled earnings announcements. This empirical pattern is robust across different specifications and periods. Also, proxies of ex ante information asymmetry are consistently related to the trading volume only before scheduled earnings announcements. Th...

We formulate a dynamic investment model where investors can easily change firms (funds) and firms’ actions are subject to imperfect monitoring. We show that there is an asymmetry of fast reputation loss and slow reputation recovery, even without informational externalities. The key factor is endogenous relationships. It is easy to lose customers but it is not easy to get them back, because with...

There are many factors in financial markets that have different levels of understanding and knowledge managing available information. With this condition, actors/participants, especially investors, will be informed differently, or there information asymmetry the market. This study aimed to develop a conceptual framework investigates provides systematic relationship between profit quality, volun...

This dissertation consists of three chapters on financial market imperfections, in particular, information imperfections. Chapter 1 studies how the existence of a fixed cost per transaction faced by uninformed investors hampers information revelation through price and exacerbates adverse selection. The exacerbated adverse selection explains one long-standing puzzle in finance the momentum anoma...

The purpose of this study is to investigate the effective of investment inefficiency and cash holding on CEO turnover. This study applies logistic regression method estimator to investigate the relationship between examine the effective of investment inefficiency and cash holding on CEO turnover of 1,309 firm-year observations in Iran for the period of 2009-2019.  According to positive relati...

This study examines the impact from COVID-19 pandemic on association between Chinese firms' SEO announcements and market reaction afterwards. Our findings indicate that investors would respond more negatively to undergo underpricing for firms regions significantly affected by than those less-affected regions. Furthermore, higher CSR scores involvements in accounting conservatism could mitigate ...

This paper studies how market closures affect investors' trading policies and the resulting return-generating process. It shows that closures generate rich patterns of time variation in trading and returns, including those consistent with empirical findings: (1) U-shaped patterns in the mean and volatility of returns over trading periods, (2) higher trading activity around the close and open, (...

Using data on 2884 manufacturing equity joint venture projects in China during 1993-1996, this paper estimates the importance of host wages to location choice and investigates how these decisions vary with the factor intensity of the activity and demand conditions in China’s largest export market. We employ a control-function technique for conditional logit developed by Petrin and Train (2010) ...

This study investigates the effects of information asymmetries and asset valuation model differences (investor heterogeneity) between foreign domestic investors on their distinct portfolio holdings in an emerging market setting. I argue that asymmetry investor heterogeneity views significantly interact explaining different allocation decisions investors. Employing a large dataset from Turkey, f...