Buy and sell dynamics following high market returns: Evidence from China

We provide a closer look at the trading dynamics which may give rise to the positive relationship between market trading volume and its lagged returns. Chinese market turnover increases sharply with past day returns. A comprehensive dataset which facilitates the tracing of trading activities among different groups of investors reveals that when previous market returns are high, investors with larger (smaller) average trade size increase their buy (sell) volume. Our findings indicate an important role of differing responses to market information among different classes of investors (e.g. different priors) in explaining this recently documented phenomenon.     

Is Financial Flexibility a Priced Factor in the Stock Market?

This paper develops a factor analysis–based measure for shifts in corporate financial flexibility (FFLEX) that can be observed from public accounting information. Companies that experience positive shifts in FFLEX are associated with higher future investment growth opportunities. We show that FFLEX is a robust determinant of future stock returns. Firms that have increased their financial flexibility are associated with lower stock returns in the subsequent period. A zero‐cost return portfolio produces a significant positive monthly premium of 0.69%, which is driven by covariance (risk). Risk inherent in the flexibility factor is not explained away by either prominent pricing characteristics or factors.     

Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis

In this paper, we test the profitability of short-term contrarian and momentum strategies, which take into account the effects of trading activity, size/value characteristics, and asymmetric investor responses to news regarding stock markets in Japan, Taiwan, Korea, Hong Kong, Malaysia, Thailand, and Singapore during 1990-2000. Except for the Taiwanese and Korean markets, “winner” (“loser”) portfolios experience subsequent reversal (momentum) of stock prices. Among actively traded stocks, significant contrarian profits can be obtained from only “winner” portfolios in Japan, while sizeable momentum profits from “loser portfolios” in both Japan and Hong Kong.     

Risk‐Adjusted Long‐Term Contrarian Profits: Evidence from Non‐S&P 500 High‐Volume Stocks

Can trading volume help unravel the long‐term overreaction puzzle? With portfolios of non‐S&P 500 NYSE stocks, we show that (1) both the high‐ and low‐volume (abnormal volume) contrarian portfolios earn a much higher market‐adjusted excess return than the normal‐volume contrarian portfolio, (2) however, when leverage‐induced risk is factored in, excess returns from contrarian portfolios with normal‐ and low‐volume stocks are insignificant, (3) only excess returns from high‐volume contrarian stocks are significant and cannot be explained by the time‐varying risk and return framework, and (4) such high‐volume, risk‐adjusted excess returns arise mainly from winner (glamour) stocks.     

Political Connection and Stock Returns: A Longitudinal Study

A stock market should display informational efficiency and, therefore, should appropriately reflect the value of political connections, if any value exists. Using a comprehensive data set that incorporates both obvious and less obvious political connections to firms in Thailand, we provide a longitudinal study which shows that higher realized stock returns are systematically associated with political connectedness. Consistent with the view that such a relationship provides economic rents, this finding is particularly prominent in more regulated industries. The politically connected premium is higher for higher level political connections and when the political bodies hold an equity stake in the firm.     

Port-induced erosion prediction and valuation of a local recreational beach

This study attempts to integrate environmental economics and coastal engineering in managing port-induced coastal erosion occurring at a common beach by using Map Ta Phut port in Thailand as a case study. The existence of the port creates coastal erosion which can be considered an externality that affects local inhabitants, and a port owner and shipping companies can be seen as “polluters”. Overlaying of aerial photographs provided strong evidence that the coastline was severely eroded after the construction of the port. Coastal engineering softwares, LITPACK and MIKE 21 PMS, were utilized to predict future shoreline positions and investigate wave patterns around the port. The port alters wave climate and the port-induced erosion is jeopardizing a local recreational beach called Nam Rin, which is projected to disappear in 5 years. A valuation of Nam Rin beach using single-bounded dichotomous choice contingent valuation method revealed individual willingness to pay (WTP) for the beach, being 867.5 baht (approximately US$ 24.8) per year. Multiplying the individual WTP with the appropriate number of population to acquire the beach protection benefit and dividing such benefit by construction and maintenance costs of a particular beach protection measure, the polluters can select a proper beach protection approach that fulfills their benefit-cost requirement.     

Asymmetric Information in the IPO Aftermarket

Using the adverse selection component of the spread as a measure of asymmetric information, we investigate how asymmetric information evolves after firms go public. We find that the level of asymmetric information is lower immediately after the initial public offering (IPO) compared with its level after a period of seasoning. In addition, we test the hypothesis that the greater the underpricing of an IPO, the more information is produced in its aftermarket, and the lower the aggregate level of asymmetric information. Our results are consistent with the hypothesis and are robust after controlling for other factors.