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This study shows that past trading volume provides an important link between “momentum” and “value” strategies. Specifically, we find that firms with high ~low! past turnover ratios exhibit many… (More)
Using a database of more than 1.85 million retail investor transactions over 1991– 1996, we show that these trades are systematically correlated—that is, individuals buy (or sell) stocks in concert.… (More)
We model the time-series relation between price and intrinsic value as a cointegrated system, so that price and value are long-term convergent. In this framework, we compare the performance of… (More)
Much of capital market research in accounting over the past 20 years has assumed that the price adjustment process to information is instantaneous and/or trivial. This assumption has had an enormous… (More)
For a sample of NYSE firms, we show that wide spreads are accompanied by low depths, and that spreads widen and depths fall in response to higher volume. Spreads widen and depths fall in anticipation… (More)
Applying a “co-search” algorithm to Internet traffic at the SEC’s EDGAR website, we develop a novel method for identifying economically-related peer firms and for measuring their relative importance.… (More)
This study integrates the valuation literature in finance with a vast literature in political science and economics on corruption. Using firm-level data from 43 countries, we investigate the relation… (More)
Characterizing a firm’s true (but unobservable) expected returns as the normative benchmark, we develop a two-dimensional framework for evaluating the relative performance of implied cost-of-capital… (More)
- Yan Sun, Qi-tang Wu, Charles M. C. Lee, Baoqin Li, Xinxian Long
- International journal of phytoremediation
- 2014
In order to select appropriate amendments for cropping hyperaccumulator or normal plants on contaminated soils and establish the relationship between Cd sorption characteristics of soil amendments… (More)
- Susan D. Krische, Charles M. C. Lee
- 2000
We investigate the relation between analyst stock recommendations and eight concurrently available variables that have predictive power for stock returns. We find that analysts generally pay little… (More)