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Local return factors and turnover in emerging stock markets

Article Abstract:

The factors that drive cross-sectional differences in expected stock returns in emerging equity markets are qualitatively similar to those that have been documented for developed markets. Emerging market stocks exhibit momentum, small stocks outperform large stocks, and value stocks outperform growth stocks. There is no evidence that high beta stocks outperform low beta stocks. A Bayesian analysis of the return premiums shows that the combined evidence of developed and emerging markets strongly favors the hypothesis that similar return factors are present in markets around the world. Finally, there exists a strong cross-sectional correlation between the return factors and share turnover. (Reprinted by permission of the publisher.)

Analysis, Evaluation, Economic aspects, Stocks, Developing countries

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Capital gains taxation and stock market activity: evidence from IPOs

Article Abstract:

Prior to the Tax Reform Act of 1986 (TRA '86), long-term capital gains were taxed at a lower rate than short-term gains, presenting investors with an opportunity to increase their after-tax return by delaying the sale of appreciated assets unit after they qualified for long-term status and selling depreciated assets prior to long-term qualification. Using a sample of Initial Public Offerings, I find that stocks that appreciated prior to long-term qualification exhibit increased volume and decreased returns just after their qualification date, while stocks that depreciated prior to long-term qualification exhibit these effects just prior to their qualification date. (Reprinted by permission of the publisher.)

Going public (Securities), Initial public offerings, Capital gains tax

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An empirical investigation of short-selling activity prior to seasoned equity offerings

Article Abstract:

We investigate the nature and magnitude of short-selling activity around seasoned equity offerings, the relation between short-selling activity and issue discounts, and the consequences of the Securities and Exchange Commission (SEC's) adoption of Rule 10b-21 in response to concerns about manipulative short-selling practices. Seasoned offerings are characterized by abnormally high levels of short selling and option open interest. Higher levels of such activity are related to lower expected proceeds from the issuance of new shares. Where it could not be circumvented, Rule 10b-21 appears to have curbed short-selling activity and reduced issue discounts. (Reprinted by permission of the publisher.)

Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors, Financial Regulation & Reporting, Laws, regulations and rules, United States. Securities and Exchange Commission, Short selling, Financial disclosure

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