Now showing items 1-5 of 5

    • CEO-Employee Pay Ratio and Bond Yield Spreads 

      Huang, Guan-Ying; Huang, Henry H.; Yu, Jerry (Social Science Research Network, 2018-01-25)
      This study explores the effect of CEO-employee pay ratio on bond yield spreads. We find that there exists a positive relation between CEO-employee pay ratio and bond yield spreads. Since bond yield spread has been used ...
    • The holdings markup behavior of mutual funds: evidence from an emerging market. 

      Wang, Ching-Chang; Yu, Jerry (Review of Quantitative Finance & Accounting, 2018-02)
      This paper uncovers a seasonal mutual fund holdings markup pattern in Taiwan's market. Specifically, we find that fund's equity holdings jump up significantly at the quarter ends and year-end while drop back immediately ...
    • Institutional Trading and Price Momentum 

      Yu, Jerry (International Review of Finance, 2008-03)
      This paper aims to explore the effect of institutional trading on the two asymmetric phenomena found by Lee and Swaminathan (2000): (1) asymmetric price momentum: price momentum is more pronounced among high turnover stocks; ...
    • Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets 

      Chiang, Min-Hsien; Lin, Tsai-Yin; Yu, Jerry (Journal of Business Finance & Accounting, 2009-09)
      This study investigates how limit orders affect liquidity in a purely order-driven futures market. Additionally, the possible asymmetric relationship between market depth and transitory volatility in bull and bear markets ...
    • Mutual Fund Herding and Price Discovery – Evidence from an Emerging Market 

      Yu, Jerry; Wang, Wann-Cherng (Advances in Investment Analysis and Portfolio Management, 2014)
      In this paper, we directly investigate the impact of mutual funds’ herding behavior on the price discovery process by using a VAR test procedure, which simultaneously and sequentially tests the multiple hypotheses of the ...