Annual Conference

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Investment Finance

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May 2025

The Impact of Introducing a (Nearly) Redundant Security: Evidence from Malaysian Corporate Bonds

Antje BERNDT, Jean HELWEGE, Amanda LIU, Frank PACKER
We examine the case of redundant securities in Malaysia, where traditional corporate bonds and non-conventional (NC) Islamic bonds are issued. Because religious investors only buy Islamic bonds and non-religious (NR) investors are indifferent between the two types of bonds, if the issuance costs are...
Keywords: redundant securities, corporate bonds, bond liquidity, Islamic bonds, Malaysia
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Annual Conference

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Investment Finance

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May 2025

Daily Momentum and New Investors in Emerging Stock Markets

Zhenyu GAO, Wenxi JIANG, Wei A. XIONG, Wei XIONG
Despite the dominance of retail investors, the Chinese stock market lacks price momentum in weekly and monthly returns. However, this study uncovers significant daily price momentum, driven by the attention and trading behaviors of new investors. This phenomenon, rooted in emerging markets’ unique...
Keywords: Momentum effect, retail investor, new investor, emerging markets
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Annual Conference

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Investment Finance

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May 2025

Wisdom or Whims? Decoding the Language of Retail Trading with Social Media and AI

Shuaiyu CHEN, Lin PENG, Dexin ZHOU
We leverage rich social media data and large language models (LLMs) to examine the relationship between investor trading strategies, sentiment, and market outcomes. Extracting trading strategies embedded in 96 million social media posts, we find that strategy adoption is heterogeneous and dynamic, w...
Keywords: Social finance, Social media, Retail trading, Herding, Technical analysis, Fundamental analysis
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Annual Conference

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Investment Finance

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May 2025

Top Government Meetings in China

Jun PAN, Qing PENG
In a “government centric” equilibrium like China, the central government performs frequent and intensive interventions while investors prioritize information about government policies over macro-economic fundamentals. Consistently, top government meetings on economic policies are highly anticipa...
Keywords: Chinese Government Meetings, Government-Centric Equilibrium, Pre-Announcement Drift, Heightened Uncertainty, Information Leakage, Institutional Investors
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Annual Conference

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Investment Finance

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May 2025

Kyle Meets Friedman: Informed Trading When Anticipating Future Information

Hongjun YAN, Liyan YANG, Xueyong ZHANG, Deqing ZHOU
We analyze a dynamic model of an investor who receives private information on an ongoing basis and faces a post-trading disclosure requirement. Characterizing the equilibrium of our trading game between two players—the investor and a market maker—can be reduced into a fictitious consumption-savi...
Keywords: Informed investor trading, Dissimulation, Mixed strategy, Information arrival
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