No abstract

The literature widely documents the negative liquidity impact of foreign participation in firms that permit high foreign institutional ownership. This paper employs a unique setting for the limited participation of qualified foreign institutional investors (QFIIs) in China's A‐share market and examines how this impacts on stock liquidity in emerging markets. Contrary to the findings in the literature, foreign investor participation helps enhance the liquidity of affected stocks by promoting trade activities and price discovery. The improvement in liquidity does not occur through the information friction channel, but rather the real friction channel. Our results are robust to endogeneity issue and the possible influence of the global financial crisis, industry effects and the stock exchange. Further, the liquidity improving effects of QFII are even stronger when the analysis is performed on a subsample of QFII firms.

The nmr kinetic method has been extensively used for the measurement of barriers to internal rotation,6 and in some cases7-13 (see Discussion) it has been possible to determine the barrier as a function of substituent "size" for a limited number of substituents.In the 1,3,5-trineopentylbenzene series 1, we have available a molecular system in which barriers of the same group (tert-butyl) past the substituents H, F, Cl, Br, I, and CHS could be determined. We have previously reported the determination (by complete lineshape analysis) of barriers past chlorine,14•15 bro-

This paper investigates the questions of dynamic portfolio selection and intertemporal hedging within a Markovian regime-switching framework. The investment opportunity set is spanned by a well-diversified home-market portfolio and the riskfree asset. Our results highlight the economic importance of regimes, as optimal portfolio weights are clearly dependent on the prevailing regime. We present evidence that the question of intertemporal hedging is a more complex issue than is hinted in the previous literature, since demand for intertemporal hedging is present in some regimes, but not in others. Finally, our main findings are qualitatively unchanged across the four largest stock markets in the world.

We expand Nakamura's (2005)

The purpose of this study is to contrast the forecasting performance of two non-linear models, a regime-switching vector autoregressive model (RS-VAR) and a recurrent neural network (RNN), to that of a linear benchmark VAR model. Our specific forecasting experiment is UK inflation and we utilize monthly data from 1969-2003. The RS-VAR and the RNN perform approximately on par over both monthly and annual forecast horizons. Both non-linear models perform significantly better than the VAR model.

H and I3C NMR spectra of symmetrically trisubstituted 1,3,5-trineopentyIbenzenes may be consistently interpreted in terms of the predominance of a rotamer with all three neopentyl groups on the same side of the benzene ring, thus providing evidence for attractive steric effects among the neopentyl groups. A complete band shape analysis of the 100-MHz methylene proton spectrum of 2,4,6-tribromo-I ,3,5-trineopentylbenzene has been carried out over a limited temperature interval with the aid of a computer program by means of which all possible rotamer interconversions could be taken into account. Solvent effects on the rotamer ratio in 2,4-dibromo-l,3,5-trineopentyl-6-nitrobenzene are described and discussed in terms of the existence of an "all cis" achiral rotamer and an enantiomeric pair of rotamers. For example, the predominance of the achiral rotamer in fluorobenzene solution is interpreted in terms of solute-solvent interactions involving mutual polarization of aromatic *-electron clouds, which is sterically favored in an "all cis" rotamer.

This paper investigates whether investors are compensated for taking on commonality risk in equity portfolios. A large literature documents the existence and the causes of commonality in illiquidity, but the implications for investors are less well understood. In a more than fifty year long sample of NYSE stocks, we find that commonality risk carries a return premium of around 2.6 per cent annually. The commonality risk premium is statistically and economically significant, and substantially higher than what is found in previous studies. It is robust when controlling for illiquidity level effects, different investment horizons, as well as variations in illiquidity measurement and systematic illiquidity estimation.