Is economic uncertainty priced in the cross-section of stock returns?
We investigate the role of economic uncertainty in the cross-sectional pricing of individual
stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index …
stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index …
[图书][B] Empirical asset pricing: The cross section of stock returns
“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques
and evidence of modern empirical asset pricing. This book should be read and absorbed by …
and evidence of modern empirical asset pricing. This book should be read and absorbed by …
Does it pay to be responsible? The performance of ESG investing in China
X Zhang, X Zhao, Y He - Emerging Markets Finance and Trade, 2022 - Taylor & Francis
The capital market in China has progressed rapidly within the realm of ESG and
sustainability. This study investigates whether and how ESG investing works in China. The …
sustainability. This study investigates whether and how ESG investing works in China. The …
Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns
This paper documents a significantly negative cross-sectional relation between left-tail risk
and future returns on individual stocks trading in the US and international countries. We …
and future returns on individual stocks trading in the US and international countries. We …
Bibliometric study on asset pricing
Purpose This study aims to provide a comprehensive overview of asset pricing research and
identifies the general research trends in the area. The study also aims to provide future …
identifies the general research trends in the area. The study also aims to provide future …
Volatility and the cross-section of real estate equity returns during Covid-19
S Milcheva - The Journal of Real Estate Finance and Economics, 2022 - Springer
This paper uses the global systemic shock associated with the outbreak of the novel
coronavirus Covid-19 to assess the risk-return relationship in the cross-section of real estate …
coronavirus Covid-19 to assess the risk-return relationship in the cross-section of real estate …
Political risk and cost of equity: The mediating role of political connections
AV Pham - Journal of Corporate Finance, 2019 - Elsevier
This paper studies the mediating role that political connections play in the relationship
between cost of equity and political risk (ie, partisan political conflict and economic policy …
between cost of equity and political risk (ie, partisan political conflict and economic policy …
Social transmission bias and investor behavior
We offer a new social approach to investment decision making and asset prices. Investors
discuss their strategies and convert others to their strategies with a probability that increases …
discuss their strategies and convert others to their strategies with a probability that increases …
Attention, social interaction, and investor attraction to lottery stocks
We find that among stocks dominated by retail investors, the lottery anomaly is amplified by
high investor attention (proxied by high analyst coverage, salient earnings surprises, or …
high investor attention (proxied by high analyst coverage, salient earnings surprises, or …
Lowrisk anomalies?
This paper shows that lowrisk anomalies in the capital asset pricing model and in
traditional factor models arise when investors require compensation for coskewness risk …
traditional factor models arise when investors require compensation for coskewness risk …