In the Chinese stock market, there are many retail investors who focus on short-term profits
and may consider corporate social responsibility (CSR) differently from institutional …

In this paper, we study asset prices in a dynamic, continuous-time, and general-equilibrium
endowment economy in which agents have “catching up with the Joneses” utility functions …

This paper investigates whether corporate insiders trade when asymmetric information is
high, using data on US corporate insider transactions between 1986 and 2012. We …

This paper investigate the impact of leverage structure on stock price synchronicity. To better
understand the mechanism of the impact of leverage, we break leverage into operating …

We analyse whether the idiosyncratic risk puzzle reported by Ang et al. can be explained by
the existence of market participants with different investment horizons. We adopt a wavelet …

The objective of any investment is to earn return. Return on the amount invested in stocks
includes dividend and capital appreciation. These returns are influenced by both systematic …

We examine the impact of tail risk on the return dynamics of size, book‐to‐market ratio,
momentum and idiosyncratic volatility sorted portfolios. Our time‐series analyses document …

This paper studies the relationships existed between earnings management and
idiosyncratic risk. It is noted that idiosyncratic risk is positively associated with earnings …

This paper decomposes the risk premia of individual stocks into contributions from
systematic and idiosyncratic risks. I introduce an affine jump-diffusion model, which accounts …

In this paper we empirically evaluate the widespread belief of managers that income
smoothing results into lower stock market risk. Multivariate regressions confirm that a …