We investigate the relationship between investor attention and financial market anomalies.
We find that anomaly returns tend to be higher following high-attention days. The result is …

We document a unique determinant of financial systemic risks in China, share pledge
financing (SPF) network, by studying all listed Chinese financial institutions that provide SPF …

Predicting stock prices from textual information is a challenging task due to the uncertainty of
the market and the difficulty understanding the natural language from a machine's …

The time proximity of high-frequency trades can contain a salient signal. In this paper, we
propose a method to classify every trade, based on its proximity with other trades in the …

Cryptocurrencies return cross-predictability and technological similarity yield information on
risk propagation and market segmentation. To investigate these effects, we build a time …

We examine whether increasing investor attention affects stock price efficiency. To identify
the causal effect, we employ daily repeated quasi‐natural experiments in China where …

Cryptocurrencies are widely known for their limited publicly available information, making it
challenging to predict market returns. Technical analysis has emerged as an essential tool …

Prior research documents that media coverage attracts investor attention and improves the
liquidity of the featured firms. However, increased attention to the covered firms may divert …

Social media activities reflect the collective perception of connectedness between firms,
thereby providing an implicit representation of the financial network. Exploiting text data from …

本文从证券市场中的信息传导, 异质交易者行为以及金融科技三个方面, 对于证券市场中异象
因子的部分成因进行文献综述; 进而, 本文的实证工作结合最新文献中主流的股票横截面异象 …