In this study, we show that changes in profitability predict a firm's stock returns and future
profitability. We construct three horizon-based profitability changes, including short-, medium …

This study provides novel insights into the stock return predictability related to the firm-level
total factor productivity (TFP) in the China's stock market, covering the period from 1999 to …

Exchange-traded funds (ETFs) are commonly regarded as an efficient, low-cost alternative
to actively managed mutual funds, yet their perceived superiority is largely anecdotal. We …

We investigate the joint ability of fundamental-based and market-based news to explain the
anomalous underperformance of stocks with high idiosyncratic volatility (high IVOL). An out …

Recent findings for the US stock market indicate that cash-based profitability measures (ie,
profitability measures that exclude accounting accruals) outperform measures of profitability …

This study investigates the relationship between quality acceleration and cross-sectional
returns, and explores the source of quality acceleration effect. We provide empirical …

This study investigates the impact of patented innovation on the left‐tail risk of stock price,
measured as the 1% value at risk (VaR) and expected shortfall (ES). Using the sample of all …

Robeco is an international asset manager offering an extensive range of active investments,
from equities to bonds. Research lies at the heart of everything we do, with a 'pioneering but …

Although factor investing has become an industry standard, the debate over which factors
drive the risk and return of various asset classes across the globe is ongoing. The literature …

基于有限注意力模型, 说服知识模型和精细加工可能性模型, 构建植入广告显著度和个体认知
需求与广告有效性(品牌记忆, 品牌态度和购买意愿) 之间的关系模型. 利用眼动仪开展眼动实验 …