Market microstructure studies the process by which investors' latent demands are ultimately
translated into prices and volumes. This paper reviews the theoretical, empirical and …

Healy and Palepu, J. Account. Econ.(2001), this issue, provide a broad review of the
empirical disclosure literature. This discussion focuses on the empirical voluntary disclosure …

We examine the effect of environment, social, and governance (ESG) score on stock returns
in the United Kingdom (UK). Consistent with Hong and Kacperczyk (2009), Bolton and …

We find that three factors—cryptocurrency market, size, and momentum—capture the cross‐
sectional expected cryptocurrency returns. We consider a comprehensive list of price‐and …

This study investigates the effect of environmental, social, and governance (ESG) activities
and their disclosure on firm value. We find that ESG strengths increase firm value and that …

We provide data and code that successfully reproduces nearly all cross-sectional stock
return predictors. Our 319 characteristics draw from previous meta-studies, but we differ by …

Most anomalies fail to hold up to currently acceptable standards for empirical finance. With
microcaps mitigated via NYSE breakpoints and value-weighted returns, 65% of the 452 …

内容提要: 本文以1993 年至2001 年之间我国证券市场进行股权再融资的上市公司为样本,
采用时间序列分析方法深入考察我国证券市场不同历史阶段里中小投资者法律保护与公司权益 …

内容提要: 流动性与资产定价是目前金融研究的热点之一(O'Hara, 2003). 本文通过检验交易频率
零假设和交易成本备择假设, 深入分析我国股市流动性与资产定价的理论与经验关系, 发现 …

We investigate the cross-sectional determinants of corporate bond returns and find that
downside risk is the strongest predictor of future bond returns. We also introduce common …