We study how firm characteristics are correlated with stock price levels by measuring the long-term discount rates (defined as the internal rate of return) of anomaly portfolios over a long horizon. We develop a simple, non-parametric methodology to estimate the long-term equity discount rate...

I develop a powerful test to evaluate individual investor's stock-picking skills by constructing counterfactual return distributions as the benchmark. The test leverages information in portfolio holdings to examine the entire distribution of investor's performance and develops robustness to...

Long-term discount rate is different from short-term expected return. Long-term discount rate determines the level of equity valuation, whereas short-term return reflects the change in valuation. Long-term discount rate is relevant to corporate managers as it summarizes a firm's financing cost,...

We show that much of the market premium for the year occurs on a handful of days, identifiable well in advance, on which several of the market's most famous, high-media-attention firms simultaneously announce earnings after the market close. Puzzlingly, the market surges occur during the 24...

Geographic diversification of listed companies expands the distance between parent and subsidiary in space geographically; thus, it is urgent to clarify whether the geographic distance between parent and subsidiary companies inhibits or promotes corporate innovation performance. This paper...

When the functional data are not homogeneous, e.g., there exist multiple classes of functional curves in the dataset, traditional estimation methods may fail. In this paper, we propose a new estimation procedure for the Mixture of Gaussian Processes, to incorporate both functional and...

Foucault [Journal of Financial Markets, 2, 99–134, 1999] provides a theoretical basis for how stock price volatility influences the aggressiveness of limit order traders. I investigate volatility discovery across stock limit order book and options markets using a broad panel of NYSE‐listed...

Through description of three-steps characteristic of dual economic theory and its practical significance to the process of industrialization and urbanization in China, and making comparative analysis between important criterion of "Lewis turning point" and current situation of rural surplus...