In this paper, we extend the classical model, originally built upon the representative agent and the Walrasian market-clearing mechanism, into its heterogeneous-agent and market maker extension, characterized by a market-maker trading mechanism with investors having heterogeneous beliefs of the...

A number of studies have investigated the predictability of Chinese stock returns with economic variables. Given the newly emerged dataset from the Internet, this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns. The empirical results show that 1) the...

We propose an empirical behavioral order-driven (EBOD) model with price limit rules, which consists of an order placement process and an order cancellation process. All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks traded...

Using monthly data from the Shenzhen Stock Exchange's 'Hudongyi' platform and comment letters from December 2014 to December 2018, this study investigates the influence of interactive information disclosure on non-penalty regulatory review risk. The findings reveal that the richness and...

This paper examines how independent directors' social capital, as measured by their social network, affects corporate fraud. We find that firms with well-connected independent directors are less likely to commit fraud, supporting our monitoring effect hypothesis. This result is robust to a...

We develop a pure production-based asset pricing model, in which a representative firm conducts research and development (R&D) investment to try to increase future productivity. The firm has to make a trade-off between gain and loss of R&D investment. With the ability that the firm can transform...