This paper discusses how unrealized return dispersion across individuals affects the equity risk premium. We specify an intertemporal capital asset pricing model with heterogeneous preferences depending on investors’ unrealized returns and uncover that unrealized return dispersion negatively...

The assumption that market efficiency informs the pricing of oil stocks is critical to understanding the co-movement between stock markets and oil markets. To test this assumption in relation to various types of real oil price changes, this article proposes a two-stage analysis method that...

We document a puzzling phenomenon, namely that overnight returns in Chinese stock markets are on average statistically and economically significantly negative. This finding seems to violate conventional asset pricing theory, yet the anomaly is robust to the choice of stock exchange, type of...

By decomposing asset returns into potential maximum gain (PMG) and potential maximum loss (PML) with price extremes, this study empirically investigated the relationships between PMG and PML. We found significant asymmetry between PMG and PML. PML significantly contributed to forecasting PMG but...

This paper derives a new decomposition of stock returns using price extremes and proposes a conditional autoregressive shape (CARS) model with beta density to predict the direction of stock returns. The CARS model is continuously valued, which makes it different from binary classification...

For researching the association between coal enterprise management and return in financial market, this paper applies the method of time difference relevance and PageRank method to seek the leader-index of a stock set containing 21 coal enterprises in A-share market and score those stocks. Based...

Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the high-frequency data of each stock included in the SSE...

By decomposing asset returns into potential maximum gain (PMG) and potential maximum loss (PML) with price extremes, this study empirically investigated the relationships between PMG and PML. We found significant asymmetry between PMG and PML. PML significantly contributed to forecasting PMG but...

Japanese candlestick has been widely used in investment practice, however its predicting power has not yet been scrutinized in academic literature. This paper investigates the forecasting power of Japanese candlestick augumented by Halloween effect in stock returns. Empirical studies performed...

The predictability of stock market is of great interest to both reseachers and investors. Despite voluminous evidence of in-sample predictability, the out-of-sample predictability of stock returns remains an ongoing debate. In this paper, motivated by both the financial theories and the well...