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Far away from home : investors' underreaction to geographically dispersed information

Chen, Zilin; Chu, Liya; Liang, Dawei; Tu, Jun - In: Journal of economic dynamics & control 136 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013393680

Media connection and return comovement

Chen, Zilin; Guo, Li; Tu, Jun - In: Journal of economic dynamics & control 130 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013256090

Concept links and return momentum

Du, Qianqian; Liang, Dawei; Chen, Zilin; Tu, Jun - In: Journal of banking & finance 134 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013400091

High-order moments in stock pricing : evidence from the Chinese and US markets

Chen, Yifan; Chen, Zilin; Tang, Huoqing - In: China Finance Review International 10 (2019) 3, pp. 323-346

Purpose: The purpose of this paper is to introduce an augmented high-order capital asset pricing model (AH-CAPM) as a new risk-based model to price stocks. Design/methodology/approach: The AH-CAPM is defined as a linear model with high-order marginal moments and co-moments from the joint...

Persistent link: https://www.econbiz.de/10012184638

Stock liquidity and excess leverage

Chen, Zilin; Gao, Kang; Huang, Weiwei - In: Finance research letters 32 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012430821

Characteristics-based portfolio policy : evidence from China

Chen, Zilin; Fei, Zhe - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 4, pp. 1141-1158

Persistent link: https://www.econbiz.de/10012483309

Stock returns and carry trades

Chen, Zilin; Gang, Jianhua; Qian, Zongxin - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013188433

Presidential economic approval rating and the cross-section of stock returns

Chen, Zilin; Da, Zhi; Huang, Dashan; Wang, Liyao - In: Journal of financial economics 147 (2023) 1, pp. 106-131

Persistent link: https://www.econbiz.de/10013543423

International volatility risk and Chinese stock return predictability

Chen, Jian; Jiang, Fuwei; Liu, Yangshu; Tu, Jun - In: Journal of international money and finance 70 (2017), pp. 183-203

Persistent link: https://www.econbiz.de/10011752322

Momentum and reversal : the role of short selling

Zhu, Zhaobo; Duan, Xinrui; Sun, Licheng; Tu, Jun - In: Journal of economic dynamics & control 104 (2019), pp. 95-110

Persistent link: https://www.econbiz.de/10012131100