We investigate whether size and book-to-market values of equity (BM) are proxying for macroeconomic risk found in Chen, Roll, and Ross's (CRR) multifactor model or are measures of stocks' risk exposure to relative distress. We find that the role of size subsumes stocks' risk exposures associated...

This paper investigates whether different types of institutionshave discernible trading motives in response to portfoliodisclosures. Results show that banks, life insurance companies,mutual funds, and investment advisors who act as external managers generally have similar trading strategies....

This paper investigates whether different types of institutions have discernible trading motives in response to portfolio disclosures. Results show that banks, life insurance companies, mutual funds, and investment advisors who act as external managers generally have similar trading strategies....

This paper employs recently developed multivariate methods to study the predictability of international stock market returns. The authors find evidence of significant common predictable components within the Pacific, the European, and the North American stock markets using region-specific...

Purpose–The purpose of this paper is to investigate the main determinants of consideration in China's non-tradable shares reform. The primary objective is to dig into the institutional factors that affect consideration in China's non-tradable shares reform. Design/methodology/approach - The...

In this study, using hand-collected data on FDI for more than 200 cities, the authors examine whether the Lucas paradox of capital exists within the PRC by adopting the dynamic panel data generalized method of moments (GMM) framework to avoid the potential endogeneity issue. Using both...

In this paper, we use the FVD (full velocity difference) model to develop a car-following model with consideration of the driver’s attribution. The numerical results show that the proposed model can qualitatively reproduce the effects of the driver’s attribution on each vehicle’s speed,...

This paper investigated the effects of response styles in cross-cultural contexts. The authors used data on social desirability, extreme and midpoint responding, and the scale scores of 17 constructs related to the teaching profession, which were collected from 76,887 teachers in 18 countries in...