This paper provides a historical review of the performance of the risk-adjusted momentum strategies when buying and selling stocks according to the alpha estimates of the CAPM and Fama–French regressions. Our sample covers over 60 million US daily firm-return observations. High Sharpe ratios...

In this paper, a duration dependence test for speculative bubbles in the Chinese stock market is developed. It is found that bubbles in the aggregate stock price existed before the split share reform. After the reform, we observe the phenomenon of bubble migration across industries. In...

This paper examines the impact of institutional ownership on the performance of private equity placements (PEPs) for listed firms in China. We find that the presence of institutional investors can alleviate the information asymmetries between listed firms and the market. The market reaction to...

We study the effects of both mandatory and voluntary trading suspensions on stock prices, volatility and trading volume in China’s stock market. It is found that both voluntary and mandatory suspensions generate negative abnormal returns. Trading volume and volatility rise significantly in the...

This paper examines the determinants of exchange rate regime of a country. A competing risks model (CRM) is estimated. It is found that the way a country exits a fixed exchange rate regime is affected nonlinearly by the duration of the peg. In addition, countries with a lower growth rate of...

We investigate the interaction between the real estate market and the business cycle volatility in China over the past two decades. A Bayesian dynamic stochastic general equilibrium (DSGE) model with nominal stickiness and collateral constraints is estimated. It is found that shocks from the...

We are living in an increasingly globalized world yet with constant and endless conflicts among countries. While studies have uncovered the impacts of various economic factors and policy regimes on trade and investment, a much less understood issue is whether conflicts among countries have any,...

No, we find no evidence for a return-enhancing role for corporate real estate holdings, which is consistent with the previous literature. Instead, our study based on a sample of U.S. listed corporations suggests that corporate real estate holdings are a form of managerial “empire building”....

Rest upon an extensive data set on Foreign Invested Enterprises (FIEs) in China, we investigate the role of institutional difference in determining the locational choice of foreign direct investment (FDI). Estimation results using firm-level discrete choice model suggest that FIEs from source...