Recent literature shows that momentum strategies exhibit significant downside risks over certain periods, or called "momentum crashes." We find that the high uncertainty of momentum strategies is sourced from the cross-sectional volatility of individual stocks. Stocks with high realised...

Traditional asset pricing theory suggests that to compensate for the uncertainty that investors bear, risky assets should generate considerably higher rates of return than the risk-free rate. However, the overnight return anomaly in the Chinese stock market, which refers to the anomaly that...

Wind environment research in the populated urban area is an important topic on wind potential evaluation as well as wind comfort analysis. This study took measurement of 57 crossroad spots in the campus in North China University of Technology in Beijing. The data of wind speed and direction were...