Value and momentum strategies earn persistently large return premia yet are negatively correlated. Why? We show that a quantitatively large fraction of the negative correlation is explained by strong opposite signed exposure of value and momentum portfolios to a single aggregate risk factor...

Value and momentum portfolios exhibit strong opposite signed exposure to an aggregate risk factor based on low frequency fluctuations in the capital share. This strong opposite signed exposure helps explain why both strategies earn high average returns yet are negatively correlated. But the...

China is facing serious issues involving energy sufficiency, greenhouse gas (GHG) emissions and air pollution caused partly by the rapid growth of vehicles. In order to relieve those problems, new energy vehicles are introduced into the bus and car market. We adopt life cycle analysis to...

This paper provides new evidence concerning the probability of informed trading (PIN) and the PIN-return relationship. We take measures to overcome known estimation biases and improve the quality of quarterly PIN estimates. We use the average of a firm’s PIN estimates in four consecutive...

The increasing discrepancy between on-road and type-approval fuel consumption for LDPVs (light-duty passenger vehicles) has attracted tremendous attention. We measured on-road emissions for 60 LDPVs in three China's cities and calculated their fuel consumption and CO2 (carbon dioxide) emissions....

Seventy-five heavy-duty public transit buses, including different fuel systems (conventional diesel, natural gas and diesel hybrid), were tested on-road in Beijing using portable emission measurement systems. Second-by-second driving condition data were collected on typical urban bus routes...

Nitrogen oxides (NOX) emissions are creating significant air quality challenges in China’s megacities. Since Euro IV diesel buses equipped with selective catalyst reduction (SCR) systems failed to mitigate on-road NOX emissions as expected, real-world NOX emissions from newly introduced Euro V...

We examine stock trading activities in days before Chinese listed firms made public announcement to start share-structure reform. There is significant evidence that, relative to a benchmark period, institutional investors bought more event firms’ shares in the last two trading days prior to...