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Time series momentum : is it there?

Huang, Dashan; Li, Jiangyuan; Wang, Liyao; Zhou, Guofu - In: Journal of financial economics 135 (2020) 3, pp. 774-794

Persistent link: https://www.econbiz.de/10012543228

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

Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns

Qian, Ya; Tu, Jun; Petukhina, Alla; Chen, Zilin - 2021

This work aims to investigate the (inter)relations of information arrival, news sentiment, volatility and jump dynamics of intraday returns. Two parametric GARCHtype jump models which explicitly incorporate both news arrival and news sentiment variables are proposed, among which one assumes news...

Persistent link: https://www.econbiz.de/10013251599

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

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

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

In search of attention

Da, Zhi; Engelberg, Joseph; Gao, Pengjie - In: The journal of finance : the journal of the American … 66 (2011) 5, pp. 1461-1499

Persistent link: https://www.econbiz.de/10009376356

Relative valuation and analyst target price forecasts

Da, Zhi; Schaumburg, Ernst - In: Journal of financial markets 14 (2011) 1, pp. 161-192

Persistent link: https://www.econbiz.de/10009267075

Growth versus margin and castles in the air : evidence from industry IPO waves

Da, Zhi; Jagannathan, Ravi; Shen, Jianfeng - 2012

Persistent link: https://www.econbiz.de/10009680930

Dividend smoothing and predictability

Chen, Long; Da, Zhi; Priestley, Richard - In: Management science : journal of the Institute for … 58 (2012) 10, pp. 1834-1853

Persistent link: https://www.econbiz.de/10009664654