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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

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

Expected Return, Volume, and Mispricing

Han, Yufeng - 2020

We find that expected return is related to trading volume positively among underpriced stocks but negatively among overpriced stocks. As such, trading volume amplifies mispricing. Our results are robust to alternative mispricing and trading volume measures, alternative portfolio formation...

Persistent link: https://www.econbiz.de/10012852383