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Computer-Based Trading, Institutional Investors and Treasury Bond Returns

Liu, Xiaoquan - 2018

This study provides a comprehensive analysis of the effects of Computer-based Trad-ing (CBT) on Treasury bond expected returns. We document a strong relationship between bond expected returns and the overall intensity at which CBT takes place in the Treasury market. Investing in bonds with the...

Persistent link: https://www.econbiz.de/10012912838

Forecasting stock return volatility : realized volatility-type or duration-based estimators

Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621

Persistent link: https://www.econbiz.de/10014432725

Bond return predictability : macro factors and machine learning methods

Jiang, Ying; Liu, Xiaoquan; Liu, Yirong; Zhu, Fumin - In: European financial management : the journal of the … 30 (2024) 5, pp. 2596-2627

Persistent link: https://www.econbiz.de/10015142089

Empirical pricing kernels obtained from the UK index options market

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993

Persistent link: https://www.econbiz.de/10003886597

Does liquidity drive stock market returns? : the role of investor risk aversion

Zhang, Qingjing; Choudhry, Taufiq; Kuo, Jing-Ming; Liu, … - In: Review of quantitative finance and accounting 57 (2021) 3, pp. 929-958

Persistent link: https://www.econbiz.de/10012620025

Computer-based trading, institutional investors and treasury bond returns

Liu, Xiaoquan; Lo, Ingrid; Nguyen Minh - 2018

Persistent link: https://www.econbiz.de/10012202027

Size and value effects in high-tech industries : the role of R&D investment

Yu, Lin; Liu, Xiaoquan; Fung, Hung-gay; Leung, Wai K. - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012658819

Cross-sectional return dispersion and volatility prediction

Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Pacific-Basin finance journal 58 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012231130

Investor attention, aggregate limit-hits, and stock returns

Cai, Haidong; Jiang, Ying; Liu, Xiaoquan - In: International review of financial analysis 83 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013455072

Herding and market volatility

Fei, Tianlun; Liu, Xiaoquan - In: International review of financial analysis 78 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013252516