Media-aware stock performance has been a hot issue in asset pricing. Numerous studies have focused on the impact of news content. However, few studies have paid attention to the form of news releases. In this paper, using data from 126,784 news of Chinese listed companies from 2013-2018, we...

We model the tax drag from active funds management based on reported monthly holdings of active equity funds. Tax drag erodes 65% of the 0.74% excess return in Broad Market funds, but only 21% of the 1.80% excess return in Small-Cap funds for Australian superannuation (pension) fund investors....

Stock return comovement analysis is important to financial analysts, decision makers, and academic researchers, in many financial implications, such as, portfolio management, style investing, and market risk detecting. This paper examines firms' social media, in particular, microblogging...