Most pricing and hedging models rely on the long run temporal stability of a sample covariance matrix. Using a large dataset of equity prices from four countries, the US, UK, Japan and Germany, we test the rolling stability of realized sample covariance matrices using two complementary...

Previous studies find corporate investments negatively predict firm performance and stock returns. Using data from the Chinese A-share stock market, we find firms that substantially increase their investments have higher, rather than lower, subsequent stock returns. This effect persists after...