We examine the uncertainty elasticity of liquidity (UEL: percentage change in the individual stock's liquidity given percentage change in the market volatility) and its influences on expected stock returns in the Chinese stock market from 2002 to 2014. We find that stocks of firms with lower...

Using the information rating consisting of disclosure items from five dimensions – regulatory compliance, timeliness, financial forecast, annual report, and corporate website, we examine how a firm's disclosure quality influences its stock's price efficiency and expected return in Taiwan stock...

Hou and Moskowitz (2005) use the stock price delay in reflecting market-wide information to measure market frictions each individual firm faces. In this study, to better understand how the price formation process is affected by the business cycle, we examine the relation between changes in the...