In his seminal paper, Brooks argues that the relation between return volatility and trading volume can be both linear and nonlinear. Adopting both linear and nonlinear Granger causality tests, he shows that there exists both linear and nonlinear bi-directional causality between trading volumes...

This study investigates the role of higher co-moments on stock returns in two important stock markets: China and the UK. Implementing a utility function that accommodates higher moment preferences into the equilibrium asset pricing analysis, it can be deduced that the expected stock returns,...

We propose a multidimensional liquidity measure constructed from 6 out of 17 individual low-frequency liquidity proxies. The multidimensional liquidity factor yields significant positive premiums and offers distinguished explanatory power on the cross-sectional return variations in China’s...

This paper contrasts the stock liquidity and stock returns between Chinese state owned enterprises (SOEs) and privately owned enterprises (POEs) before and after the split-share structure reform initiated in 2005. This reform converted a huge volume of non-tradable shares into tradable shares...