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...

We examine aggregate analyst forecast errors (AAFE) and find a systematic component, which is predictable using lagged stock market returns and macroeconomic variables. The evidence suggests that analysts do not fully take into account macroeconomic influences on individual firms' earnings in...

We investigate what determines a stock's uncertainty elasticity of liquidity (UEL: the change in the individual stock's liquidity given the change in the market return volatility) and whether UEL is priced for China's A-shares. We find stocks with higher UEL are associated with lower share...

We examine whether institutional investors with different investment horizons exert different influences on a stock's liquidity effects. Our findings show that stocks increased by short-term institutions become more liquid while stocks increased by long-term institutions become less liquid....