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Capital gains, illiquidity, and stock returns

Lei, Xiaoyan; Zhou, Yuegang; Zhu, Xiaoneng - In: Pacific-Basin finance journal 25 (2013), pp. 273-293

Persistent link: https://www.econbiz.de/10010346740

Out-of-sample bond risk premium predictions : a global common factor

Zhu, Xiaoneng - In: Journal of international money and finance 51 (2015), pp. 155-173

Persistent link: https://www.econbiz.de/10011475246

Capital gains and trading

Lei, Xiaoyan; Zhou, Yuegang; Zhu, Xiaoneng - In: Journal of international financial markets, … 32 (2014), pp. 167-183

Persistent link: https://www.econbiz.de/10011299798

Multi-factor volatility and stock returns

He, Zhongzhi; Zhu, Jie; Zhu, Xiaoneng - In: Journal of banking & finance 61 (2015) 2, pp. 132-149

Persistent link: https://www.econbiz.de/10011585515

Average skewness matters

Jondeau, Eric; Zhang, Qunzi; Zhu, Xiaoneng - In: Journal of financial economics 134 (2019) 1, pp. 29-47

Persistent link: https://www.econbiz.de/10012166774

Investing for the long run when expected equity premium is nonnegative

Zhang, Yugui; Zhu, Jie; Zhu, Xiaoneng - In: Pacific-Basin finance journal 63 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012492276

Dynamic factors and asset pricing : international and further U.S. evidence

He, Zhongzhi; Zhu, Jie; Zhu, Xiaoneng - In: Pacific-Basin finance journal 32 (2015), pp. 21-39

Persistent link: https://www.econbiz.de/10011471528

The Momentum of News

Wang, Ying - 2018

Relying on a comprehensive data set of news releases, we construct monthly firm-level news sentiment scores during the 2000–2016 period and document a news momentum phenomenon of stocks with more positive news in the past generating more positive news in the future. We propose three hypotheses...

Persistent link: https://www.econbiz.de/10012909354

Unspanned Global Macro Risks in Bond Returns

Zhao, Feng - 2020

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macro variables that are not subject to revisions, wefind that global macro factors have predictive power for bond returns unspanned by yield factors.Furthermore, we...

Persistent link: https://www.econbiz.de/10012856793