Using the turnover of city-level local leaders in mainland China, we construct a measure of political uncertainty and use this measure to explain the change of A-H share premium. Our empirical evidence shows that political uncertainty significantly reduces A-H share premium. The reduction effect...

In this study, we are interested in understanding the price formation process of bidders' and targets' shares after the merger announcement and seek to explore the impacts of liquidity risk, price pressure, and limited arbitrage theory on the cross sectional variation in risk arbitrage. Using a...

While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the expected return. We examine the effects of the risk...

While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the expected return. We examine the effects of the risk...

We examine auction design in a context where symmetrically informed buyers and sellers of a good with a common but uncertain value learn through experience. Buyer strategies, even in the very long run, do not converge to the Bertrand-Nash strategy of bidding the expected value of the good....