In this paper, we examine how liquidity affects cryptocurrency market efficiency and study commonalities in anomaly performance in cryptocurrency market. Based on the unique features of cryptocurrencies, we build a model with anonymous traders valuing cryptocurrencies as payments for goods and...

We construct a new lottery measure (ALM) to evaluate the lottery preference feature of stocks. The new measure is different from the common used lottery proxies: maximum daily return (MAX) and skewness (SKEW). In the U.S. stock market, the relationship between the ALM and expected returns is...

In this paper, we find that the relationship between the value-at-risk (VaR) and expected returns is negative and this negative relationship between the VaR and expected returns can be explained by volatility in the U.S. market. However, for different levels of investor sentiment, this...

In this paper, we utilize ridge regression and develop a novel set of characteristics-based factors, referred to as "ridge factors". We demonstrate that use of the ridge factors enables the creation of a Bayesian average SDF, which can shrink the relative contribution of low-variance principle...

We construct a new quantile based lottery measure — QBL to evaluate the lottery preference feature of stocks. The new measure is different from the commonly used lottery proxies: maximum daily return (MAX) and skewness (SKEW). The relationship between the QBL and expected returns is negative...

We have developed two novel salience factors — PMOR and PMOV based on the stock’s salient return and salient trading volume (as proposed by Cosemans and Frehen, 2021, and Sun et al., 2023). Notably, these factors cannot be accounted for by existing factor models in China. When we integrate...