The on-going debate over whether fund managers have skills and whether those skills are short-lived is still inconclusive. Using the performance measure that can't be manipulated with respect to the underlying distribution, time variation, nor estimation error, (the manipulation-proof...

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...

Hou and Moskowitz (2005) use the stock price delay in reflecting market-wide information to measure market frictions each individual firm faces. In this study, to better understand how the price formation process is affected by the business cycle, we examine the relation between changes in the...

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....