We explore whether and how liquidity factors influence risk transfers between commodity and stock markets using a composite liquidity index and five different types of liquidity measures. We find that liquidity shocks, including both funding liquidity and market liquidity, are positively...

We replicate 469 anomaly variables similar to those studied by Hou, Xue, and Zhang (2020) using Chinese A-share data and a reliable testing procedure with mainboard breakpoints and value-weighted returns. We find that 83.37% of the anomaly variables do not generate significant high-minus-low...

This paper analyzes whether commodity futures prices traded in the United States reveal information relevant to stock prices of East Asian economies including China, Japan, Hong Kong, South Korea, and Taiwan. We find significant and positive predictive powers of overnight futures returns of...

This paper empirically shows that stock-level margin trading commoves significantly with market-aggregate margin trading even after controlling for market return, market-wide liquidity, and individual determinants of margin trading. A closer examination suggests that the common influences and...

This paper investigates how variations in stock-level leverage lead to dynamic intraday trading behavior and illiquidity transmission across different stocks by utilizing a unique, precise, stock-level margin trading dataset. We document that leveraged investors' need to meet margin call...

The underlying asset pool of collateral debt obligations (CDOs) simultaneously encompasses credit risk and market risk. However, the standard CDO pricing model not only underestimates the risk to the asset pool due to a poor description of the correlation structure among obligors but is also...

This paper analyzes whether commodity futures prices traded in the United States reveal information relevant to stock prices of East Asian economies including China, Japan, Hong Kong, South Korea, and Taiwan. We find significant and positive predictive powers of overnight futures returns of...

Existing studies in social psychology have found that priming has pervasive effects, mostly in laboratory settings and over short periods of time. This study investigates the priming effect in the real financial world and over longer periods of time. We hypothesize that successful lottery-like...

This study examines the impact of robo-advising on personal wealth management based on a unique data set of individual investors’ investment accounts. Robo-advising portfolios have better performance, measured as lower volatility and a higher Sharpe ratio, than investors’ self-directed...