In this study, we establish a connection between the levels of market attentions of a stock with its long memory features. We construct two portfolios of US equities based on previous studies' criteria for neglected and popular stocks and measure the degrees of persistence for their daily...

This paper documents stock market responses to the arrest of Shanghai's top leader by the Chinese central government in September 2006. The effects of personal-level and organizational-level connections to the local state are found to be negative and insignificant, respectively, on cumulative...

Economic theory predicts three possibilities for the cointegration relationship between house prices and economic fundamentals: linear cointegration, nonlinear cointegration and no cointegration. In contrast, the empirical literature has only examined linear cointegration. This article argues...

We tests two important implications for Real Estate Investment Trust (REIT) market efficiency from the adaptive markets hypothesis (Lo, 2004): first, market efficiency is not an all-or-none condition but is a characteristic that varies continuously over time; second, market efficiency is...