”) have higher abnormal returns upon future earnings announcements during the same fiscal quarter. After controlling risks … seasonality stocks and selling positive seasonality stocks produces significant, positive returns. Furthermore, we find positive …

returns of connected firm in China A-share markets. We use shared analyst coverage to identify connected firms (CF) and … measure the shared analysts-weighted average returns of connected firms. Our results show that higher CF returns are … associated with higher returns on the focal firm in the following one to 12 months. The long-short portfolio based on past CF …

the abnormal returns and volatility changes of those component stocks. The empirical results show that, after the removal … volatility. To reduce the possible impact on volatility, the authorities may take the activity of margin transactions into …

around 5%. Compared with the Chinese market, the US stock market has a higher β and a lower volatility. The annualized excess … mutual funds were unable to obtain excess returns. The annualized β of the Chinese market is 6.53%. In China, the annualized … still get excess returns in the Chinese market compared to the highly efficient US market …

-announcement volatility of stock returns is not significantly different from the post-announcement volatility. The results also indicate that … debt offerings are, on average, associated with significantly negative abnormal returns. In addition, the pre …