We study the role of goodwill, an important form of intangible assets arising from merger and acquisitions (M&As), on asset pricing. We find that goodwill-to-sales strongly and negatively predicts the cross-section of U.S. stock returns, especially among firms with cross-industry M&As and firms...

This paper investigates herding behaviors in U.S treasury markets. We document novel evidence that mutual funds exhibit strong herding behaviors on trading long-term treasuries. This “term-structure” herding is only pronounced for buy herding, not sell herding. The relationship between...

This paper investigates arbitrage activities in China’s stock market to examine whether arbitrageurs destabilize stock prices. We focus on reversal anomaly and construct a measure of arbitrage intensity, coreversal, which captures the abnormal return correlation among stocks on which a...