Public option market information contains exploitable information for equity investors for an investable universe of liquid large-cap stocks. Strategies based on several option measures predict returns and alphas on the underlying stock. Transaction costs are an important factor given the high...

This paper sheds light on the similarities and differences with respect to the presence of anomalies in the China A-share market and other markets. To this end, we examine the existence of 32 anomalies in the China A-share market over the period 2000-2019. We find that value, risk, and trading...

Research into asset pricing anomalies in the China A-share market is hampered given the short time series of available returns. Even when average excess returns on candidate factor portfolios are economically sizeable, conventional portfolio sorting methods lack statistical power. We apply an...

We document a striking change in index return serial dependence across 20 major market indexes covering 15 countries in North America, Europe, and Asia. While many studies found serial dependence to be positive until the 1990s, it switches to negative since the 2000s. This change happens in most...