This paper investigates how heterogeneous sentiments and perspectives expressed in public online media about the abolition of the Chinese presidential term limit in 2018 may have caused a divergence in investor behavior between the U.S. and China. We document that sentiments expressed in social...

This paper examines the patterns of intraday cojumps between international equity markets as well as their impact on international asset holdings and portfolio diversification benefits. Using intraday index-based data for exchange-traded funds as proxies for international equity markets, we...

We decompose the non-diversifiable market risk into continuous and discontinuous components and jump systematic risks into positive vs. negative and small vs. large components. We examine their association with equity risk premia across major equity markets. We show that developed markets jumps...

This paper contrasts the stock liquidity and stock returns between Chinese state owned enterprises (SOEs) and privately owned enterprises (POEs) before and after the split-share structure reform initiated in 2005. This reform converted a huge volume of non-tradable shares into tradable shares...