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Time-varying beta in functional factor models : evidence from China
Horváth, Lajos; Li, Bo; Li, Hemei; Liu, Zhenya - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012665458
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Decomposing anomalies
Boubaker, Sabri; Li, Bo; Liu, Zhenya; Zhang, Yifan - In: Economics letters 202 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012607210
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Structural breaks in panel data : large number of panels and short length time series
Antoch, Jaromír; Hanousek, Jan; Horváth, Lajos; … - In: Econometric reviews 38 (2019) 7, pp. 828-855
Persistent link: https://www.econbiz.de/10012181361
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Risk-neutral skewness and commodity futures pricing
Fuertes, Ana María; Liu, Zhenya; Tang, Weiqing - In: The journal of futures markets 42 (2022) 4, pp. 751-785
Persistent link: https://www.econbiz.de/10013187584
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The fortune and crash of common risk factors in Chinese commodity markets
Li, Hemei; Liu, Zhenya; Zhao, Yuqian - In: Journal of commodity markets 32 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014495776
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Liquidity, liquidity risk and stock returns : evidence from Japan
Li, Bo; Sun, Qian; Wang, Changyun - In: European financial management : the journal of the … 20 (2014) 1, pp. 126-151
Persistent link: https://www.econbiz.de/10010248855
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Effect of negative book equity on the fama French HML
Li, Bo; Lajbcygier, Paul - 2007
Persistent link: https://www.econbiz.de/10003753542
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Financial risk, inventory decision and process improvement for a firm with random capacity
Li, Bo; Arreola-Risa, Antonio - In: European journal of operational research : EJOR 260 (2017) 1, pp. 183-194
Persistent link: https://www.econbiz.de/10011697722
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Market Integration and Asset Prices : Evidence from the Inclusion of China A-Shares in MSCI Global Indices
Li, Bo; Sun, Qian - 2022
We examine the stock price reactions to the mass inclusion of China A-shares in the Morgan Stanley Capital International (MSCI) global indices and find that stocks that would be included in the MSCI global indices earned significantly positive abnormal returns when the inclusion plan was first...
Persistent link: https://www.econbiz.de/10013292527