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Noisy information and stock market returns

Li, George - In: Studies in economics and finance 33 (2016) 3, pp. 338-358

Persistent link: https://www.econbiz.de/10011722528

Growth options, dividend payout ratios and stock returns

Li, George - In: Studies in economics and finance 33 (2016) 4, pp. 638-659

Persistent link: https://www.econbiz.de/10011722564

Capital investment and momentum strategies

Jiang, Guohua; Li, Donglin; Li, George - In: Review of quantitative finance and accounting 39 (2012) 2, pp. 165-188

Persistent link: https://www.econbiz.de/10009629088

Did investors feel fairer after Regulation Fair Disclosure? : evidence from abnormal trading volume before earnings announcements

Li, Dongling; Li, George; Li, Ming - In: Investment management and financial innovations 8 (2011) 1, pp. 8-18

Persistent link: https://www.econbiz.de/10009129539

Information quality, learning, and stock market returns

Li, George - In: Journal of financial and quantitative analysis : JFQA 40 (2005) 3, pp. 594-620

Persistent link: https://www.econbiz.de/10003160352

Why does option-implied volatility forecast realized volatility? : evidence from news events

Chen, Sipeng; Li, Gang - In: Journal of banking & finance 156 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014487208

Capital structure and momentum strategies

Li, George; Li, Ming; Liu, Shuming - In: Studies in economics and finance 41 (2024) 1, pp. 28-45

Persistent link: https://www.econbiz.de/10014467186

The cross-section of stock returns on The Shanghai Stock Exchange

Wong, Kie Ann; Tan, Ruth Seow-kuan; Liu, Wei - In: Review of quantitative finance and accounting 26 (2006) 1, pp. 23-39

Persistent link: https://www.econbiz.de/10003271021

Professional Investment Portfolio Management : Boosting Performance with Machine-Made Portfolios and Stock Market Evidence

Kolari, James W.; Liu, Wei; Pynnönen, Seppo - 2023

Part I: Introduction -- Chapter 1: Portfolio Theory and Practice -- Part II: Previous Asset Pricing Models -- Chapter 2: General Equilibrium Asset Pricing Models -- Chapter 3: Multifactor Asset Pricing Models -- Part III: The ZCAPM -- Chapter 4: A New Asset Pricing Model: The ZCAPM -- Chapter 5:...

Persistent link: https://www.econbiz.de/10014467008

Multifactor market indexes

Liu, Wei; Kolari, James W. - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-26

This paper combines the CRSP market index with multiple factors to create a single multifactor market index. Empirical tests of different multifactor market indexes indicate that: (1) Sharpe ratios substantially increase and GRS test statistics decrease as multifactors are incrementally added to...

Persistent link: https://www.econbiz.de/10013168866