In this paper, we examine the impact of investor structure on return seasonality driven by institutional investors’ seasonal trading in China’s stock markets. Our identification of investor structure is based on the unique twin market setting in China, in which shares with the same firm...

Skewness preference, the tendency to overweight the probability of extreme tail events, can affect managerial decision making. We find that Chinese listed firms managed by CEOs who experienced a largely unpredictable rare event, namely the outbreak of Severe Acute Respiratory Syndrome (SARS) in...

We study the role of analyst incentives in the overall information environment in the stock market, focusing on the fundamental changes brought by MiFID II on the sell-side research industry in Europe. Implemented in 2018, MiFID II substantially changed analyst incentives, forcing them to work...

We find a robust negative relation between skewness/lotter-like features, proxied by maximum return (MAX) over the last month, and future returns for stocks preferred by individual investors. This negative relation is nonexistent for the rest of stocks. We identify stocks preferred by individual...

Identifying firms linked economically through the comovement of the credit rating of their corporate bonds, we find that a long-short strategy for stocks based on the link generates a risk-adjusted alpha of 0.62 percent per month, which cannot be explained by industry, customer-supplier, single-...