This study shows the influence of annual report opacity on stock returns. To measure annual report opacity, we modify the Gunning Fog index in the computational linguistics literature by including the graphical information contained in the report. We find that the opacity measure predicts both...

We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array of tests, we examine the performance of more than 3,300 stocks for the years 1999 through 2018. Contrary to evidence from developed markets, we demonstrate a strong negative...

This paper focuses on Chinese institutional trading and its relation with stock returns. We use the data of institutional ownership of Topview from Shanghai Stock Exchange to get daily order flow of dealers and mutual funds. We first document that their daily order flow is persistent in the...

We investigate the impacts of new COVID-19 infections on stock returns within China’s unique zero-COVID policy framework. We document a remarkable negative pattern: a COVID-19 outbreak within a city adversely affects the performance of local firms in a nonlinear fashion. This effect...

Purpose - Motivated by the significant role of uncertainty in affecting investment decisions and China's economic leadership in Asia, this paper investigates the predictive role of exposure to Chinese economic policy uncertainty at the individual stock level in large Asian markets....

Akbas et al. (2021) demonstrate that a more intense daily “tug of war” between overnight noise traders and daytime arbitrageurs predicts higher future returns in the US market. We investigate whether the daily tug of war contains predictive information about future stock returns in China....

Motivated by the necessity of including BM rather than replacing it by EP in the valuation of a firm, we survey 7 refinements of BM measures, and test their performance in China. BM augmented with R&D and SG&A expense contains more information about the cross-section of stock returns than the...

Using the "Dragon and Tiger" list, we construct a clean indicator that directly measures investor attention, empirically test the effect of investor attention on stock return under negative shocks and whether the effect is affected by the bull or bear market, the industry, firm size, age and...