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A new robust inference for asset return predictability via quantile regression

Cai, Zongwu; Chen, Haiqiang; Liao, Xiaosai - 2020

Persistent link: https://www.econbiz.de/10012203086

Average stock variance and market returns : evidence of time-varying predictability at the daily frequency

Chen, Huafeng Jason; Ortiz-Molina, Hernán; Zhang, … - In: The journal of portfolio management : a publication of … 37 (2010/11) 4, pp. 86-95

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The Asymmetric Effect of Information Shock on Overnight and Intraday Expected Returns : Evidence from Chinese A-Share Stock Market

Liu, Xiaoqun; Hou, Chenji; Zhu, Shinan; Chen, Haiqiang - 2023

We uncover interesting opposite effects of jumps in stock prices on three kind of stock returns: close-to-close expected return, and its two components, namely overnight and intraday return, when heterogeneous investors are confronted with different types of news during trading hours and...

Persistent link: https://www.econbiz.de/10014355096

Predicting returns out of sample : a naïve model averaging approach

Chen, Huafeng Jason; Jiang, Liang; Liu, Weiwei - In: Review of asset pricing studies : RAPS 13 (2023) 3, pp. 579-614

Persistent link: https://www.econbiz.de/10014331545

The asymmetric effect of information shock on overnight and intraday expected returns : evidence from Chinese a-share stock market

Liu, Xiaoqun; Hou, Chenji; Zhu, Shinan; Chen, Haiqiang - In: Pacific-Basin finance journal 83 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014491102

Measuring operating leverage

Chen, Huafeng Jason; Chen, Jason V; Li, Feng; Li, Pengfei - In: Review of asset pricing studies : RAPS 12 (2022) 1, pp. 112-154

Persistent link: https://www.econbiz.de/10012878856

The impact of options introduction on the volatility of the underlying equities : evidence from the Chinese stock markets

Arkorful, Gideon Bruce; Chen, Haiqiang; Liu, Xiaoqun; … - In: Quantitative finance 20 (2020) 12, pp. 2015-2024

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Empirical investigation of an equity pairs trading strategy

Chen, Huafeng Jason; Chen, Shaojun; Chen, Zhuo; Li, Feng - In: Management science : journal of the Institute for … 65 (2019) 1, pp. 370-389

Persistent link: https://www.econbiz.de/10011991494