Using overnight volatility as the proxy for overnight information, this paper models future Chinese stock market realized range-based volatility (RRV) within a class of heterogeneous autoregressive models augmented by this proxy. We confirm the important role of overnight information in...

We propose a new measure of firm-level climate regulatory exposure based on 10-K filings. Using the 2016 Trump election as an exogenous shock to perceived climate regulatory risks, we identify a positive effect on stock returns for firms with higher climate regulatory exposures; they experience...