We construct a measure of abnormal relative attention (ARA), reflecting unusual changes in attention paid to a stock by local relative to non-local investors, to measure local information advantages. An increase in this measure predicts higher returns in the short term. This predictive power is...

We evaluate the financial risk and explore potential motivation of pervasive external guarantee activities. Using a sample of Chinese A-share listed firms during the period from 2008 to 2017, we find a positive association between external guarantees intensity and stock price crash risk. High...

The local bias puzzle was originally proposed from the analysis of investors' investment portfolios. We test and confirm the hypothesis that local bias has already existed in investor attention subconsciously regardless of their investment. In contrast to literature which focuses on investment...

In contrast to studies that focus on investment accounts, this study examines local bias in investor attention by analyzing messages posted by investors on China's Internet stock message boards. We find that individual investors pay more attention to stocks of local companies than to those of...

This paper studies the effect of mandatory information disclosure on stock price crash risk using data on listed firms' private in-house meetings in the Chinese stock market. Utilizing the regulation implemented by the Shenzhen Stock Exchange in 2012, we use a difference-in-difference approach...

This paper documents a new high risk-low return puzzle. Specfically, we find that a forward-looking risk measure extracted from credit line undrawn spreads negatively predicts borrowers' future stock returns. This negative risk-return relation is separate from previously documented asset pricing...