Using a variance decomposition approach, we examine the importance of accounting information - in particular the cash flow and accruals components of earnings - in explaining the variation in UK company stock returns. We extend prior research by analysing whether auditor quality moderates the...

This paper examines the within-market and cross-market information content of order flow for stocks, corporate bonds and Treasury bonds in China. With daily-aggregated tick-by-tick data over three years on the Shanghai Security Exchange, we find negative cross-asset effects of order flow on...

Different from prior research that studies weather related factors on equity returns from a behavioral perspective, we investigate air quality on stock returns from a risk perspective using Chinese data. When air-quality risk increases, it not only depresses economic activities of firms but also...