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Investor sentiment, limited arbitrage, and the cash holding effect

Li, Xiafei; Luo, Di - In: Review of finance : journal of the European Finance … 21 (2017) 6, pp. 2141-2168

Persistent link: https://www.econbiz.de/10011804685

Idiosyncratic volatility and the pricing of poorly-diversified portfolios

Miffre, Joëlle; Brooks, Chris; Li, Xiafei - In: International review of financial analysis 30 (2013), pp. 78-85

Persistent link: https://www.econbiz.de/10010459997

Uncertainty and crude oil market volatility : new evidence

Liang, Chao; Wei, Yu; Li, Xiafei; Zhang, Xuhui; Zhang, … - In: Applied economics 52 (2020) 27, pp. 2945-2959

Persistent link: https://www.econbiz.de/10012221463

The dependence and risk spillover between crude oil market and China stock market : new evidence from a variational mode decomposition-based copula method

Li, Xiafei; Wei, Yu - In: Energy economics 74 (2018), pp. 565-581

Persistent link: https://www.econbiz.de/10011972926

The value premium and time-varying volatility

Li, Xiafei; Brooks, Chris; Miffre, Joëlle - In: Journal of business finance & accounting : JBFA 36 (2009) 9/10, pp. 1252-1272

Persistent link: https://www.econbiz.de/10003909854

Forecasting China's stock market volatility with shrinkage method : can Adaptive Lasso select stronger predictors from numerous predictors?

Liang, Chao; Xu, Yongan; Chen, Zhonglu; Li, Xiafei - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3689-3699

Persistent link: https://www.econbiz.de/10014429165

Idiosyncratic Volatility and the Pricing of Poorly-Diversified Portfolios

Miffre, Joëlle - 2015

This article examines the role of idiosyncratic volatility in explaining the cross-sectional variation of size- and value-sorted portfolio returns. We show that the premium for bearing idiosyncratic volatility varies inversely with the number of stocks included in the portfolios. This conclusion...

Persistent link: https://www.econbiz.de/10013037940

Oil price fluctuation, stock market and macroeconomic fundamentals : evidence from China before and after the financial crisis

Wei, Yu; Qin, Songkun; Li, Xiafei; Zhu, Sha; Wei, Guiwu - In: Finance research letters 30 (2019), pp. 23-29

Persistent link: https://www.econbiz.de/10012420181

Infectious disease pandemic and permanent volatility of international stock markets : A long-term perspective

Bai, Lan; Wei, Yu; Wei, Guiwu; Li, Xiafei; Zhang, Songyun - In: Finance research letters 40 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012819378

Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil

Shi, Chunpei; Wei, Yu; Li, Xiafei; Liu, Yuntong - In: Energy economics 126 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014487439