This paper analyzes international portfolio selection with exchange risk based on behavioural portfolio theory (BPT). We characterize the conditions under which the BPT problem with a single foreign market has an optimal solution, and show that the optimal portfolio contains the traditional...

This paper investigates the impacts of background risk on an investor's portfolio choice in a mean-variance framework, and analyzes the properties of efficient portfolios as well as the investor's hedging behaviour in the presence of background risk. Our model implies that the efficient...

This paper investigates the potential benefits of international diversification with short-selling constraints from the perspective of Chinese investors. Based on a stream of time-rolling realized portfolios, we show that Chinese investors can gain substantially in terms of portfolio risk...

This paper focuses on portfolio selection with a systematic skewness constraint within the mean-variance framework. We derive the composition of efficient portfolios in our model, and analyze the properties of these efficient portfolios. We show that the required systematic skewness is achieved...

This study explicates venture capitalists’ (VCs) successful exits from joint ventures based on their matching relationship with start-ups. Analysing data from China’s VC market, we find that balanced matching between similarly ranked VCs and start-ups promotes VCs’ successful exits, while...

In recent years Canadian shareholders have become more active in submitting proposals on a variety of issues. Our analyses show that proposals submitted by institutions or coordinated shareholder groups gain stronger support than those submitted by individuals and religious groups. In addition,...

This paper investigates bond return predictability and its economic value. Using regression models, we first examine both the statistical and economic significance of bond return predictability in the Chinese market, and analyze the non-Markov and stochastic volatility properties of bond yields....

This paper innovatively establishes the interrelationship between type I agency costs (conflicts between managers and shareholders) and type II agency costs (conflicts between controlling and minority shareholders). We further analyze the impact of agency cost interactions on the volatility of...

We investigate how controlling shareholders’ share pledging behavior affects a firm’s stock liquidity commonality. Using Chinese A-share market data from 2007 to 2020, we find that commonality in stock liquidity for firms with shares pledged by controlling shareholders is lower than for...