systematically priced in the cross-section of stock returns in China. We find that return dispersion carries a positive price of risk … effect is robust to alternative portfolio sorts based on the well-established risk factors as well as industry portfolios. We … that end, return dispersion serves as a more meaningful proxy for risk in this emerging market that has experienced a …

This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk … idiosyncratic risk metrics. Further, we perform a comparative study on the performance of the IMOM portfolios with respect to … various risk metrics. At last, we explore the possible explanations to the IMOM as well as risk-based IMOM portfolios. We find …

This paper measures China’s daily and monthly climate policy uncertainty (CPU) from Jan 2000 to Mar 2022 based on … Chinese news data for the first time. Then, the nonlinear and lag impacts of the US CPU and China’s CPU on the return …, volatility, correlation and tail dependence of China’s and US stock markets are investigated and compared by adopting GARCH (1 …