The objective of this paper is to extend prior research into the relationship between ownership and performance while controlling for the known market anomalies of firm size and earnings to price. The empirical results do support recent works indicating a positive relationship between the degree...

We examine time-series features of stock returns and volatility, as well as the relation between return and volatility in four of China's stock exchanges. Variance-ratio tests reject the hypothesis that stock return follows a random walk. We find evidence of long memory of returns. Application...

We show that E[X(g(Y[subscript 1],...,Y[subscript n])] (where E[.] is the expectation operator) can be decomposed into a product of two expected values plus a sum of n comovement terms, if X, Y[subscript 1], . . . , Y[subscript n] follow a distribution that admits linear conditional expectation...