Hedge funds with larger macroeconomic-risk betas do not earn higher returns, contrast to the theoretically predicted risk-return tradeoff. Meanwhile, high macro-beta funds deliver higher returns than low macro-beta funds following low-sentiment months, whereas the risk-return relation is flat...

We provide causal evidence for the value of asset pledgeability. Our empirical strategy is based on a unique feature of the Chinese corporate bond markets, where bonds with identical fundamentals are simultaneously traded on two segmented markets that feature different rules for repo...

Recent studies have proposed a large set of powerful characteristics-based factors in the stock market. This study examines the pricing of these factors using portfolios that are formed by directly sorting stocks based on their exposure to these factors. These beta-sorted portfolios have very...

We provide causal evidence for the value of asset pledgeability. Our empirical strategy is based on a unique feature of the Chinese corporate bond markets, where bonds with identical fundamentals are simultaneously traded on two segmented markets that feature different rules for repo...

We show that an equity pairs trading strategy generates large and significant abnormal returns. We find that two components of the trading signal (short term reversal and pairs momentum) have different dynamic and cross-sectional properties. The pairs momentum is largely explained by the one...

As leveraged investors, are margin traders as informed as short sellers? Using a unique dataset on stock-level short selling and margin trading from three international stock markets, we find that margin trading has no cross-sectional predictability but short selling does. Compared to short...

Global stock markets react positively when different phases of human clinical trials on COVID-19 vaccine candidates begin. The average increase in stock market returns on day one of the trials is 15.2 basis points, and this estimate is both economically and statistically significant. The market...