This paper presents a consumption-based asset pricing model to explain the equity premium and riskfree puzzles as well as the predictability of returns in the international equity markets. We find that because the model entails idiosyncratic consumption risk which is higher than the aggregate...

This paper describes the background, the process, and the market reaction of Chinese crucial privatization program, namely the Non-tradable Share Issue Reform. We document the following findings: (1) The privatization program causes economically moderate and statistically significant cumulative...

We use a natural experiment occurred on Hong Kong stock market to examine the effects of removing short sales constraints on several trading characteristics of underlying stocks. We find that the trading of underlying stocks become less active after the lift of short sales constraints; meanwhile...

In this paper I relate the risk premia in the stock and bond markets to the conditional volatility of returns and time-varying reward-to-volatility variables. I find that the relation between the expected returns on the stocks and bonds and the volatility of returns is time varying. I provide an...

This study investigates why externally advised real estate investment trusts (REITs) underperform their internally managed counterparts. Consistent with previous studies, we find that REITs managed by external advisors underperform internally managed ones by over 7 percent per year....