Purpose: Tourists’ destination image is crucial for visiting intentions. An ancient capital with diverse characteristics is an important component of China’s urban tourism. The purpose of this paper is to address the following questions: what are the differences and commonalities of the...

This paper examines the implications of Lo and Wang's (2000, 2006) mutual fund separation model in the cross-sectional behavior of global trading activity. It demonstrates that return-based factors work poorly around the world. On average across countries, market-wide turnover accounts for 37%...

This paper offers new evidence on how currency risk is priced in the cross-section of international stock returns. Our experiment examines this long-standing question for a wide variety of test asset portfolios comprised of monthly returns for over 37,000 stocks from 46 countries over a...

The variance risk premium (VRP) reflects the degree of risk aversion of investors and the overestimation of the probability of extreme losses. We examine a variety of variance risk premiums, including both the upside and downside variance risk premiums, in the Chinese stock market. We find that...

Defining extreme liquidity as the tail of the illiquidity for all stocks, I propose a direct measure of market-wide extreme liquidity risk and find that it is priced cross-sectionally in the U.S. Between 1973 and 2014, the stocks with low extreme liquidity risk beta earned value-weighted average...