A significant fraction of firms' financing occurs via public debt markets. Accordingly, we investigate whether financial statement characteristics and other variables that predict equity returns also predict corporate bond returns. Profitability, asset growth, and equity market capitalization...

We analyze mutual fund industry selectivity mdash; the performance of a fund's industry allocation relative to the market. We find that industry selection accounts for a full third of fund performance based on two-digit standard industrial classification (SIC) codes, with the remaining...

We examine whether the recent regime of increased liquidity and trading activity is associated with attenuation of prominent equity return anomalies due to increased arbitrage. We find that the majority of the anomalies have attenuated and the average returns from a portfolio strategy based on...

China is the largest energy consumer and CO2 emitter in the world. The Chinese government faces growing challenges of ensuring energy security and reducing greenhouse gas emissions. To address these two issues, the Chinese government has announced two ambitious domestic indicative autonomous...

We estimate buy- and sell-order illiquidity measures (lambdas) for a comprehensive sample of NYSE stocks. We show that sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our analysis indicates that the liquidity premium in...

Under the pressure of global warming, it is imperative for Chinese government to impose effective policy instruments to promote domestic energy saving and carbon emissions reduction. As one of the most important incentive-based policy instruments, carbon tax has sparked a lively controversy in...