This paper investigates the predictability of the firm news tone on stock return in Chinese market. We find that the news tone significantly positively predicts the cross-sectional future return in both short and long horizon. Beyond this, we generally find while the online news could predict...

During the 2015 stock market crisis, the Chinese government used hundreds of billions of dollars to purchase shares directly in the secondary market. We find that, compared with un-rescued firms, rescued firms have significantly lower liquidity after the rescue. Policy uncertainty about...

We find that anomaly returns are generally unchanged during FOMC days, though a small group of anomalies may have substantial changes. But if they do, their changes exacerbate pricing errors. Hence, our evidence challenges existing studies that find that the CAPM performs better over the FOMC...

Using a proprietary dataset from 2016 to 2019, we find that order flows from foreign investors, facilitated by regulatory liberalization through several channels, present strong predictive power for future stock returns in the Chinese market. Most surprisingly, foreign investors possess the...

To study the cross-section of returns in the Chinese stock market, we follow the anomaly literature and construct 454 strategies between 2000 and 2020, based on 208 firm-level trading and accounting signals. With the conventional single-testing t-statistic cutoff of 1.96, 101 strategies have...

We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and we find no evidence of upward trends when we extend the sample until 2008. Instead, idiosyncratic volatility appears to be well described by a stationary autoregressive process...

A series of high entropy perovskite oxides (Ce,K) x [(Bi,Na)BaSrCa] 1-x TiO 3 ( x -CKBNBSCTO) were synthesized by using a traditional solid state reaction method and the dependence of the properties of samples on the content x was also explored. Microstructure analyses found that the most...

A series of high entropy perovskite oxides (Ce,K)x[(Bi,Na)BaSrCa]1-xTiO3(x-CKBNBSCTO) were synthesized by using a traditional solid state reaction method and the dependence of the properties of samples on the content x was also explored. Microstructure analyses found that the most homogeneous...