We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large and strikingly robust to a broad array of checks. These...

We use Hong Kong stock market data for 1982-2001 to test the persistence of the size and value premia and therobustness of the Fama-French (FF) three-factor model in explaining the variation in stock returns. We document a statistically significant and persistent size effect or size premium that...

When a stock market crash is defined as the period from an index's prior peak until its recovery, crashes demonstrate empirical regularities in their scale and timing. For instance, measures of the duration, maximum decline, and lost value of crashes are very highly correlated. These...

We estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....

This paper investigates how the investors responses to the evolution of uncertainty affect equilibrium asset returns. I develop a discrete-time real endowment economy where the aggregate economic uncertainty, as detected by a time-change for the endowment process, alters the perceived utility...

We develop an Artificial Stock Market - an agent-based simulation model of the stock market with many risky assets. The ASM has three layers of heterogeneous and interacting agents, and generates prices for 150 stocks. We present the current state of the model and demonstrate its ability to...

This paper examines the role of the market state in predicting asset pricing anomalies. We find that the sign, size, and significance of anomaly returns depend crucially on whether they follow a positive or negative market excess return. The predictive power of the negative market state is...

This paper proposes a dynamic information diffusion model that explains the lead-lag reaction of stock prices resulting from the interaction of price trends and implied price risk (IPR). Consistent with our model's predictions, we construct a zero investment underreaction portfolio (overreaction...

This study documents how investors extrapolate from recent stock returns of locally headquartered firms when forming beliefs about aggregate stock market outcomes. Consistent with studies on the equity home bias, we find that the responsiveness to local information is a function of proximity....