This paper analyzes the dynamic effects of rate-of-return regulation on firms? emissions compliance behavior when the price of emissions permits is uncertain. The paper shows that uncertainty regarding the price of permits would motivate a regulated firm to adopt a more self-sufficient strategy...

This paper analyzes the dynamic effects of rate-of-return regulation on firms'emissions compliance behavior when the price of emissions permits is uncertain. The paper shows that uncertainty regarding the price of permits would motivate a regulated firm to adopt a more self-sufficient strategy...

We find a positive relationship between individual stocks' implied variance asymmetry, defined as the difference between upside and downside risk-neutral semivariances extracted from out-of-money options, and future stock returns. The high-minus-low hedge portfolio earns the excess return of...

Over the years, top journals have published a factor zoo containing hundreds of characteristics, only to see many of them losing empirical significance over time. In this paper, we perform an out-of-sample factor-zoo analysis on the rise and fall of characteristics in explaining cross-sectional...

We find a negative relationship between the individual stocks' semivariance premia, defined as the difference between the risk-neutral and physical expected downside semivariances, and future stock returns. The high-minus-low hedge portfolio earns the excess return of -64 (-46) basis points per...

We propose testing the joint and marginal power of characteristics in predicting returns via a dynamic trading strategy (e.g., Kyle, 1985). The analysis finds that most characteristics (88%) fail to supply independent information. Indeed, removing these subsumed characteristics significantly...

The behavior of institutional investors often deviates from established personal or social norms, which may reflect either an informational advantage or psychological bias. In this paper, we investigate the incentives of Chinese mutual funds holding lottery-type stocks, which are characterized...