We conduct a comprehensive study on momentum spillovers in the Chinese stock market using various types of economic linkages. By developing a flexible and innovative algorithm to identify linkages among listed firms using millions of Chinese business news articles, we find that the news...

We propose an asset pricing factor model constructed with semi-parametric characteristics-based mispricing and factor loading functions. This model captures common movements of stock excess returns and includes a two-layer network of arbitrage returns interconnected by security-specific...

This paper studies a heterogeneous coefficient spatial factor model that separately addresses both common factor risks (strong cross-sectional dependence) and local dependency (weak cross-sectional dependence) in the equity returns. From the asset pricing perspective, we derive the theoretical...

This paper proposes a new mutual exciting regime-switching model where crises can spread contagiously across countries. Each country has its own hidden stochastic process that determines whether it is in a normal or crisis regime. The mutual-excitation component allows interactions in the Markov...