We conduct a comprehensive study on momentum spillovers in the Chinese stock market using various types of economic linkages. We find that the news co-mention momentum spillover is significantly stronger compared to other forms of momentum spillovers. Using spanning tests and Fama-MacBeth...

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...