Summary This paper examines inter-provincial consumption risk sharing and intertemporal consumption smoothing across Chinese provinces before and after the 1979 economic reform. Our results indicate that the degree of consumption risk sharing among Chinese provinces is lower than that within the...

We develop a model of risk sharing in which agents can pool their consumption risks in both national and local markets and then smooth the remaining consumption fluctuations with credit markets. Estimating the model with a unique dataset on Chinese cities, we find that the participation rate in...

This research investigates the existence of segmentation in the market for fixed-income securities. Evidence is found of higher yield spreads being required for non-distressed bonds making larger contributions to the risk of pure debt portfolios over the 2003–2011 period. Abnormal returns...

This paper studies the effectiveness of technical trading approaches in market environments of varying sentiment. Due to short-sale constraints, overpricing with high sentiment (i.e. relatively optimistic sentiment) is more prevalent compared to underpricing with low sentiment (i.e. relatively...

This paper hypothesizes that market liquidity constrains mutual fund managers' ability to outperform, which introduces a higher liquidity risk exposure (beta) for skilled managers. Consistently, we document an annual liquidity beta performance spread of 4% in the cross-section of mutual funds...

We study the performance consequences of exposure to corporate social responsibility (CSR) through stock holdings for mutual funds. Using a large sample of U.S. domestic mutual funds, we find that funds overweighting low-CSR stocks outperform funds underweighting them by between 1.7% and 2.6%...

We study the relationship between stock returns and the implied volatility smile slope of call and put options. Stocks with a steeper put slope earn lower future returns, while stocks with a steeper call slope earn higher future returns. Using dispersion of opinion as a proxy for belief...

This paper studies idiosyncratic risk of new ventures. An option-based model of a new venture with multistage investments and jumps is developed. Our model explains (1) why new ventures' idiosyncratic volatility eventually decreases as they clear Ramp;D investment stages and become mature firms...

This paper models market mispricings as a function of subjective predictions about the endogenously determined future trades of other investors. Utilizing only a very general set of very unrestrictive assumptions, a single boundary condition with only a few variables is deduced that facilitates...