This paper investigates the source of price momentum in the stock market using information from options markets. We provide direct evidence of the gradual information diffusion model in Hong and Stein (1999): momentum profits are larger for stocks whose information diffuses slowly into the stock...

This paper investigates the predictability of the firm news tone on stock return in Chinese market. We find that the news tone significantly positively predicts the cross-sectional future return in both short and long horizon. Beyond this, we generally find while the online news could predict...

Upon the announcement of the Shanghai-Hong Kong Stock Connect program, connected stocks in the Shanghai Stock Exchange experience significant value appreciation of 1.8% over a seven-day announcement window and significant increases in turnover and volatility compared with unconnected stocks with...

We find that the degree of extrapolative weighting in investors' belief (DOX) proposed by Cassella and Gulen (2018) has strong predictive power for a broad set of overreaction-related anomalies in the stock market. The average return spread of these anomalies is about 0.81% per month following...

Using portfolios that are formed by directly sorting stocks based on their exposure to characteristics-based factors, earlier studies find that these beta-sorted portfolios have very large ex post factor beta spreads. However, the return spreads between high- and low-beta firms are typically...

We use carbon dioxide (CO2) emissions growth to measure consumption risk within a consumption-based capital asset pricing model (CCAPM) framework. Given the comprehensive worldwide coverage of CO2 emissions, this measure allows us to use the full history of stock market data in the United...

We exploit a unique dataset of country-specific military expenditures and construct a proxy for international instability, measured as the growth of the global military expenditure to GDP ratio, to capture political tensions and international conflicts. Using the market indices of 44 countries,...

We show that 71% of the earnings announcement premium takes place before, rather than after, earning releases. We attribute this pattern to uncertainty resolution before earnings announcement, and provide compelling evidence that high uncertainty stocks experience more uncertainty resolution and...

This paper studies the heterogeneous effects of macroeconomic perceptions on asset prices. An upward revision in aggregate productivity expectations is accompanied by an increase in external financing and investment, inflating prices, and lowering subsequent returns, especially for low...

The U.S. stock market has long been the most popular venue for both foreign companies and global investors. The recent cross-border regulation tensions between the U.S. and China, however, have exposed many U.S.-listed China Concepts Stocks (CCS) to substantial de-listing risks, forcing them to...