The paper investigates the relation between retail investors' participation in trading and aggregate stock market liquidity. The findings show a positive and significant relation between retail investors' trading and stock market liquidity. Examination of the determinants of retail investors'...

This paper studies the heterogeneous effects of the COVID-19 outbreak on stock prices in China and its hidden mechanisms from multi perspectives. First, we confirm the recent conclusion that the spread of the epidemic has a significant negative impact on stock market returns. However, this...

We have seen China's growing role in the past decades, and the world economy has become more exposed to the influence of China. This paper explores emerging China's impact on the global equity market through the lens of asset pricing. We study the predictive properties of the lagged China...

We investigate the time variations of the relative risk aversion parameter of a U.S. representative agent using 60 years of stock market data. We develop a methodology to identify the variables that explain the variations of risk aversion, based on an asset pricing model without valuation (or...

This paper provides a measurement of framing effects in the stock market by using actual market open trading data, and provide a test of this new firm-special behavioral characteristic. We adopt univariate and bivariate portfolio-level analyses with seminal rational and behavioral factors, to...

We propose a behavioral dividend clientele view to explain a unique “ex-dividend day” anomaly on the Chinese stock market. In particular, we find that on the ex-dividend day, the average CAPM-adjusted stock return is significantly below zero and the average trading volume significantly...

Hazard stocks are opposite of lottery stocks. We proxy hazard stocks with the minimum daily idiosyncratic return over the past month, a negative shock labelled IMIN, and examine the relation between hazard stocks and expected returns. The literature on lottery-stocks implies that investors...

This paper tells the history of Brazilian stock market returns since the creation of the Ibovespa (the main Brazilian stock market index). From 1968 to 2019, the arithmetic mean real return of the Brazilian stock market is 21.3% per year. The equity premium is 20.1% per year, with a huge annual...

2018 was an interesting year. While headline Indian indexes held steady, the broader set of Indian equities suffered a bear market with average stock down nearly 40 to 50%. In this article, we look at warning signs that were present leading up to 2018. Further, via the performance of mid and...

We test the hypothesis that retail investors' attraction to lottery stocks induces overvaluation, and is amplified by high attention and social interactions. The lottery premium (negative abnormal returns) is stronger for high-retail-ownership stocks—especially those that also have high...