Daily return distributions are modeled by pure jump limit laws that are selfdecomposable laws. The returns may be seen as composed of a sum of independent and identically distributed increments or as a selfsimilar law scaling the sum of exponentially weighted past shocks or a combination...

Reasons behind IVOL puzzle remain largely unexplained. With a method misidentifying return reversal, Huang et al. (2010) claim that return reversal, a result of overreaction, leads to IVOL puzzle. We demonstrate that IVOL puzzle is a result of underreaction rather than of overreaction from both...

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 propose a novel reinforcement learning approach to extract high-frequency aggregate growth expectations from asset prices. While much expectations-based research in macroeconomics and finance relies on low-frequency surveys, the multitude of events that pass between survey dates renders...

We show that the stock market regularly and systematically receives information about company fundamentals through month-end reporting, even before the quarterly earnings announcement. Such cash-flow news concentrates at the beginning of a month and affects company announcements, analyst...

On August 11, 2020 at 16:59 EDT, Tesla announced a 5-for-1 stock split. The trading in the after-market and during the subsequent two days amounts to a unique financial economic experiment. Although stock splits have no fundamental impact on value, Tesla's stock price rose 17.94% in the two days...

The identical cash flow rights of Chinese A and B shares provide a natural experiment that allows us to explore how investor clienteles affect stock return patterns. Chinese domestic retail investors are responsible for the majority of trades in A shares, while foreign institutional investors...

This study finds that firm life stage affects investor behavior around earnings announcements. Introduction and decline stage companies exhibit significantly less positive cumulative abnormal returns (CARs) around positive earnings surprises and more negative CARs around negative earnings...

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...