This paper sheds light on the similarities and differences with respect to the presence of
anomalies in the China A-share market and other markets. To this end, we examine the …

Short-term alpha signals are generally dismissed in traditional asset pricing models,
primarily due to market friction concerns. However, this paper demonstrates that investors …

This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms
other popular models in empirical tests using US stock returns. The ZCAPM is derived from …

Advocates of blockchain technology see a promising future for the innovation and its
application to financial back-office infrastructure. Apart from its role in cryptocurrencies like …

The size premium has failed to materialize since its discovery almost forty years ago, but is
seemingly revived when controlling for quality-versus-junk exposures. This paper aims to …

This paper examines the performance of equity factor portfolios during the Quant Crisis of
2018-2020. We find that there was basically only one way to outperform during this period …

Moreira and Muir (2017) question the existence of a strong risk-return tradeoff by showing
that investors can improve performance by reducing exposure to risk factors when their …

Abstract When Initial Jobless Claims (IJC) are higher than expected, investors may expect
more generous federal government support and drive up aggregate stock prices through the …

Hong and Kacperczyk (2009, The price of sin: The effects of social norms on markets.
Journal of Financial Economics 93 (1), 15–36) document that 'sin stocks'(alcohol, tobacco …

More than three decades ago, Jacobs and Levy introduced the idea of disentangling stock
returns across numerous factors. They identified the relationships between individual stock …