Beijing, 100084
China
Tsinghua University
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Stock return asymmetry, entropy, asset pricing
Asymmetric comovement, entropy, asset pricing
Mutual funds, trading costs, fund size, portfolio characteristics, fund performance
Lottery preference factor, anomalies, asset pricing
lottery stocks, risk shifting, fund performance, investor flows, stock mispricing
Manager skill, double-adjusted performance, factor model, stock characteristics, mutual funds
investor attention; anomaly; price limit; coordination; synchronicity risk
Comovement; Asset Returns; Communication
Bootstrap, Edgeworth expansion, Hotelling’s T-squared test, Mutual fund performance
Cryptocurrency, Asset Liquidity, Funding Liquidity, Anomalies
Mutual Funds, Market Timing, Dynamic Conditional Correlation
Coskewness, Market Timing, Mutual Fund
Market Timing, Mutual Fund, Weighted Nonparametric Measure
Feedback trading, mutual funds, artificial timing, transaction costs, fund performance
mutual fund returns, stochastic dominance, revealed preference
Time Series Momentum, Log-returns, Return Predictability, Predictive Regression
IPO; initial public offering; underpricing; out-of-sample prediction; machine learning; XGBoost; Random Forest; LASSO
Asymmetric Dependence, Kullback-Leibler Relative Entropy, Exceedance Mutual Information
Diseconomies of scale, fixed effects panel regression, mutual funds
asset pricing; risk factors; mimicking portfolios; estimation error; risk premia; standard error
