Beijing, 100084
China
Tsinghua University
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Stock return asymmetry, entropy, asset pricing
Lottery preference factor, anomalies, partial least square (PLS)
Asymmetric comovement, entropy, asset pricing
Mutual funds, trading costs, fund size, portfolio characteristics, fund performance
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
Bootstrap, Edgeworth expansion, Hotelling’s T-squared test, Mutual fund performance
Comovement; Asset Returns; Communication
Mutual Funds, Market Timing, Dynamic Conditional Correlation
Cryptocurrency, Asset Liquidity, Funding Liquidity, Anomalies
Feedback trading, mutual funds, artificial timing, transaction costs, fund performance
Market Timing, Mutual Fund, Weighted Nonparametric Measure
Time Series Momentum, Log-returns, Return Predictability, Predictive Regression
IPO; initial public offering; underpricing; market efficiency, agency problem, out-of-sample prediction; machine learning; XGBoost; Random Forest; LASSO
mutual fund returns, stochastic dominance, revealed preference
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
