Pokfulam Road
Hong Kong
China
The University of Hong Kong - Faculty of Business and Economics
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ETFs, factor investing, smart beta, data mining
blockchain, cryptocurrency, DeFi, smart contracts, wash trading, fake volume
noise trader risk, factor premia, anomaly
ETF, hedge funds, short interest, market efficiency, financial innovation
Exchange rates, Currency Returns, Foreign Exchange Option, Informed Trading, Dollar Demand.
Momentum spillovers, return prediction, investor inattention, belief updating.
Cross-firm return predictability, Psychological barrier, 52-week high, Customer momentum
Data sales, skill acquisition, alternative data, asset prices
liquidity management, bond mutual fund, price pressure, financial fragility, US Treasury
limited attention, attention allocation, return co-movement, earnings surprises
Environmental regulation, socially responsible investment, pollution externality, shareholder composition
Public Market Institutional Investors, Venture Capitalists, IPO Under-pricing, VC Exits
speed, information, technology, price discovery, price efficiency
Market feedback, CEO overconfidence, Fire sale
Long-Short Equity Mutual Funds, Cash Holdings, Portfolio Beta, Fund Performance, Flow-Performance Relations
derivatives, options, liquidity risk premium, liquidity measure, price impact, price reversal
government bonds, informed trading, return predictability, asset managers
Government bonds, informed trading, return predictability, asset managers
EDGAR implementation, Confirmation bias, Anchoring bias, 52-week highs, Information cherry-picking, Information uncertainty
Beta information, price impact, asset prices
Option, information acquisition cost, rational expectation equilibrium, derivatives
Institutionalization; delegation; information acquisition; agency problem; asset prices
Social Interaction, Investor Communication, Information Diffusion
Asset Pricing, ETFs, Indexing, Informational Efficiency, Security Design
Covid crisis, gilt yields, variation margin, FX derivatives, global reserve currency, currency hedging
Attention allocation, investment performance, rational inattention, return co-movement, retail investors
Investor Disagreement, Belief Crossing, Portfolio Discounts
Mutual Funds, Intra-quarter Trading, Novel Method, ESG, Window Dressing
This is a National Bureau of Economic Research Paper. NBER charges a fee of $5.00 for this paper.
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Information acquisition, Optimal contract, Complementarities
factor models, mean-variance efficiency, conditioning information, text data
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
betting against beta, crowded trades, positive-feedback trading
