K.C. John Wei

Hong Kong Polytechnic University

11 Yuk Choi Rd

Hung Hom

Hong Kong

SCHOLARLY PAPERS

75

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58,040

SSRN CITATIONS
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899

CROSSREF CITATIONS

842

Scholarly Papers (75)

1.
Downloads 22,130 ( 249)
Citation 12

Do Global Stocks Outperform US Treasury Bills?

Number of pages: 85 Posted: 09 Jul 2019
W.P. Carey School of Business, Hong Kong Polytechnic University, Tulane University - A.B. Freeman School of Business and Hong Kong Polytechnic University
Downloads 11,204 (865)
Citation 15

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Long-Term Shareholder Returns: Evidence from 64,000 Global Stocks

Financial Analysts Journal, Forthcoming
Number of pages: 89 Posted: 14 Oct 2020 Last Revised: 07 Mar 2023
W.P. Carey School of Business, Hong Kong Polytechnic University, Tulane University - A.B. Freeman School of Business and Hong Kong Polytechnic University
Downloads 10,926 (908)
Citation 6

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2.

Disclosure, Corporate Governance, and the Cost of Equity Capital: Evidence from Asia's Emerging Markets

Number of pages: 44 Posted: 03 Aug 2003
Kevin C. W. Chen, K.C. John Wei and Zhihong Chen
Hong Kong University of Science and Technology, Hong Kong Polytechnic University and Hong Kong University of Science and Technology
Downloads 3,923 (5,191)
Citation 68

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corporate governance, Cost of capital, Disclosure, Investor protection

3.
Downloads 2,710 ( 9,426)
Citation 326

Capital Investments and Stock Returns

Number of pages: 33 Posted: 09 May 2001
K.C. John Wei, Feixue Xie and Sheridan Titman
Hong Kong Polytechnic University, Southern Connecticut State University - Department of Economics and Finance and University of Texas at Austin - Department of Finance
Downloads 2,056 (14,372)
Citation 2

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Investment, stock returns, financial constraints, free cash flow

Capital Investments and Stock Returns

NBER Working Paper No. w9951
Number of pages: 40 Posted: 09 Sep 2003 Last Revised: 11 Sep 2022
K.C. John Wei, Feixue Xie and Sheridan Titman
Hong Kong Polytechnic University, Southern Connecticut State University - Department of Economics and Finance and University of Texas at Austin - Department of Finance
Downloads 654 (75,117)
Citation 46

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4.

Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets

Number of pages: 47 Posted: 25 Apr 2001
Andy C.W. Chui, K.C. John Wei and Sheridan Titman
Hong Kong Polytechnic University, Hong Kong Polytechnic University and University of Texas at Austin - Department of Finance
Downloads 2,625 (9,928)
Citation 108

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Momentum, legal systems, ownership structure, Asian stock markets

5.

Individualism and Momentum Around the World

Journal of Finance, Forthcoming
Number of pages: 71 Posted: 23 Jun 2008 Last Revised: 25 Feb 2009
Andy C.W. Chui, Sheridan Titman and K.C. John Wei
Hong Kong Polytechnic University, University of Texas at Austin - Department of Finance and Hong Kong Polytechnic University
Downloads 1,998 (15,315)
Citation 35

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International momentum, Individualism, Overconfidence, Volatility, Trading volume

6.

Agency Costs of Free Cash Flow and the Effect of Shareholder Rights on the Implied Cost of Equity Capital

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 69 Posted: 09 Apr 2009
Kevin C. W. Chen, Zhihong Chen and K.C. John Wei
Hong Kong University of Science and Technology, Hong Kong University of Science and Technology and Hong Kong Polytechnic University
Downloads 1,307 (29,302)
Citation 6

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Agency costs of free cash flow, Anti-takeover provisions, Shareholder rights, Cost of equity capital, Investment opportunities

7.

The Role of Anchoring Bias in the Equity Market: Evidence from Analysts’ Earnings Forecasts and Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 53 Posted: 02 Mar 2007 Last Revised: 22 Sep 2011
Ling Cen, Gilles Hilary and K.C. John Wei
The Chinese University of Hong Kong, Georgetown University - McDonough School of Business and Hong Kong Polytechnic University
Downloads 1,245 (31,493)

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Anchoring, Cognitive biases, Analysts’ earnings forecasts, Cross-sectional stock returns

8.

The Cross-Section of Expected REIT Returns

University of Texas at Austin Working Paper
Number of pages: 37 Posted: 27 May 2003
Andy C.W. Chui, K.C. John Wei and Sheridan Titman
Hong Kong Polytechnic University, Hong Kong Polytechnic University and University of Texas at Austin - Department of Finance
Downloads 1,120 (36,592)
Citation 10

Abstract:

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REITs, Momentum, Expected returns

9.

Legal Protection of Investors, Corporate Governance, and the Cost of Equity Capital

Journal of Corporate Finance, Forthcoming
Number of pages: 47 Posted: 09 Apr 2009
Kevin C. W. Chen, Zhihong Chen and K.C. John Wei
Hong Kong University of Science and Technology, Hong Kong University of Science and Technology and Hong Kong Polytechnic University
Downloads 965 (45,285)
Citation 46

Abstract:

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governance, Cost of equity, Legal protection of investors

10.

Disagreement, Underreaction, and Stock Returns

Management Science, 2017, 63(4), 1214–1231
Number of pages: 51 Posted: 15 Nov 2012 Last Revised: 21 Nov 2017
Ling Cen, K.C. John Wei and Liyan Yang
The Chinese University of Hong Kong, Hong Kong Polytechnic University and University of Toronto - Rotman School of Management
Downloads 862 (52,920)
Citation 7

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Disagreement, short-sale constraints, underreaction, cross-section of stock returns

11.

The Impacts of Political Uncertainty on Asset Prices: Evidence from the Bo Scandal in China

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 24 Jan 2017 Last Revised: 09 Apr 2024
Laura Xiaolei Liu, Haibing Shu and K.C. John Wei
Guanghua School of Management, Peking University, Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Hong Kong Polytechnic University
Downloads 860 (53,108)
Citation 25

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political uncertainty risk; politically sensitive firms; stock returns; discount rate news; cash flow news

12.

Security Analysts and Capital Market Anomalies

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 90 Posted: 14 Jan 2018 Last Revised: 21 Jun 2019
Li Guo, Frank Weikai Li and K.C. John Wei
Fudan University - School of Economics, Singapore Management University - Lee Kong Chian School of Business and Hong Kong Polytechnic University
Downloads 796 (59,031)
Citation 16

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Analysts; Analyst recommendations; Anomalies; Mispricing; Market efficiency

13.

Intra-Industry Momentum: The Case of Reits

Number of pages: 32 Posted: 24 Oct 2001
Andy C.W. Chui, K.C. John Wei and Sheridan Titman
Hong Kong Polytechnic University, Hong Kong Polytechnic University and University of Texas at Austin - Department of Finance
Downloads 768 (61,879)
Citation 21

Abstract:

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REITs, momentum, behavioral finance

14.

Do Managers Learn from Analysts?

Number of pages: 65 Posted: 16 Oct 2017 Last Revised: 06 Sep 2022
Wei Shi, K.C. John Wei and Haifeng You
Deakin University, Hong Kong Polytechnic University and Hong Kong University of Science & Technology (HKUST) - Department of Accounting
Downloads 766 (62,079)
Citation 1

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Analyst coverage; Broker mergers and closures; Managerial learning; Investment-Q sensitivity; Reg FD

15.

Ex-ante Expectation Errors and the Asset Growth Effect

AFA 2013 San Diego Meetings Paper
Number of pages: 40 Posted: 20 Jan 2012 Last Revised: 22 Dec 2019
FY Eric C Lam and K.C. John Wei
Independent Researcher and Hong Kong Polytechnic University
Downloads 737 (65,355)

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total asset growth; capital investment; corporate profitability; stock returns

16.

Earnings Management, Corporate Investments, and Stock Returns

Number of pages: 41 Posted: 18 Mar 2005
Feixue Xie and K.C. John Wei
University of Texas at El Paso - College of Business Administration - Department of Economics and Finance and Hong Kong Polytechnic University
Downloads 697 (70,153)

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Discretionary accruals, earnings management, abnormal capital investment, market efficiency

The Profitability Premium: Macroeconomic Risks or Expectation Errors?

Financial Management Association (FMA) 2014 conference
Number of pages: 53 Posted: 12 Aug 2014 Last Revised: 05 Mar 2020
FY Eric C Lam, Shujing Wang and K.C. John Wei
Independent Researcher, Tongji University and Hong Kong Polytechnic University
Downloads 488 (108,364)
Citation 8

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Profitability premium, Macroeconomic Risks, Expectation errors, Investor sentiment

The Role of Limits to Arbitrage and the Asset Growth Anomaly

Number of pages: 61 Posted: 17 Mar 2009 Last Revised: 11 Jan 2019
FY Eric C Lam and K.C. John Wei
Independent Researcher and Hong Kong Polytechnic University
Downloads 368 (150,577)
Citation 1

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Asset growth, Capital investment, Cross-section of stock returns, Limits to arbitrage

The Asset Growth Anomaly and the Role of Limits to Arbitrage

Number of pages: 49 Posted: 11 Feb 2009 Last Revised: 17 Sep 2017
FY Eric C Lam and K.C. John Wei
Independent Researcher and Hong Kong Polytechnic University
Downloads 322 (174,207)
Citation 1

Abstract:

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Asset growth, Capital investment, Limits to arbitrage

19.

Momentum Life Cycle around the World and Beyond

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 72 Posted: 16 Feb 2015 Last Revised: 19 Jan 2018
Frank Weikai Li and K.C. John Wei
Singapore Management University - Lee Kong Chian School of Business and Hong Kong Polytechnic University
Downloads 562 (92,044)
Citation 3

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Momentum life cycle; International; ETFs; Individualism; Limits to arbitrage; Momentum profits

20.

The Dark Side of Market Feedback: Evidence on CEOs’ Tone Manipulation

Number of pages: 67 Posted: 04 Mar 2021 Last Revised: 28 Nov 2023
Hua Cheng, Tingting Liu and K.C. John Wei
University of Texas at Austin, Iowa State University and Hong Kong Polytechnic University
Downloads 525 (100,258)

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Compensation convexity; Tone management; Financial markets; Managerial opportunistic behavior; Industry return; Feedback effect

21.

Insider Sales under the Threat of Short Sellers: New Hypothesis and New Tests

Singapore Management University School of Accountancy Research Paper No. 2021-139
Number of pages: 50 Posted: 01 Feb 2016 Last Revised: 16 Jun 2021
Fudan University - School of Management, Singapore Management University - School of Accountancy, Hong Kong Polytechnic University, The Chinese University of Hong Kong, Shenzhen and Fudan University
Downloads 517 (102,200)
Citation 1

Abstract:

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Regulation SHO, short selling, insider trading, disciplining hypothesis, crowding-out hypothesis

Chinese and Global ADRs: The U.S. Investor Experience

Financial Analysts Journal, Forthcoming
Number of pages: 26 Posted: 26 Jan 2021 Last Revised: 08 Apr 2021
W.P. Carey School of Business, Hong Kong Polytechnic University, Tulane University - A.B. Freeman School of Business and Hong Kong Polytechnic University
Downloads 261 (216,694)

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American Depository Receipts: The Long-Term U.S. Investor Experience

Number of pages: 25 Posted: 15 Jan 2021
W.P. Carey School of Business, Hong Kong Polytechnic University, Tulane University - A.B. Freeman School of Business and Hong Kong Polytechnic University
Downloads 224 (251,860)

Abstract:

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23.

On the Explanations for the Gross Profitability Effect: Insights from International Equity Markets

Asian Finance Association (AsianFA) 2014 Conference Paper
Number of pages: 57 Posted: 10 Feb 2014 Last Revised: 06 Jan 2015
Lei Sun, K.C. John Wei and Feixue Xie
School of Finance, Shanghai University of Finance and Economics, Hong Kong Polytechnic University and University of Texas at El Paso - College of Business Administration - Department of Economics and Finance
Downloads 482 (111,221)
Citation 8

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Gross profitability, Cross-sectional returns, International equity markets, Q-theory, Mispricing

24.

How Should Returns to Long Term Investors be Measured?

Number of pages: 48 Posted: 02 Aug 2023 Last Revised: 26 Dec 2023
W.P. Carey School of Business, Hong Kong Polytechnic University, Tulane University - A.B. Freeman School of Business and Hong Kong Polytechnic University
Downloads 481 (111,491)

Abstract:

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25.

Liquidity Risk and Stock Returns Around the World

Journal of Banking and Finance, 2012, Vol. 36, No. 12, pp. 3274-3288
Number of pages: 48 Posted: 17 Feb 2005 Last Revised: 10 Apr 2022
Samuel Xin Liang and K.C. John Wei
Tyndale University and Hong Kong Polytechnic University
Downloads 460 (117,560)
Citation 4

Abstract:

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Liquidity risk, Risk premium, International markets

26.

Do Bond Rating Changes Affect Information Risk of Stock Trading?

Number of pages: 41 Posted: 01 Mar 2007
Yan He, K.C. John Wei and Junbo Wang
Indiana University Southeast - School of Business, Hong Kong Polytechnic University and Dept. of Economics and Finance, City Univ. of HK
Downloads 458 (118,107)
Citation 2

Abstract:

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Bond rating changes; Information asymmetry; Information risk

27.

Corporate Groups, Capital Investments and Stock Returns in Japan

University of Texas at Austin Working Paper
Number of pages: 26 Posted: 09 Jun 2003
K.C. John Wei, Feixue Xie and Sheridan Titman
Hong Kong Polytechnic University, Southern Connecticut State University - Department of Economics and Finance and University of Texas at Austin - Department of Finance
Downloads 451 (120,322)

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Capital expenditures, Stock returns, Corporate groups, Financial constraints

28.

Executive Pay Disparity and the Cost of Equity Capital

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 62 Posted: 02 Jan 2013 Last Revised: 12 Jan 2022
Zhihong Chen, Yuan Huang and K.C. John Wei
Hong Kong University of Science and Technology, Hong Kong Polytechnic University - School of Accounting and Finance and Hong Kong Polytechnic University
Downloads 420 (130,740)
Citation 15

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executive pay disparity, CEO pay slice, implied cost of capital, succession risk, entrenchment

29.

Firm-Level Political Risk and Bank Loan Contracting

Number of pages: 55 Posted: 04 Apr 2019 Last Revised: 10 Apr 2024
Walid Saffar, Yang Wang and K.C. John Wei
Hong Kong Polytechnic University - School of Accounting and Finance, Hong Kong Polytechnic University and Hong Kong Polytechnic University
Downloads 411 (134,056)
Citation 5

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firm-level political risk, bank loan cost, loan covenants, default risk, operational uncertainty

30.

Cash Flow News and the Investment Effect in the Cross-Section of Stock Returns

Management Science, Forthcoming
Number of pages: 41 Posted: 29 Jul 2014 Last Revised: 28 May 2015
Mike Qinghao Mao and K.C. John Wei
Deakin University - Faculty of Business and Law and Hong Kong Polytechnic University
Downloads 372 (150,021)
Citation 8

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Investment effect; q-theory; cash flow news; return decomposition.

31.

On the Demand Elasticity of Initial Public Offerings: An Analysis of Discriminatory Auctions

Number of pages: 45 Posted: 14 Sep 2000
Gwohorng Liaw, K.C. John Wei and Yu-Jane Liu
National Chung Cheng University - Department of Finance, Hong Kong Polytechnic University and National Chengchi University (NCCU) - Department of Finance and Banking
Downloads 370 (150,912)
Citation 9

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32.

Local Corruption, Whistleblowing, and Debt Financing

Number of pages: 52 Posted: 16 Jun 2020
Qingjie Du, Iftekhar Hasan, Yang Wang and K.C. John Wei
University of Birmingham - Birmingham Business School, Fordham University, Hong Kong Polytechnic University and Hong Kong Polytechnic University
Downloads 366 (153,191)
Citation 2

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Dodd–Frank, Corruption, Bank Loan Cost, Whistle-blowing

33.

How Economic Policy Uncertainty Affects the Cost of Raising Equity Capital: Evidence from Seasoned Equity Offerings

Number of pages: 48 Posted: 15 Aug 2017 Last Revised: 26 Jun 2019
Yue-Cheong Chan, Walid Saffar and K.C. John Wei
Hong Kong Polytechnic University - School of Accounting and Finance, Hong Kong Polytechnic University - School of Accounting and Finance and Hong Kong Polytechnic University
Downloads 360 (155,571)
Citation 8

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Economic Policy Uncertainty; Seasoned Equity Offerings; SEO Discounts

34.

Corporate Governance and Conditional Skewness in the World's Stock Markets

Asian Institute of Corporate Governance at Korea University Working Paper
Number of pages: 47 Posted: 24 Jul 2003
Kee-Hong Bae, K.C. John Wei and Chan-Woo Lim
York University - Schulich School of Business, Hong Kong Polytechnic University and Korea University Business School (KUBS)
Downloads 360 (155,571)
Citation 10

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skewness, risk sharing, discretionary disclosure

35.

Replicating and Digesting Anomalies in the Chinese A-share Market

Zhibing Li, Laura Xiaolei Liu, Xiaoyu Liu, and K.C. John Wei (2023). Replicating and Digesting Anomalies in the Chinese A-share Market. Management Science, Forthcoming
Number of pages: 47 Posted: 27 Feb 2023
University of International Business and Economics (UIBE) - School of Banking and Finance, Guanghua School of Management, Peking University, Guanghua School of Management, Peking University and Hong Kong Polytechnic University
Downloads 352 (159,409)

Abstract:

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Replication; Chinese A-share market; Anomalies; Factor models; SOEs vs. non-SOEs

36.

The Fu (2009) Positive Relation between Idiosyncratic Volatility and Expected Returns Is Due to Look-Ahead Bias

Critical Finance Review, forthcoming
Number of pages: 60 Posted: 18 Nov 2019 Last Revised: 22 Jul 2020
Seongkyu Gilbert Park, K.C. John Wei and Linti Zhang
Willamette University, Hong Kong Polytechnic University and Hong Kong Polytechnic University, School of Accounting and Finance
Downloads 350 (160,410)
Citation 1

Abstract:

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Idiosyncratic Volatility, look-ahed bias

37.

Generalist versus Specialist CEOs: The Impact of CEO Expertise on the Design of Compensation Contract

Number of pages: 45 Posted: 03 Jan 2019 Last Revised: 17 Aug 2020
Chunbo Liu, Wei Shi and K.C. John Wei
Shanghai International Studies University, Deakin University and Hong Kong Polytechnic University
Downloads 328 (172,017)
Citation 2

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Compensation contract; CEO expertise; Generalist; Information asymmetry; Adverse selection

38.

Determinants of Disposition and Reverse Disposition Effects

Number of pages: 35 Posted: 27 Mar 2009
Andreas Krause, K.C. John Wei and Zhishu Yang
University of Bath - Department of Economics, Hong Kong Polytechnic University and Tsinghua University - School of Economics & Management
Downloads 323 (174,859)
Citation 3

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Behavioral bias, Disposition effect, Investor characteristics

39.

Tunneling or Propping: Evidence from Connected Transactions in China

Journal of Corporate Finance, Vol. 17, 2011
Number of pages: 56 Posted: 19 Mar 2008 Last Revised: 27 Jan 2011
Qian Peng, K.C. John Wei and Zhishu Yang
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Hong Kong Polytechnic University and Tsinghua University - School of Economics & Management
Downloads 312 (181,288)
Citation 30

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Connected transactions, Tunneling, Propping, Chinese listed firms

40.

Managerial Flexibility, Uncertainty, and Corporate Investment: The Real Options Effect

Number of pages: 37 Posted: 17 Mar 2006
K.C. John Wei and Feixue Xie
Hong Kong Polytechnic University and University of Texas at El Paso - College of Business Administration - Department of Economics and Finance
Downloads 312 (181,288)

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Managerial Flexibility, Uncertainty, Corporate Investment, Real Options

41.

Does Cryptocurrency Trading Have Spillover Effects on the Stock Market?

HKUST Business School Research Paper No. 2020-005
Number of pages: 68 Posted: 29 Jun 2020 Last Revised: 13 Apr 2024
University of Birmingham - Birmingham Business School, Hong Kong Polytechnic University, Hong Kong Polytechnic University - School of Accounting and Finance, Hong Kong Polytechnic University and Hong Kong University of Science & Technology (HKUST) - Department of Accounting
Downloads 308 (183,712)

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Cryptocurrency, Price pressure, Spillover, Stock market, Social transmission

42.

Intangible Information and Analyst Behavior

Number of pages: 45 Posted: 09 Mar 2011
Lei Sun and K.C. John Wei
School of Finance, Shanghai University of Finance and Economics and Hong Kong Polytechnic University
Downloads 285 (199,371)
Citation 3

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intangible information, overconfidence bias, analyst stock recommendations, earnings per share (EPS) forecasts

43.

Dynamic Collusion, Vertical Competition, and Systematic Risk

Number of pages: 63 Posted: 03 Dec 2020 Last Revised: 08 Feb 2024
Guoman She, K.C. John Wei and Haifeng You
The University of Hong Kong - Faculty of Business and Economics, Hong Kong Polytechnic University and Hong Kong University of Science & Technology (HKUST) - Department of Accounting
Downloads 281 (202,263)

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Dynamic Collusion; Vertical Competition; Systematic Risk; Cost of Equity Capital

44.

The Role of Institutional Investors in Corporate and Entrepreneurial Finance

Journal of Corporate Finance, Forthcoming
Number of pages: 11 Posted: 20 Jan 2021
Thomas J. Chemmanur, Gang Hu and K.C. John Wei
Boston College - Carroll School of Management, Hong Kong Polytechnic University - School of Accounting and Finance and Hong Kong Polytechnic University
Downloads 261 (217,863)
Citation 2

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Institutional Investor, Corporate Finance, Trading, Abel Noser Data

45.

The Bright Side of Cash Holdings: Innovation Efficiency

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 58 Posted: 18 Aug 2014 Last Revised: 28 Jan 2016
Zhen Wang, K.C. John Wei and Wei Zhang
Shanghai University of Finance and Economics, Hong Kong Polytechnic University and Shanghai University of Finance and Economics
Downloads 244 (232,747)
Citation 1

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Cash holdings; Innovation; Tolerance for failure; Patents; Patent citations

46.

The Real Effect of the Initial Enforcement of Insider Trading Laws

Singapore Management University School of Accountancy Research Paper No. 2017-69
Number of pages: 52 Posted: 22 Jul 2014 Last Revised: 14 Nov 2017
Zhihong Chen, Yuan Huang, Yuanto Kusnadi and K.C. John Wei
Hong Kong University of Science and Technology, Hong Kong Polytechnic University - School of Accounting and Finance, Singapore Management University - School of Accountancy and Hong Kong Polytechnic University
Downloads 231 (245,417)
Citation 7

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Enforcement; Insider trading laws; Capital allocation efficiency; Investment; Transparency; Market frictions

47.

Legal Protection, Equity Dependence and Corporate Investment: Evidence from Around the World

EFA 2006 Zurich Meetings
Number of pages: 50 Posted: 13 Mar 2006
K.C. John Wei and Yuanto Kusnadi
Hong Kong Polytechnic University and Singapore Management University - School of Accountancy
Downloads 221 (256,026)

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Legal protection, Equity dependence, Corporate investment

48.

Do Short Sellers Use Textual Information? Evidence from Annual Reports

Number of pages: 45 Posted: 16 Oct 2020 Last Revised: 25 Jan 2022
Hung Wan Kot, Frank Weikai Li, Ming Liu and K.C. John Wei
The Chinese University of Hong Kong, Singapore Management University - Lee Kong Chian School of Business, University of Macau - Faculty of Business Administration and Hong Kong Polytechnic University
Downloads 192 (291,324)

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Short selling; Annual reports; Textual analysis; Stock returns; Information environment

49.

What Drives the Liquidity Premium: Factors or Characteristics?

Number of pages: 40 Posted: 20 Feb 2011
Pin-Huang Chou, Kuan-Cheng Ko and K.C. John Wei
National Central University, National Chi Nan University - College of Management and Hong Kong Polytechnic University
Downloads 191 (292,703)

Abstract:

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Liquidity Premium, Factor Model, Characteristic-Based Model

50.

Demand Shock, Speculative Beta, and Asset Prices: Evidence from the Shanghai-Hong Kong Stock Connect Program

PBCSF-NIFR Research Paper
Number of pages: 69 Posted: 01 Feb 2016 Last Revised: 27 Feb 2021
Clark Liu, Shujing Wang and K.C. John Wei
Tsinghua University - PBC School of Finance, Tongji University and Hong Kong Polytechnic University
Downloads 190 (294,086)
Citation 16

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Demand shock; Speculative beta; Heterogeneous beliefs; Short-sale constraints; Market liberalization

Expectations and Interpretations: Testing Confirmatory Bias Against the Representativeness Heuristic in Financial Market

Number of pages: 57 Posted: 03 Jun 2022
Qianqian Du, Rui Shen and K.C. John Wei
Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management, The Chinese University of Hong Kong, Shenzhen - School of Management and Economics and Hong Kong Polytechnic University
Downloads 152 (356,885)

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Prior expectation, Interpretation of earnings news, Confirmatory bias, Representativeness heuristic, Information rigidity

Expectations and Interpretations:Testing Confirmatory Bias Against the Representativeness Heuristic in Financial Market

Number of pages: 58 Posted: 16 Jan 2024
Qianqian Du, Rui Shen and K.C. John Wei
Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management, The Chinese University of Hong Kong, Shenzhen - School of Management and Economics and Hong Kong Polytechnic University
Downloads 26 (923,593)

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Prior expectation, Interpretation of earnings news, Confirmatory bias, Representativeness heuristic, Information rigidity

52.

Illiquidity Shocks: U.S. and International Evidence

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 51 Posted: 20 Oct 2017 Last Revised: 25 Jul 2022
Te-Feng Chen, Tarun Chordia and K.C. John Wei
Hong Kong Polytechnic University, Emory University - Department of Finance and Hong Kong Polytechnic University
Downloads 177 (313,086)

Abstract:

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Illiquidity shocks; Continuation; Reversal; Market Crash

53.

Market Volatility Risk and Stock Returns around the World: Implications for Multinational Corporations

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 52 Posted: 14 Feb 2013 Last Revised: 31 Jan 2020
Samuel Xin Liang and K.C. John Wei
Tyndale University and Hong Kong Polytechnic University
Downloads 165 (332,851)
Citation 5

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Market Volatility risk; global volatility risk; total market volatility, idiosyncratic market volatility; market portfolio return; cost of capital

54.

Is Financial Reporting Quality Affected by Economic Policy Uncertainty? Evidence from Conditional Conservatism around the World

Number of pages: 50 Posted: 16 Jun 2021
Andy C.W. Chui and K.C. John Wei
Hong Kong Polytechnic University and Hong Kong Polytechnic University
Downloads 161 (339,916)

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Economic policy uncertainty, Report quality, Conservative accounting, Capital markets, International

55.

Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?

NBER Working Paper No. w7246
Number of pages: 31 Posted: 28 Apr 2000 Last Revised: 26 Oct 2022
Kent D. Daniel, K.C. John Wei and Sheridan Titman
Columbia University - Columbia Business School, Finance, Hong Kong Polytechnic University and University of Texas at Austin - Department of Finance
Downloads 160 (341,666)
Citation 25

Abstract:

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56.

Public Audit Oversight and Corporate Innovation: International Evidence

Number of pages: 54 Posted: 06 Dec 2021 Last Revised: 28 Nov 2022
Yuan Huang, Zilong Song, K.C. John Wei and Kaitang Zhou
Hong Kong Polytechnic University - School of Accounting and Finance, School of Accounting,Nanjing University of Finance and Economics, Hong Kong Polytechnic University and School of Economics and Management, Wuhan University
Downloads 139 (383,080)

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Public audit oversight; Audit Quality; Financial Reporting; Innovation Output

57.

Market feedback beyond stock prices: Do managers use information from (smart) investors’ trades to make investment decisions?

Number of pages: 50 Posted: 03 Jul 2022 Last Revised: 13 Aug 2023
K.C. John Wei and Shuran Zhang
Hong Kong Polytechnic University and Hong Kong Polytechnic University
Downloads 125 (415,809)

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Managerial learning; Corporate investment; Top-performing institutional investors; Industry expertise; Trading signals

58.

Dissecting Arbitrage Costs

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 65 Posted: 24 Sep 2016 Last Revised: 20 Mar 2017
FY Eric C Lam, Chishen Wei and K.C. John Wei
Independent Researcher, Hong Kong Polytechnic University - School of Accounting and Finance and Hong Kong Polytechnic University
Downloads 124 (418,273)
Citation 1

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Arbitrage costs; arbitrage risk; information uncertainty; transaction costs; mispricing

59.

Does Competition Induce Hardworking or Herding? Evidence from a Natural Experiment of Broker Mergers

Number of pages: 57 Posted: 08 Aug 2017
Lei Sun, Zhen Wang and K.C. John Wei
School of Finance, Shanghai University of Finance and Economics, Shanghai University of Finance and Economics and Hong Kong Polytechnic University
Downloads 111 (454,445)

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Competition, Analyst forecast activities, Hardworking, Herding, Optimism bias

The Demand Effect of Yield-Chasing Retail Investors: Evidence from the Chinese Enterprise Bond Market

First Annual Volatility Institute at NYU Shanghai (VINS) Conference - 2015, PBCSF-NIFR Research Paper
Number of pages: 57 Posted: 14 Jun 2016 Last Revised: 29 Oct 2020
Clark Liu, Shujing Wang, K.C. John Wei and Ninghua Zhong
Tsinghua University - PBC School of Finance, Tongji University, Hong Kong Polytechnic University and Tongji University - School of Economics and Management
Downloads 61 (662,910)
Citation 1

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Enterprise bonds; Yield-chasing; Demand and supply effects; Limits to arbitrage; The law of one price

The Demand Effect of Yield-Chasing Retail Investors: Evidence from the Chinese Enterprise Bond Market

Journal of Empirical Finance, Vol. 50, 2019, First Annual Volatility Institute at NYU Shanghai (VINS) Conference - 2015
Number of pages: 57 Posted: 14 Jun 2016
Clark Liu, Shujing Wang, K.C. John Wei and Ninghua Zhong
Tsinghua University - PBC School of Finance, Tongji University, Hong Kong Polytechnic University and Tongji University - School of Economics and Management
Downloads 35 (841,779)
Citation 13

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Enterprise bonds; Yield-chasing; Demand and supply effects; Limits to arbitrage; The law of one price

61.

How Pervasive and Investable is the Asset Growth Anomaly?

2012 China International Conference in Finance
Number of pages: 41 Posted: 28 Sep 2017 Last Revised: 05 Mar 2020
Hung Wan Kot, FY Eric C Lam and K.C. John Wei
The Chinese University of Hong Kong, Independent Researcher and Hong Kong Polytechnic University
Downloads 84 (546,384)

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asset growth; corporate investments; stock returns

62.

Peer Firms’ Credit Rating Changes and Corporate Financing

The European Journal of Finance, 2019
Number of pages: 48 Posted: 11 Nov 2019
University of Glasgow - Adam Smith Business School, University of Glasgow and Hong Kong Polytechnic University
Downloads 82 (554,366)

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Corporate financing; Peer firms; Credit ratings; Upgrades; Downgrades

63.

Does Competition Induce Analyst Effort? Evidence from a Natural Experiment of Broker Mergers

Journal of Banking and Finance, Forthcoming
Number of pages: 42 Posted: 11 Sep 2020
Zhen Wang, Lei Sun and K.C. John Wei
Shanghai University - SHU-UTS SILC Business School, Boston Consulting Group - Shanghai and Hong Kong Polytechnic University
Downloads 71 (601,747)
Citation 6

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Analyst forecast activities, Competition, Analyst effort, Herding, Strategy deviation

64.
Downloads 0 (645,771)

Mispricing Firm-level Productivity

Journal of Empirical Finance, Forthcoming
Posted: 20 Jan 2017 Last Revised: 02 Jun 2020
Deakin University - Department of Finance, Independent Researcher and Hong Kong Polytechnic University

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Firm-level productivity; Mispricing; Investor sentiment; Extrapolation; Limits to arbitrage

65.

Do Short Sellers Pay Attention to Annual Reports?

Number of pages: 55 Posted: 29 Jan 2023
Hung Wan Kot, Frank Weikai Li, Ming Liu and K.C. John Wei
University of Macau, Singapore Management University - Lee Kong Chian School of Business, University of Macau - Faculty of Business Administration and Hong Kong Polytechnic University
Downloads 58 (667,120)

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Short selling, Annual reports, Textual analysis, stock returns, Information environment

66.

Market Volatility Risk and Stock Returns Around the World: Implications for Multinational Corporations

Liang, Samuel Xin and K.C. John Wei (2019), Market Volatility Risk and Stock Returns around the World: Implication for Multinational Corporations, International Review of Finance, Doi.org/10.1111/irfi.12252.
Number of pages: 52 Posted: 10 May 2006 Last Revised: 06 Feb 2020
Samuel Xin Liang and K.C. John Wei
Tyndale University and Hong Kong Polytechnic University
Downloads 57 (672,603)
Citation 2

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market volatility risk; global volatility risk; total market volatility; idiosyncratic market volatility; market portfolio return; cost of capital

67.

External Financing, Access to Debt Markets, and Stock Returns

20th Annual Conference on Financial Economics and Accounting
Number of pages: 52 Posted: 15 Jan 2010 Last Revised: 05 Mar 2020
K.C. John Wei and FY Eric C Lam
Hong Kong Polytechnic University and Independent Researcher
Downloads 45 (746,118)

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Limits-to-arbitrage, Investment Frictions, and the Investment Effect: New Evidence

European Financial Management 26 (2020) 3-43
Posted: 14 Mar 2016 Last Revised: 05 Mar 2020
FY Eric C Lam, Ya Li, Wikrom Prombutr and K.C. John Wei
Independent Researcher, Hong Kong Metropolitan University, California State University, Long Beach and Hong Kong Polytechnic University

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Limits-to-arbitrage; Investment frictions; q-theory; Investment; Stock returns

69.

Terrorist Attacks and Resource Adjustments

Number of pages: 40 Posted: 15 Feb 2023
Jaehyeon Kim, Kang Mo Koo and K.C. John Wei
Ajou University, Yonsei University, Mirae Campus and Hong Kong Polytechnic University
Downloads 30 (860,465)

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terrorist attacks, asymmetric cost behavior, cost stickiness, difference-in-differences approach, managerial sentiment

70.

Can Mandatory Gender Quotas Break the Glass Ceiling? Evidence from the Reforms of Boards of Directors in Europe

Number of pages: 51 Posted: 11 Apr 2024
Kee-Hong Bae, Jisok Kang, Jung Chul Park and K.C. John Wei
York University - Schulich School of Business, John Carroll University, University of South Florida and Hong Kong Polytechnic University
Downloads 29 (886,935)

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Board of directors, Mandatory gender quotas, Gender diversity; Gender pay gap

71.

What is the Real Relation between Cash Holdings and Stock Returns?

International Review of Economics and Finance 64 (2019) 513-528
Posted: 16 Mar 2013 Last Revised: 12 May 2022
Deakin University - Department of Finance, Independent Researcher, National Sun Yat-sen University, Tongji University and Hong Kong Polytechnic University

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Cash holdings; Accruals; Profitability; Net operating assets; Limits to arbitrage

72.

Limits-to-Arbitrage, Investment Frictions, and the Asset Growth Anomaly

Journal of Financial Economics 102 (2011) 127-149
Posted: 10 Apr 2011 Last Revised: 11 Jan 2019
FY Eric C Lam and K.C. John Wei
Independent Researcher and Hong Kong Polytechnic University

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Asset growth, Capital investment, Stock returns, Investment frictions, Limits-to-arbitrage

73.

The Q-theory Explanation for the External Financing Effect: New Evidence

Journal of Banking & Finance 49 (2014) 69-81
Posted: 17 Mar 2009 Last Revised: 09 Mar 2016
Yuan Huang, FY Eric C Lam and K.C. John Wei
Hong Kong Polytechnic University - School of Accounting and Finance, Independent Researcher and Hong Kong Polytechnic University

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Cross-section of stock returns, External financing, Total profitability, q-theory of investment, R&D, Total asset growth

74.

Accruals, Capital Investments, and Stock Returns

Financial Analysts Journal, Vol. 64, No. 5, 2008
Posted: 24 Sep 2008
K.C. John Wei and Feixue Xie
Hong Kong Polytechnic University and University of Texas at El Paso - College of Business Administration - Department of Economics and Finance

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Equity Investments, Research Sources, Financial Statement Analysis, Accounting and Financial Reporting Issues, Portfolio Management, Equity Strategies, Equity Investments, Fundamental Analysis and Valuation Models

75.

Linear Conditional Expectation, Return Distributions, and Capital Asset Pricing Theories

Posted: 20 Aug 1999
Cheng-Few Lee, K.C. John Wei and Alice C. Lee
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, Hong Kong Polytechnic University and PriceWaterhouseCoopers LLP - Arlington Office

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Other Papers (2)

Total Downloads: 356
1.

Individualism and Momentum Around the World

AFA 2006 Boston Meetings Paper
Number of pages: 50 Posted: 24 Mar 2005
Andy C.W. Chui, K.C. John Wei and Sheridan Titman
Hong Kong Polytechnic University, Hong Kong Polytechnic University and University of Texas at Austin - Department of Finance
Downloads 260

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International momentum, Individualistic cultures, Collectivistic cultures, Overconfidence, Self-attribution bias, Behavioral finance

Explaining the Value Premium around the World: Risk or Mispricing?

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 42 Posted: 30 Jan 2013
Andy C.W. Chui, K.C. John Wei and Feixue Xie
Hong Kong Polytechnic University, Hong Kong Polytechnic University and University of Texas at El Paso - College of Business Administration - Department of Economics and Finance
Downloads 62

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Book-to-market effect, risk aversion, Mispricing, limits-to-arbitrage, international

Explaining the Value Premium Around the World: Risk or Mispricing?

Number of pages: 39 Posted: 15 Mar 2012
Hong Kong Polytechnic University, University of Texas at Austin - Department of Finance, Hong Kong Polytechnic University and University of Texas at El Paso - College of Business Administration - Department of Economics and Finance
Downloads 34

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Book-to-market effect, Value premium, Risk aversion, Mispricing, Limits-to-arbitrage, International